| Budget Amount *help |
¥41,990,000 (Direct Cost: ¥32,300,000、Indirect Cost: ¥9,690,000)
Fiscal Year 2013: ¥7,280,000 (Direct Cost: ¥5,600,000、Indirect Cost: ¥1,680,000)
Fiscal Year 2012: ¥8,580,000 (Direct Cost: ¥6,600,000、Indirect Cost: ¥1,980,000)
Fiscal Year 2011: ¥8,840,000 (Direct Cost: ¥6,800,000、Indirect Cost: ¥2,040,000)
Fiscal Year 2010: ¥8,320,000 (Direct Cost: ¥6,400,000、Indirect Cost: ¥1,920,000)
Fiscal Year 2009: ¥8,970,000 (Direct Cost: ¥6,900,000、Indirect Cost: ¥2,070,000)
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| Research Abstract |
We conducted a research on Bayesian econometric analysis of financial risk and economic behavior. In the analysis of financial risk evaluation, we studied (1) several extensions of univariate stochastic volatility models, (2) the simultaneous modelling of stochastic volatility and realized volatility, (3) multivariate stochastic volatility models, (4) time series models for the maximum and quantiles, and (5) financial econometric analysis using realized volatilities. In the analysis of economic behaviours, we carries out econometric research on (1) models based on the game theory, (2) models for choices, (3) water demand function and policy analysis, (4) macroeconometric models, (5) quantile regression models and (6) environmental economics.
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