New Developments in Financial Econometrics and Financial Markets in Japan
| Project/Area Number |
21243019
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| Research Category |
Grant-in-Aid for Scientific Research (A)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | The University of Tokyo |
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Principal Investigator |
KUNITOMO Naoto 東京大学, 大学院・経済学研究科, 教授 (10153313)
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| Co-Investigator(Kenkyū-buntansha) |
OYA Kosuke 大阪大学, 大学院・経済学研究科, 教授 (20233281)
OHTA Wataru 大阪大学, 大学院・経済学研究科, 教授 (20293681)
HAYASHI Takaki 慶應義塾大学, 経営管理研究科, 教授 (80420826)
NAKAGAWA Hidetoshi 一橋大学, 国際企業戦略研究科, 准教授 (30361760)
KAWASAKI Yoshinori 統計数理研究所, モデリング研究系, 准教授 (70249910)
TSUKAHARA Hideatsu 成城大学, 経済学部, 教授 (10282550)
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| Project Period (FY) |
2009 – 2011
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| Project Status |
Completed (Fiscal Year 2011)
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| Budget Amount *help |
¥25,480,000 (Direct Cost: ¥19,600,000、Indirect Cost: ¥5,880,000)
Fiscal Year 2011: ¥8,060,000 (Direct Cost: ¥6,200,000、Indirect Cost: ¥1,860,000)
Fiscal Year 2010: ¥8,190,000 (Direct Cost: ¥6,300,000、Indirect Cost: ¥1,890,000)
Fiscal Year 2009: ¥9,230,000 (Direct Cost: ¥7,100,000、Indirect Cost: ¥2,130,000)
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| Keywords | 金融危機 / ミクロ金融市場 / 高頻度ファイナンス計量分析 / 統計的金融リスク管理論 / 信用リスク / 統計的強度モデル / 社債の価格理論 / 高頻度金融データの計量理論 / リスク尺度 |
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| Research Abstract |
This research project has studied the recent developments in financial econometrics. In particular, we have paid special attentions on the statistical analysis of credit derivatives, the statistical analysis of financial micro-market performance and the statistical analysis of financial risk managements. We have written several academic papers on the statistical pricing theory of corporate bonds and empirical analysis, the statistical analysis of micro-market efficiency and the statistical analysis of financial risk managements. We have made some progress on the measurement theories of financial micro-markets and the empirical analysis of Japanese financial markets.
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Report
(4 results)
Research Products
(67 results)
