| Project/Area Number |
22243021
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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 | Osaka University |
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Principal Investigator |
OYA Kosuke 大阪大学, 大学院・経済学研究科, 教授 (20233281)
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| Co-Investigator(Kenkyū-buntansha) |
WATANABE Toshiaki 一橋大学, 経済研究所, 教授 (90254135)
MAGHREBI Nabil 和歌山大学, 経済学部, 教授 (20283947)
TANIGAWA Yasuhiko 早稲田大学, 商学学術院, 教授 (60163622)
OHNISHI Masamitsu 大阪大学, 経済学研究科, 教授 (10160566)
UBUKATA Masato 釧路公立大学, 経済学部, 准教授 (00467507)
ISHIDA Isao 大阪大学, 金融保険教育研究センター, 特任講師 (20361579)
FUKASAWA Masaaki 大阪大学, 理学研究科, 准教授 (70506451)
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥27,170,000 (Direct Cost: ¥20,900,000、Indirect Cost: ¥6,270,000)
Fiscal Year 2012: ¥8,450,000 (Direct Cost: ¥6,500,000、Indirect Cost: ¥1,950,000)
Fiscal Year 2011: ¥7,670,000 (Direct Cost: ¥5,900,000、Indirect Cost: ¥1,770,000)
Fiscal Year 2010: ¥11,050,000 (Direct Cost: ¥8,500,000、Indirect Cost: ¥2,550,000)
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| Keywords | 計量ファイナンス / 高頻度データ解析 / 金融リスク / リスク管理 / ボラティリティ |
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| Research Abstract |
Inappropriate risk evaluation can be potential source of financial instability and reduction of market liquidity. As a result, we have a serious impact on the economic activities. In this study, we conduct research on,risk index which does not depend on the specific model, building a predictive model of risk index and the analysis of high frequency financial market data.
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