| Budget Amount *help |
¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2010: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Research Abstract |
I have found some properties of the maximum likelihood estimator and its likelihood function in the conditional t distribution model, where heteroskedasticity occurs as a conditional variance. In particular, I have discovered the degrees of freedom is estimable, contrary to the previous claim in the literature, and its estimation is most successful when estimated using the joint likelihood function. I have also obtained a property related to measures of nonnormality for the asymptotic variances of the least squares estimator of linear asset pricing models when the data generating process is dependent. In addition, I have estimated the effect of the Fukushima nuclear disaster on stock returns of electricity power and gas utilities in Japan.
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