Time series analysis on financial crises
| Project/Area Number |
23530248
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Chiba University |
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Principal Investigator |
OGA Takashi 千葉大学, 法政経学部, 准教授 (50326005)
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| Project Period (FY) |
2011-04-28 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥5,200,000 (Direct Cost: ¥4,000,000、Indirect Cost: ¥1,200,000)
Fiscal Year 2013: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2012: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2011: ¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
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| Keywords | マルコフ連鎖モンテカルロ法 / マルコフ切替モデル / 計量経済学 / 証券計量経済学 / ベイズ統計学 / 時系列解析 / MCMC / 経済統計 / ボラティリティ－変動モデル / 状態空間モデル |
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| Outline of Final Research Achievements |
In this study, we focused on the important financial risk indices, namely, beta risk and conditional volatility, and present efficient estimation tools based on Bayesian Markov Chain Monte Carlo methods. We conduct a survey study. We show the predictability of Japanese CI series at on the financial crisis in the empirical study, “In-sample and out-of-sample prediction for Japanese composite index”. In “Does the big earthquake affect on the financial Markets?” , we show the regime change in daily beta risks using state space models.
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Report
(5 results)
Research Products
(9 results)
