| 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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| 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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