| Budget Amount *help |
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2013: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2012: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2011: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Research Abstract |
We find out that the particle filtering technique is an effective method for statistical inference of stochastic copulas with time-varying dependence structure. As financial applications we have developed copula-based stochastic volatility(SV) model, multi-variate SV model,stochastic vein copula model, and so on. Furthermore, we have proposed new types of portfolio optimization based on the tail-risk parity/budgeting approach.
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