Duration models related problems in econometrics

• Project/Area Number: 23K25504
• Project/Area Number (Other): 23H00807 (2023)
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Multi-year Fund (2024); Single-year Grants (2023)
• Section: 一般
• Review Section: Basic Section 07030:Economic statistics-related; Basic Section 07060:Money and finance-related; Sections That Are Subject to Joint Review: Basic Section07030:Economic statistics-related , Basic Section07060:Money and finance-related
• Research Institution: Keio University
• Principal Investigator: ポチロン ヨアン 慶應義塾大学, 商学部(三田), 准教授 (60781119)
• Project Period (FY): 2023-04-01 – 2028-03-31
• Project Status: Granted (Fiscal Year 2024)
• Budget Amount: ¥17,290,000 (Direct Cost: ¥13,300,000、Indirect Cost: ¥3,990,000); Fiscal Year 2027: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000); Fiscal Year 2026: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000); Fiscal Year 2025: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000); Fiscal Year 2024: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000); Fiscal Year 2023: ¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
• Keywords: financial econometrics / econometrics / statistics / finance / point processes / duration data

Outline of Research at the Start

For Project 1, we have one paper rejected by Journal of the American Statistical Association. For Project 2, we have one paper reject and resubmit from Journal of
American Statistical Association, which we will be working on with
Vladimir Volkov