Duration models related problems in econometrics
| Project/Area Number |
23K25504
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| Project/Area Number (Other) |
23H00807 (2023)
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Multi-year Fund (2024)
Single-year Grants (2023) |
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| Section | 一般 |
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| 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
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| Research Institution | Keio University |
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Principal Investigator |
ポチロン ヨアン 慶應義塾大学, 商学部(三田), 准教授 (60781119)
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| Project Period (FY) |
2023-04-01 – 2028-03-31
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| Project Status |
Granted (Fiscal Year 2024)
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| Budget Amount *help |
¥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)
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| Keywords | financial econometrics / econometrics / statistics / finance / point processes / duration data |
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| 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
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| Outline of Annual Research Achievements |
Summary of research achievements: For Project 1, we have three working papers, one
who was rejected by Journal of the American Statistical Association and that should be resubmitted to the Annals of Statistics.
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
For project 3, we have three working papers, which should be submitted to journals of mathematical statistics such as Bernoulli and Annals of Institute of Statistical Mathematics.
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| Current Status of Research Progress |
Current Status of Research Progress
2: Research has progressed on the whole more than it was originally planned.
Reason
The research goes smoothly overall. although some part of it
is now on pause, since my co-author Seunghyeon Yu has been busy in
the past year for Project 1.
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| Strategy for Future Research Activity |
I expect that the three projects will
continue as possible, and will probably give a talk in the Sofie
annual meeting, and some other conference on mathematical statistics
and nonparametric statistics.
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Report
(1 results)
Research Products
(6 results)
