| Project/Area Number |
25380267
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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 | Kobe University |
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Principal Investigator |
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| Project Period (FY) |
2013-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
Fiscal Year 2016: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2015: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2014: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2013: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000)
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| Keywords | ボラティリティ / 相互依存関係 / 資産収益率 / global financial turmoil / dynamic correlation / equicorrelaion / price shock transmission / volatility spillover / realized GARCH / dependence structures / Archimedean copulas / GEM / IPO / contagion / 高次モーメント / 計量分析 |
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| Outline of Final Research Achievements |
We have applied the latest estimation/testing procedure in this research area to the data on various asset returns such as stocks, bonds, and currency exchange and conducted an econometric analysis of the interdependence between asset markets. In addition, we have published the results of the analysis in peer-reviewed international academic journals. As a result, we were able to obtain major research opportunities such as publishing a total of 14 research papers in peer-reviewed international academic journals. Although research in this field has been actively conducted in Europe and the United States, in Japan, the amount of research in this field has been relatively less. However, we believe that this research project can fill this gap to a certain extent.
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