| Project/Area Number |
25380271
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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 | Soka University |
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Principal Investigator |
ASAI MANABU 創価大学, 経済学部, 教授 (90319484)
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Project Status |
Completed (Fiscal Year 2015)
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| Budget Amount *help |
¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2015: ¥260,000 (Direct Cost: ¥200,000、Indirect Cost: ¥60,000)
Fiscal Year 2014: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2013: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | 実現共分散 / 非対称 / 長期記憶 / 非対称性 / 長期記憶性 / 予測 |
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| Outline of Final Research Achievements |
This project deals with the "realized covariance" (RC), which is the multivariate extension of the realized volatility. I wrote four papers using the output of the project:
(1) The first paper extended the continuous-time Wishart autoregressive model, by accommodating the asymmetric effects, and analyzed it using the RC; (2) The second paper extended the model by accommodating the long memory; (3) The third paper developed and compared various kinds of discrete-time RC models, accommodating long memory, asymmetry, and dynamic correlations; (4) As the preliminary analysis of the the third paper, the fourth paper developed the matrix-exponential dynamic correlation model with asymmetry and long memory.
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