| Project/Area Number |
25780154
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic statistics
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| Research Institution | Kushiro Public University of Economics |
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Principal Investigator |
UBUKATA MASATO 釧路公立大学, 経済学部, 准教授 (00467507)
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| Project Period (FY) |
2013-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Fiscal Year 2014: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Keywords | 金融高頻度データ / 実現ボラティリティ / インプライドボラティリティ / ジャンプ / 実現共分散 / 最適ヘッジ比率 / 計量ファイナンス / 高頻度データ / リスクマネジメント / ボラティリティ予測 / オプション / 分散共分散行列 / ヘッジ比率 |
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| Outline of Final Research Achievements |
In the literature of risk evaluation and management, we construct an implied jump risk variable from option prices and applies it to time series models for realized volatility. Out-of-sample forecasting evidence suggests that the implied large jump risk variables could be useful in forecasting a realized volatility during the 2008-09 financial crisis.
Second, we investigate the performance of a conditional hedging model using realized covariance measure with noisy high-frequency data. The out-of-sample results show that the model overall performs well for a short hedge in the period without unpredictably large fluctuations in returns such as the Lehman aftermath and the economic impact of the Great East Japan Earthquake.
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