Econometrics of asset pricing models
| Project/Area Number |
26380272
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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 | Nagoya University of Commerce & Business (2016)
Nagoya City University (2014-2015) |
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Principal Investigator |
Hodoshima Jiro 名古屋商科大学, 経済学部, 教授 (30181514)
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| Project Period (FY) |
2014-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000)
Fiscal Year 2016: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2015: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Keywords | パネルデータ分析 / Bootstrap / シミュレーション / Hetoroskedasticity / 福島原発の影響 / ぺネルデータ分析 / bootstrap / heteroskedasticity / 福島原発事故 / normal mixture / clustering |
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| Outline of Final Research Achievements |
I have completed two research papers related to cluster-robust variance esimators in the panel-data analysis of Fukushima disaster. I have published Hirukawa and Hodoshima (2016) on a research topic of unknown form of heteroskedasticity and autocorrelation in the panel data analysis. I have presented a study of a value measure, i.e., Hodoshima, Misawa, and Miyahara (2016), assuming data follow the class of normal mixture distributions, and have found promising research topics related to a value measure.
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Report
(4 results)
Research Products
(13 results)
