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1990 Fiscal Year Final Research Report Summary

New Econometric Methods and Their Applications to Japanese Financial Markets

Research Project

Project/Area Number 01301075
Research Category

Grant-in-Aid for Co-operative Research (A)

Allocation TypeSingle-year Grants
Research Field 統計学
Research InstitutionUniversity of Tokyo

Principal Investigator

KUNITOMO Naoto  University of Tokyo, Faculty of Economics, Associate Professor, 経済学部, 助教授 (10153313)

Co-Investigator(Kenkyū-buntansha) TSUKUDA Yoshihiko  Tohoku University, Faculty of Economics, Professor, 経済学部, 教授 (10091836)
WAGO Hajime  Toyama University, Faculty of Economics, Professor, 経済学部, 教授 (00091934)
SHIBA Tsunemasa  University of Tsukuba, Institute of Socio-Economic Planning, Associate Professor, 社会工学系, 助教授 (90187386)
MORIMUNE Kimio  Kyoto University, The Kyoto Institute of Economic Research, Professor, 経済研究所, 教授 (20109078)
YAMAMOTO Taku  University of Tsukuba, Institute of Socio-Economic Planning, Professor, 社会工学系, 教授 (50104716)
Project Period (FY) 1989 – 1990
KeywordsFinancial Market / Econometric Analysis / Japanese Economy / Finance / Time Series Analysis / Stock Returns / Factor Models / Kalman Filter
Research Abstract

The main purpose of this research project was to develop new econometric methods and apply them to analyze the data in Japanese financial markets.
As for the theoretical side of the project, we have examined mainly statistical problems such as the unit root problem and the noninvertibility problem in the time series analysis from both the standard sampling approach and the Bayesian approach. Also we have proposed a new estimation method of the volatility parameter in a continuous time stochastic model.
We also have conducted a number of empirical studies using the data in Japanese financial markets. We found that the distributions of stock returns are often different from the normal distributions and have large kurtosis as in the United States. We also have investigated the time varying systematicrisks and developed a dynamic factor model for the Japanese stock markets.
The members of the project have written a large number of papers with the financial assistance of this project. Some of them have been already published in academic journals and the rest of them are available as working papers. The complete list of our papers have been given in our formal report.

  • Research Products

    (65 results)

All Other

All Publications (65 results)

  • [Publications] Naoto Kunitomo,Taku Yamamoto: "“Conditions on Consistency for Testing Hypotheses under Rational Expectation by Vector Autoregressive Models and Cointegration"" Economic Studies Quarterly. 41ー1. 15-33 (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Naoto Kunitomo,T.W.Anderson: "“Asymptotic Robustness in Regression and Autoregression Based on Lindeberge Conditions"" Discussion Paper No.89ーFー10 Faculty of Economics,University of Tokyo. (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Naoto Kunitomo,T.W.Anderson: "“Tests of Overidentification and Exogeneity in Simultaneous epuation Models"" Discussion Paper No.90ーFー1 Faculty of Economics,University of Tokyo. (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Naoto Kunitomo: "“Improving the Parkinson's Estimation Method of Securities Price Volatilities"" Discussion Paper No.90ーFー16 Faculty of Economics,University of Tokyo. (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Naoto Kunitomo,T.W.Anderson: "“Asymptotic Robustness of Tests of Overidentification and Exogeneity"" Discussion Paper NO.90ーFー19 Faculty of Economics,University of Tokyo. (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 山本 拓,小池 拓自: "「マ-ケット・モデルにおけるシステマテック・リスクの確率変動」" 経済研究. 41ー3. 228-240 (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Kimio Morimune: "“t Test in a Structural Equation"" Econometrica. 57. 1341-1360 (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 佃 良彦: "「Taylorモデル ARCHモデルによる株価変動分析」" 刈屋編「金融・証券計量分析の基礎と応用」収録(東洋経済新報社). (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Yoshihiko Tsukuda: "“A System Method of Prediction in Simultaneous Equations"" 経済研究. 41ー3. 201-205 (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Yoshihiko Tukuda,Hosoya,Y.,Terui,N.: "“Ancillarity and the Limited Information Maximum Likelihood Estimation of a Structural Equation in a Simultaneous Equation System"" Econometric Theory. 5ー3. 385-404 (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Yoshihiko Tukuda: "“Comparison of Single Equation Methods of Prediction in a Simultaneous Equation System"" Economic Studies Quarterly. 40ー1. 23-34 (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 佃 良彦: "「金融資産価格の分布:サ-ベイ」" Discussion Paper No.90 東北大学経済学部. (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Yoshihiko Tsukuda,Kariya,T.: "“Temporal Aggregation of Financial Time Series in Taylor's Model"" Discussion Paper No.226 一橋大学経済研究所. (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Yoshihiko Tsukuda: "“Large Sample Asymptotic Expansions of the Distributions of Test Statistics in a Simple Linear Functional Relationship" Discussion Paper No.84 東北大学 経済学部. (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Yoshihiko Tsukuda,Sasaki,K.,Shibata,H.: "“Oil Crisis and Energy Demand in the Japanese Manufacturing:Resional Dimension"" Journal of Japan Statistical Society. (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Katsuto Tanaka,S.E.Satchell: "“Asymptotic Properties of the MaximumーLikelihood and Nonlinear LeastーSquares Estimators for Noninvertible Moving Average Models"" Econometric Theory. 5. 333-353 (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Katsuto Tanaka,Nabeya,S.: "“A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors"" Econometrica. 58. 145-163 (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Katsuto Tanaka: "“Asymptotic Distribution of the Least Squares Estimator of the Cointegrating Vector"" The Economic Review. 193-200 (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Katsuto Tanaka: "“The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models"" Econometric Theory. 6. 411-432 (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Katsuto Tanaka: "“Testing for a Moving Average Unit Root"" Econometric Theory. 6. 434-444 (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Katsuto Tanaka: "“Limiting Power of Unit Root Tests in Time Series Regression"" Econometric Theory. (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Katsuto Tanaka: "“Distributions Associated with the Ito Stochastic Integral"" Discussion Paper,Hitotsubashi University. (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Katsuto Tanaka: "“Initial Value problems for NearーIntegrated Processes"" Discussion Paper,Hitotsubashi University. (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Hajime Wago: "“Mean Squared Errors of Forecast for Selecting NonーNested Linear Models and Comparison with Other Criteria"" Discussion Paper No.119 Faculty of Economics,Toyama University. (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] HAjime Wago,H.Tsurumi: "“A Baysian Analysis of Stationarity and Unit Root Hypotheses"" Unpublished Discussion Paper. (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Tsunemasa Shiba,Douglas R.Shaller: "“Price Smoothing and Demand Noise:On Business Behavior and Macromodels"" Weltwirtschaftliches Archiv. 125ー1. 83-96 (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Tsunemasa Shiba: "“Statistical Inference of the Japanese M1 and M2 Money Demand Functions"" forthcoming in the Economic Studies Quarterly.

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Tsunemasa Shiba,D.Shaller: "“Price Smoothing and Demand Noise:Japanese Case"" Working Paper #108 University of Toyama. (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Tsunemasa Shiba,H.Wago: "“Time Varing Parameter SUR Estimation of a Multifactor Asset Pricing Model"" Unpublished Manuscript. (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Tsunemasa Shiba,H.Tsurumi: "“Tests of Independence of Stochastic Regressors in a Simultaneous Equation Model with Autoregressive Residuals"" ISEP Discussion Paper #438 University of Tsukuba. (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 斯波 恒正: "「貨幣需要関数の一つのベイズ的推測」" Unpublished Manuscript. (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Tsunemasa Shiba,H.Tsurumi: "“A Bayesian Test of Independence of Stochastic Regressors in a Simultaneous Equation Model with Autoregressive Residuals"" ISEP Discussion Paper #448 University of Tsukuba. (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Jiro Hodoshima: "“Effects of Nonnormality on the Estimation of a Single Structural Epuation with Structural Change"" Econometric Theory. 5. 53-62 (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 佃 良彦(共著): "「日本の株価変動」" 東洋経済新報社, (1989)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 佃 良彦(共著): "「経営統計学」" 有斐閣, (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 森棟 公夫: "「統計学入門」" 新世社, (1990)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Naoto Kunitomo and Taku Yamamoto: "Conditions on Consistency for Testing Hypotheses under Rational Expectation by Vector Autoregressive Models and Cointegration "" Economic Studies Quarterly. 41-1. 15-33 (1990)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Naoto Kunitomo and T. W. Anderson: "Asymptotic Robustness in Regression and Autoregression Based on Lindeberge Conditions "" Discussion Paper No. 89-F-10, Faculty of Economics, University of Tokyo, 1989.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Naoto Kunitomo and T. W. Anderson: "Tests of Overidentification and Exogeneity in Simultaneous Equation Models "" Discussion Paper No. 90-F-1, Faculty of Economics, University of Tokyo, 1990.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Naoto Kunitomo: "Improving the Parkinson's Estimation Method of Securities Price Volatilities "" Discussion Paper No. 90-F-16, Faculty of Economics, University of Tokyo, 1990.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Naoto Kunitomo and T. W. Anderson: "Asymptotic Robustness of Tests of Overidentification and Exogeneity "" Discussion Paper No. 90-F-19, Faculty of Economics, University of Tokyo, 1990.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kimio Morimune: "t Test in a Structural Equation "" Econometrica. 57-6. 1341-1360 (1989)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Yoshihiko Tsukuda: "A System Method of Prediction in Simultaneous Equations "" Economic Studies. 41-3. 201-205 (1990)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Yoshihiko Tsukuda and Y. Hosoya, N. Terui: "Ancillarity and the Limited Information Maximum Likelihood Estimation of a Structural Equation in a Simultaneous Equation System "" Econometric Theory. 5-3. 385-404 (1989)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Yoshihiko Tsukuda: "Comparison of Single Equation Methods of Prediction in a Simultaneous Equation System "" Economic Studies Quarterly. 40-1. 23-34 (1989)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Yoshihiko Tsukuda and T. Kariya: "Temporal Aggregation of Financial Time Series in Taylor's Model "" Discussion Paper No. 226, Institute of Economic Research, HItotsubashi University, 1989.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Yoshihiko Tsukuda: "Large Sample Asymptotic Expansions of the Distributions of Test Statistics in a Simple Linear Functional Relationship "" Discussion Paper No. 84, Faculty of Economics, Tohoku University, 1990.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Yoshihiko Tsukuda and K. Sasaki, H. Shibata: "Oil Crisis and Energy Demand in the Japanese Manufacturing : Regional Dimension "" Journal of Japan Statistical Society, 1989.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Katsuto Tanaka and S. E. Satchell: "Asymptotic Properties of the Maximum-Likelihood and Nonlinear Least-Squares Estimators for Noninvertible Moving Average Models "" Econometric Theory. 5. 333-353 (1989)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Katsuto Tanaka and S. Nabeya: "A General Approach to the Limiting Distribution for Estimators in Time Series Regression with Nonstable Autoregressive Errors "" Econometrica. 58. 145-163 (1990)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Katsuto Tanaka: "Asymptotic Distribution of the Least Squares Estimator of the Cointegrating Vector "" The Economic Review. 193-200 (1990)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Katsuto Tanaka: "The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Theory "" Econometric Theory. 6. 411-432 (1990)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Katsuto Tanaka: "Testing for a Moving Average Unit Root "" Econometric Theory. 6. 434-444 (1990)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Katsuto Tanaka: "Limiting Power of Unit Root Tests in Time Series Regression "" Journal of Econometrics.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Katsuto Tanaka: "Distributions Associated with the Ito Stochastic Integral "" Discussion Paper, Hitotsubashi University, 1989.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Katsuto Tanaka: "Initial Value Problems for NearIntegrated Processes "" Discussion Paper, Hitotsubashi University, 1989.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Hajime Wago: "Mean Squared Errors of Forecast for Selecting Non-Nested Linear Models and Comparison with Other Criteria "" Discussion Paper No. 119, Faculty of Economics, Toyama University, 1990.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Hajime Wago and H. Tsurumi: "A Bayesian Analysis of Stationarity and Unit Root Hypotheses "" Unpublished Discussion Paper, 1990.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Tsunemasa Shiba and D. Shaller: "Price Smoothing and Demand Noise : On Business Behavior and Macromodels "" Weltwirtschaftliches Archiv. 125-1. 83-96 (1989)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Tsunemasa Shiba: "Statistical Inference of the Japanese M1 and M2 Money Demand Functions "" Forthcoming in the Economic Studies Quarterly.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Tsunemasa Shiba and D. Shaller: "Price Smoothing and Demand Noise : Japanese Case" Working Paper #108, Toyama University, 1990.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Tsunemasa Shiba and H. Wago: "Time Varing Parameter SUR Estimation of a Multifactor Asset Pricing Model "" Unpublished Manuscript, 1990.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Tsunemasa Shiba and H. Tsurumi: "Tests of Independence of Stochastic Regressors in a Simultaneous Equation Model with Autoregressive Residuals "" ISEP Discussion Paper #438, University of Tsukuba, 1990.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Tsunemasa Shiba and H. Tsurumi: "A Bayesian Test of Independence of Stochastic Regressors in a Simultaneous Equation Model with Autoregressive Residuals "" ISEP Discussion Paper #448, University of Tsukuba, 1990.

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Jiro Hodoshima: "Effects of Nonnormality on the Estimation of a Single Structural Equation with Structural Change "" Econometric Theory. 5. 53-62 (1989)

    • Description
      「研究成果報告書概要(欧文)」より

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Published: 1993-08-12  

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