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2004 Fiscal Year Final Research Report Summary

Research on Statistical Theory and Time Series Analysis for Mathematical Finance

Research Project

Project/Area Number 14203003
Research Category

Grant-in-Aid for Scientific Research (A)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionHitotsubashi University

Principal Investigator

YAMAMOTO Taku  Hitotsubashi University, Graduate School of Economics, Professor, 大学院・経済学研究科, 教授 (50104716)

Co-Investigator(Kenkyū-buntansha) HAYAKAWA Takeshi  Fuji University, Graduate School of Economics and Management System, Professor, 大学院・経済・経営システム研究科, 教授 (00000183)
TAKAHASHI Hajime  Hitotsubashi University, Graduate School of Economics, Professor, 大学院・経済学研究科, 教授 (70154838)
SHIBA Tsunemasa  Hitotsubashi University, Graduate School of Economics, Professor, 大学院・経済学研究科, 教授 (90187386)
TANAKA Katsuto  Hitotsubashi University, Graduate School of Economics, Professor, 大学院・経済学研究科, 教授 (40126595)
KUWANA Yoichi  Hitotsubashi University, Graduate School of Economics, Associate Professor, 大学院・経済学研究科, 助教授 (30272769)
Project Period (FY) 2002 – 2004
KeywordsTime series analysis / Statistical theory / Finance / Mathematical finance / Structural change / Wavelet / Financial series / Simulation
Research Abstract

1.For analysis of financial and economic time series, the tests for the short-run and the long-run causalities were developed for cointegrated systems.
2.The forecasting procedure for large cointegrated systems was developed. It was made possible by extracting principal components of a large cointegrated system. The experiments and the actual forecasts of stock prices of 25 companies supported its validity.
3.For analysis of economic time series including financial series, the Lagrange Multiplier test was developed for a change in long-run persistence. Statistical properties of the test were investigated. The strength of persistence in Yen/Dollar exchange rate was examined.
4.The new concept, the embedded complete market, was proposed in place of the traditional but restrictive "complete market." Based upon it, a new method for calculating the option price was derived.
5.The pricing of the weather derivative was investigated. Specifically, the model for temperature was developed based upon data of Tokyo and Nagoya in order to derive the weather derivative.
6.Two simulation methods were investigated for econometric model analysis : One was the Beyesian Markov Chain Monte Carlo(MCMC) method, and the other one was non-Bayes bootstrap method.
7.Using the high frequency exchange rate data, the announcement effect of economic indicators was analyzed. Further, the analysis was extended for decomposed baseline data and surprise data.
8.Derivation of the distribution for quadratic functionals of fractional Brownian motion was examined. While the exact results were unsolved, some conjectures were given. The prediction on a simple result for moments was obtained.
9.After investigating the traditional time-domain and frequency-domain approaches for parameter estimation in non-stationary or long memory time series, they were compared with the wavelet-based estimators. It was found that the wavelet-based method gives more accurate results than the traditional ones.

  • Research Products

    (26 results)

All 2005 2004 2003 2002

All Journal Article (24 results) Book (2 results)

  • [Journal Article] Equivalence of Two Expressions of the Impact Matrix2005

    • Author(s)
      黒住英司, 千木良弘朗, 山本拓
    • Journal Title

      Econometric Theory (印刷中)

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] On Embedded Complete Markets2005

    • Author(s)
      高橋一
    • Journal Title

      Hitotsubashi Journal of Economics 46-1

      Pages: 99-110

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] ウェーブレット解析の統計学への応用について2005

    • Author(s)
      田中勝人
    • Journal Title

      数学 57

      Pages: 50-69

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Equivalence of Two Expressions of the Impact Matrix2005

    • Author(s)
      Eiji Kurozumi, Hiroaki Chigira, Taku Yamamoto
    • Journal Title

      Econometric Theory (forthcoming)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] On Embedded Complete Markets2005

    • Author(s)
      Hajime Takahashi
    • Journal Title

      Hitotsubashi Journal of Economics 46-1

      Pages: 99-110

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Applications of Wavelet in Statistics(in Japanese)2005

    • Author(s)
      Katsuto Tanaka
    • Journal Title

      Sugaku 57

      Pages: 50-69

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Frequency Domain and Wavelet-based Estimation for Long Memory Signal Plues Noise Models2004

    • Author(s)
      田中勝人
    • Journal Title

      Festschrift for Professor Durbin(Cambridge University Press)

      Pages: 75-91

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Frequency Domain and Wavelet-based Estimation for Long Memory Signal Plus Noise Models2004

    • Author(s)
      Katsuto Tanaka
    • Journal Title

      Festschrift for Professor Durbin(Cambridge University Press)

      Pages: 75-91

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] ある種の統計量の事後分布の漸近分布の漸近展開について2003

    • Author(s)
      早川毅
    • Journal Title

      京都大学数理解析研究所講究録「漸近的統計理論」 1308

      Pages: 20-28

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Finite Sample Properties of the Granger Non-Causality Test in Possibly Cointegrated Systems2003

    • Author(s)
      山本拓, 千木良弘朗
    • Journal Title

      Bulletin of the International statistical Institute 60

      Pages: 666-667

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Asymptotic Expansion of Asymptotic Distribution of Posterior Distribution of a Certain Statistic(in Japanese)2003

    • Author(s)
      Takeshi Hayakawa
    • Journal Title

      Research Institute of Mathematical Sciences, Kyoto University, Research Memorandum in Asymptotic Statistical Theory 1308

      Pages: 20-28

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Finite Sample Properties of the Granger Non-Causality Test in Possibly Cointegrated Systems2003

    • Author(s)
      Taku Yamamoto, Hiroaki Chigira
    • Journal Title

      Bulletin of the International Statistical Institute 60

      Pages: 666-667

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Independence of Likelihood Ratio Criterion for Homogeniety of Several Populations2002

    • Author(s)
      早川毅
    • Journal Title

      Annals of the Institute of Statistical Mathematics 54

      Pages: 918-933

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Testing for Stationarity with a Break2002

    • Author(s)
      黒住英司
    • Journal Title

      Journal of Econometrics 108

      Pages: 63-99

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Testing for Periodic Stationarity2002

    • Author(s)
      黒住英司
    • Journal Title

      Econometric Reviews 21

      Pages: 243-270

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] The Limiting Properties of the Canova-Hansen Test under Alternatives2002

    • Author(s)
      黒住英司
    • Journal Title

      Econometric Theory 18

      Pages: 1197-1220

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] On Pricing Exponential Square Root Barrier Knockout European Options2002

    • Author(s)
      森本真由美, 高橋一
    • Journal Title

      Asia-Pacific Financial Markets 9

      Pages: 1-21

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] A Unified Approach to the Measurement Error Problem in Time Series Models2002

    • Author(s)
      田中勝人
    • Journal Title

      Econometric Theory 18

      Pages: 278-296

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Independence of Likelihood Ratio Criterion of Homogeniety of Several Populations2002

    • Author(s)
      Takeshi Hayakawa
    • Journal Title

      Annals of the Institute of Statistical Mathematics 54

      Pages: 918-933

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Testing for Stationarity with a Break2002

    • Author(s)
      Eiji Kurozumi
    • Journal Title

      Journal of Econometrics, 108

      Pages: 63-99

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Testing for Periodic Stationarity2002

    • Author(s)
      Eiji Kurozumi
    • Journal Title

      Econometric Reviews 21

      Pages: 243-270

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] The Limiting Properties of the Canova-Hansen Test Under Alternatives2002

    • Author(s)
      Eiji Kurozumi
    • Journal Title

      Econometric Theory 18

      Pages: 1197-1220

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] On Pricing Exponential Square Root Barrier Knockout European Options2002

    • Author(s)
      Mayumi Morimoto, Hajime Takahashi
    • Journal Title

      Asia-Pacific Financial Markets 9

      Pages: 1-21

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] A Unified Approach to the Measurement Error Problem in Time Series Models2002

    • Author(s)
      Katsuto Tanaka
    • Journal Title

      Econometric Theory 18

      Pages: 278-296

    • Description
      「研究成果報告書概要(欧文)」より
  • [Book] 経済時系列の統計-その数理的基礎2003

    • Author(s)
      刈屋武昭, 田中勝人, 矢島美寛
    • Total Pages
      318
    • Publisher
      岩波書店
    • Description
      「研究成果報告書概要(和文)」より
  • [Book] Statistics for Economic Time Series : Mathmatical Foundations.(in Japanese)2003

    • Author(s)
      Takeaki Kariya, Katsuto Tanaka, Yoshihiro Yajima
    • Total Pages
      318
    • Publisher
      Iwanami Shoten
    • Description
      「研究成果報告書概要(欧文)」より

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Published: 2006-07-11  

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