2017 Fiscal Year Final Research Report
Testing for the dimension of the nonlinear state space model using particle filter
| Project/Area Number |
15K03394
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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 | Yokohama National University |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Keywords | copula / stochastic volatility / state space model / particle filter / maximum likelihood |
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| Outline of Final Research Achievements |
In this project I have obtained the Lagrange multiplier test for the null hypothesis that bivariate time series has a single volatility process in common against the alternative hypothesis that the two series have different volatility process. This test can be used to check that two financial returns has a common factor of volatility changed and hence that the cause of financial turmoil can be identified.
I also developed a new asymmetric copula which is more flexible than the popular Joe-Clayton copula and obtained a model where asymmetric dependence of bivariate financial time series changes over time in the fame work of the state-space model. and estimated it using particle filter method. These models were applied to actual financial data.
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| Free Research Field |
時系列分析
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