Forecasting and model selection in time-varying parameter models

2017 Fiscal Year Research-status Report

• Project/Area Number: 17K13718
• Research Institution: Keio University
• Principal Investigator: ポチロン ヨアン 慶應義塾大学, 商学部(三田), 講師 (60781119)
• Project Period (FY): 2017-04-01 – 2020-03-31
• Keywords: financial econometrics / high frequency data / volatility

Outline of Annual Research Achievements

In the past year, I have finished two projects called Testing if the market microstructure noise is a function of the limit order book and Efficient Estimation for high-frequency data under parametric market microstructure noise, with my coworker Simon Clinet from the Faculty of Economics in Keio University. The first project is already in Revise and Resubmit for Journal of Econometrics, whereas the second project has only been submitted. I have also reviewed one previous paper which is now in minor revision for Journal of Econometrics called Asymptotic Variance Reduction when Estimating Volatility in High Frequency Data.

Current Status of Research Progress

2: Research has progressed on the whole more than it was originally planned.

Reason

I am progressing rather smoothly, accordingly to what I was expecting.

Strategy for Future Research Activity

The plan for next research will follow the original plan. I expect to obtain one or two new papers on the way.