2019 Fiscal Year Final Research Report
Forecasting and model selection in time-varying parameter models
| Project/Area Number |
17K13718
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic statistics
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| Research Institution | Keio University |
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Principal Investigator |
Potiron Yoann 慶應義塾大学, 商学部(三田), 講師 (60781119)
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| Project Period (FY) |
2017-04-01 – 2020-03-31
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| Keywords | high frequency data |
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| Outline of Final Research Achievements |
Research went pretty well, which led to several papers submitted to econometric journals. It was quite a successful project,the output corresponds quite closely to the expectations.
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| Free Research Field |
Financial Econometrics
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| Academic Significance and Societal Importance of the Research Achievements |
The research academic and social significance was at the center of the research project, as estimating volatility on financial markets can help predict future financial crises, that could potentially impact everybody.
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