2009 Fiscal Year Final Research Report
Analysis of covariance structure of the financial markets by use of high-frequency data
| Project/Area Number |
19530186
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Economic statistics
|
|---|
| Research Institution | Keio University |
|---|
Principal Investigator |
HAYASHI Takaki Keio University, 大学院・経営管理研究科, 教授 (80420826)
|
|---|
| Project Period (FY) |
2007 – 2009
|
| Keywords | 高頻度データ / 金融工学 / リスク管理 / 離散観測 / 非同期性 / 実現ボラティリティ / 拡散過程 / 共分散 |
|---|
| Research Abstract |
This project aims to investigate methodologies for estimating variance-covariance structure of the financial markets using high-frequency data, which has been getting more accessible and been utilized lately. The principal investigator (PI) has advances the statistical theory for the so-called Hayashi-Yoshida estimator, which PI proposed with Professor Nakahiro Yoshida of the University of Tokyo, and explored its applicability to the practical financial risk management. In the meantime, for exploring potential methodologies as well as applications of high-frequency data modeling and analysis, the PI has done reviews of the existing studies in related fields and he has investigated alternative approaches to quantify financial risks with high-frequency data.
|
