2013 Fiscal Year Final Research Report
Bayesian econometric analysis of financial risk and economic behavior
| Project/Area Number |
21243018
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| Research Category |
Grant-in-Aid for Scientific Research (A)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | The University of Tokyo |
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Principal Investigator |
OMORI YASUHIRO 東京大学, 経済学研究科(研究院), 教授 (60251188)
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| Co-Investigator(Kenkyū-buntansha) |
KOZUMI Hideo 神戸大学, 経営学研究科, 教授 (10261273)
HIBIKI Akira 上智大学, 経済学部, 教授 (30218739)
WATANABE Toshiaki 一橋大学, 経済研究所, 教授 (90254135)
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| Project Period (FY) |
2009-04-01 – 2014-03-31
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| Keywords | ベイズ統計学 / マルコフ連鎖モンテカルロ法 / 確率的ボラティリティ変動モデル / 実現ボラティリティ / 分位点回帰モデル / 計量ファイナンス / 水道需要関数 |
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| Research Abstract |
We conducted a research on Bayesian econometric analysis of financial risk and economic behavior. In the analysis of financial risk evaluation, we studied (1) several extensions of univariate stochastic volatility models, (2) the simultaneous modelling of stochastic volatility and realized volatility, (3) multivariate stochastic volatility models, (4) time series models for the maximum and quantiles, and (5) financial econometric analysis using realized volatilities. In the analysis of economic behaviours, we carries out econometric research on (1) models based on the game theory, (2) models for choices, (3) water demand function and policy analysis, (4) macroeconometric models, (5) quantile regression models and (6) environmental economics.
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