2012 Fiscal Year Final Research Report
Issues related to financial risk measurement and its statistical inference
| Project/Area Number |
22243021
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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 | Osaka University |
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Principal Investigator |
OYA Kosuke 大阪大学, 大学院・経済学研究科, 教授 (20233281)
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| Co-Investigator(Kenkyū-buntansha) |
WATANABE Toshiaki 一橋大学, 経済研究所, 教授 (90254135)
MAGHREBI Nabil 和歌山大学, 経済学部, 教授 (20283947)
TANIGAWA Yasuhiko (60163622)
OHNISHI Masamitsu 大阪大学, 経済学研究科, 教授 (10160566)
UBUKATA Masato 釧路公立大学, 経済学部, 准教授 (00467507)
ISHIDA Isao 大阪大学, 金融保険教育研究センター, 特任講師 (20361579)
FUKASAWA Masaaki 大阪大学, 理学研究科, 准教授 (70506451)
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| Project Period (FY) |
2010 – 2012
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| Keywords | 計量ファイナンス / 高頻度データ解析 / 金融リスク |
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| Research Abstract |
Inappropriate risk evaluation can be potential source of financial instability and reduction of market liquidity. As a result, we have a serious impact on the economic activities. In this study, we conduct research on,risk index which does not depend on the specific model, building a predictive model of risk index and the analysis of high frequency financial market data.
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[Journal Article] Model-Free Implied Volatility: from Surface to Index2011
Author(s)
Fukasawa, M., Ishida, I., Maghrebi, N., Oya, K., Ubukata, M. and Yamazaki, K
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Journal Title
International Journal of Theoretical and Applied Finance
Volume: vol.14
Pages: 433-463
Peer Reviewed
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