Computer-Intensive Statistical Methods and their Applications in Econometrics

2015 Fiscal Year Final Research Report

• Project/Area Number: 23243038
• Research Category: Grant-in-Aid for Scientific Research (A)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Osaka University
• Principal Investigator: Tanizaki Hisashi 大阪大学, 経済学研究科(研究院), 教授 (60248101)
• Co-Investigator(Kenkyū-buntansha): FUKUSHIGE Mototsugu 大阪大学, 大学院経済学研究科, 教授 (10208936) ; KUROZUMI Eiji 一橋大学, 大学院経済学研究科, 教授 (00332643) ; KAWASAKI Yoshinori 統計数理研究所, モデリング研究系, 教授 (70249910) ; NAMBA Akio 神戸大学, 大学院経済学研究科, 准教授 (60324901)
• Project Period (FY): 2011-04-01 – 2016-03-31
• Keywords: コンピュータ・インテンシブ / 時系列分析 / ボラティリティ / ブートストラップ / 構造変化

Outline of Final Research Achievements

Using statistical methods in a field of economic time series analysis, we estimate the stock price volatility. We consider testing the economic structural change. Moreover, using the bootstrap method, we consider the estimation method and the testing procedure in the case where the dependent vatiable lies on the interval between zero and one. In addition, as some applications, we show a lot of empirical studies using the proposed econometric methods.

Free Research Field

経済統計