Time series analysis on financial crises

2014 Fiscal Year Final Research Report

• Project/Area Number: 23530248
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Chiba University
• Principal Investigator: OGA Takashi 千葉大学, 法政経学部, 准教授 (50326005)
• Project Period (FY): 2011-04-28 – 2015-03-31
• Keywords: マルコフ連鎖モンテカルロ法 / マルコフ切替モデル

Outline of Final Research Achievements

In this study, we focused on the important financial risk indices, namely, beta risk and conditional volatility, and present efficient estimation tools based on Bayesian Markov Chain Monte Carlo methods. We conduct a survey study. We show the predictability of Japanese CI series at on the financial crisis in the empirical study, “In-sample and out-of-sample prediction for Japanese composite index”. In “Does the big earthquake affect on the financial Markets?” , we show the regime change in daily beta risks using state space models.

Free Research Field

証券計量経済学