2016 Fiscal Year Final Research Report
Econometric Analysis of Interdependence of High Order Moments
| Project/Area Number |
25380267
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Kobe University |
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Principal Investigator |
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| Project Period (FY) |
2013-04-01 – 2017-03-31
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| Keywords | ボラティリティ / 相互依存関係 / 資産収益率 |
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| Outline of Final Research Achievements |
We have applied the latest estimation/testing procedure in this research area to the data on various asset returns such as stocks, bonds, and currency exchange and conducted an econometric analysis of the interdependence between asset markets. In addition, we have published the results of the analysis in peer-reviewed international academic journals. As a result, we were able to obtain major research opportunities such as publishing a total of 14 research papers in peer-reviewed international academic journals. Although research in this field has been actively conducted in Europe and the United States, in Japan, the amount of research in this field has been relatively less. However, we believe that this research project can fill this gap to a certain extent.
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| Free Research Field |
経済統計
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