Econometrics of asset pricing models

2016 Fiscal Year Final Research Report

• Project/Area Number: 26380272
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Nagoya University of Commerce & Business (2016); Nagoya City University (2014-2015)
• Principal Investigator: Hodoshima Jiro 名古屋商科大学, 経済学部, 教授 (30181514)
• Project Period (FY): 2014-04-01 – 2017-03-31
• Keywords: パネルデータ分析 / Bootstrap / シミュレーション / Hetoroskedasticity / 福島原発の影響

Outline of Final Research Achievements

I have completed two research papers related to cluster-robust variance esimators in the panel-data analysis of Fukushima disaster. I have published Hirukawa and Hodoshima (2016) on a research topic of unknown form of heteroskedasticity and autocorrelation in the panel data analysis. I have presented a study of a value measure, i.e., Hodoshima, Misawa, and Miyahara (2016), assuming data follow the class of normal mixture distributions, and have found promising research topics related to a value measure.

Free Research Field

計量経済学、ファイナンス、統計学