| 研究課題/領域番号 |
20K13470
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| 研究機関 | 慶應義塾大学 |
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研究代表者 |
ポチロン ヨアン 慶應義塾大学, 商学部(三田), 准教授 (60781119)
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| 研究期間 (年度) |
2020-04-01 – 2023-03-31
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| キーワード | econometrics |
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| 研究実績の概要 |
I had promising results on two different projects, namely Hawkes processes and hitting boundary of stochastic processes. This will be highly useful for econometrics of financial high frequency data. The theory, including an extensive definition of the model and comparison to the literature, was included for both projects.I have also derived the asymptotic results, namely consistency of the estimators and central limit theory.
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| 現在までの達成度 (区分) |
現在までの達成度 (区分)
2: おおむね順調に進展している
理由
I am progressing just as planned. The project on Hawkes processes theory part is done, as expected. On the other hand, there is still the applied part of the project to be done, which is just what was more or less planned. The other project theory is almost done, and I have been working actively on the numerical studies.
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| 今後の研究の推進方策 |
We are going to continue this research by dividing in two projects. We are going to conduct Monte Carlo experiments, and empirical study on SP 500. Once the projects are done, I will submit to top econometrics and/or statistics journals.
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| 次年度使用額が生じた理由 |
The funding was not fully used because of COVID related situation. It was almost impossible to travel internationally, and I had to cancel several conferences/seminars all over the World. Next year, I plan to use more to go to conferences if the situation allows it.
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