Econometric methods for high frequency data

高频数据的计量经济学方法

• 批准号: 20K13470
• 负责人: ポチロン ヨアン
• 金额: $ 2.75万
• 依托单位: Keio University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Early-Career Scientists
• 财政年份: 2020
• 资助国家: 日本
• 起止时间: 2020-04-01 至 2024-03-31
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-20K13470/
• 关键词: econometrics; statistics; finance; market microstructure; volatility; cointegration

The research went well overall. With my coworker Per Mykland, we were able to finalize the project on local estimation. The paper is now published in Journal of Business and Economic Statistics. With my coworker Simon Clinet, we also finished our work related to explaining the market microstructure noise from an econometrics view-point. We were able to publish two new related papers about this project, one in Journal of Business and Economic Statistics and another one in Annals of the Institute of Statistical Mathematics. Finally, we have also completed our project on cointegration with high frequency data, with the publication of a paper in Electronic Journal of Statistics. All of these results have also been presented in seminars, conferences and discussed with leading experts in the field.

总体而言，这项研究进展顺利。在我的同事Per Mykland的帮助下，我们能够根据当地的估计完成这个项目。这篇论文现已发表在《商业与经济统计杂志》上。和我的同事西蒙·克林特一起，我们也完成了从计量经济学的角度解释市场微观结构噪音的相关工作。我们得以在《商业与经济统计杂志》和《统计数学研究所年鉴》上发表了两篇与该项目相关的新论文。最后，我们还完成了利用高频数据进行协整的项目，并在《电子统计杂志》上发表了一篇论文。所有这些成果还在研讨会、会议上发表，并与该领域的主要专家进行了讨论。

项目成果

A tale of two time scales: applications in nonparametric Hawkes processes with Ito semimartingale baseline

两个时间尺度的故事：具有伊藤半鞅基线的非参数霍克斯过程中的应用

• 发表时间: 2022
• 作者: Fumiya Akashi;Junichi Hirukawa;Konstantinos Fokianos;周 雨霏;Kohei Saito;Potiron Yoann
• 通讯作者: Potiron Yoann

Existence in the inverse Shiryaev problem

Shiryaev 反问题的存在性

• 发表时间: 2022
• 作者: 明石郁哉;室岡健志;Potiron Yoann
• 通讯作者: Potiron Yoann