New Developments in Financial Econometrics and Financial Markets in Japan

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This research project has studied the recent developments in financial econometrics. In particular, we have paid special attentions on the statistical analysis of credit derivatives, the statistical analysis of financial micro-market performance and the statistical analysis of financial risk managements. We have written several academic papers on the statistical pricing theory of corporate bonds and empirical analysis, the statistical analysis of micro-market efficiency and the statistical analysis of financial risk managements. We have made some progress on the measurement theories of financial micro-markets and the empirical analysis of Japanese financial markets.