New Econometric Methods and Their Applications to Japanese Financial Markets

新计量经济学方法及其在日本金融市场的应用

• 批准号: 01301075
• 负责人: KUNITOMO Naoto
• 金额: $ 3.14万
• 依托单位: University of Tokyo
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Co-operative Research (A)
• 财政年份: 1989
• 资助国家: 日本
• 起止时间: 1989 至 1990
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-01301075/
• 关键词: Financial Market; Econometric Analysis; Japanese Economy; Finance; Time Series Analysis; Stock Returns; Factor Models; Kalman Filter; 確率過程; 時系列; 非定常性; 非正規性

The main purpose of this research project was to develop new econometric methods and apply them to analyze the data in Japanese financial markets.As for the theoretical side of the project, we have examined mainly statistical problems such as the unit root problem and the noninvertibility problem in the time series analysis from both the standard sampling approach and the Bayesian approach. Also we have proposed a new estimation method of the volatility parameter in a continuous time stochastic model.We also have conducted a number of empirical studies using the data in Japanese financial markets. We found that the distributions of stock returns are often different from the normal distributions and have large kurtosis as in the United States. We also have investigated the time varying systematicrisks and developed a dynamic factor model for the Japanese stock markets.The members of the project have written a large number of papers with the financial assistance of this project. Some of them have been already published in academic journals and the rest of them are available as working papers. The complete list of our papers have been given in our formal report.

该研究项目的主要目的是开发新的计量经济学方法，并将其应用于分析日本金融市场的数据。在该项目的理论方面，我们主要从标准抽样方法和贝叶斯方法研究了时间序列分析中的单位根问题和不可逆问题等统计问题。我们还提出了一种新的连续时间随机模型中波动率参数的估计方法。我们还利用日本金融市场的数据进行了一些实证研究。我们发现，股票收益的分布通常与正态分布不同，并且像美国一样具有很大的峰度。我们还研究了随时间变化的系统风险，并开发了日本股票市场的动态因子模型。该项目的成员在该项目的资助下撰写了大量论文。其中一些已经在学术期刊上发表，其余的可以作为工作论文。我们的论文的完整列表已在我们的正式报告中给出。

项目成果

Yoshihiko Tsukuda: "“A System Method of Prediction in Simultaneous Equations"" 経済研究. 41ー3. 201-205 (1990)

Yoshihiko Tsukuda：“联立方程预测的系统方法”，经济研究 41-3 (1990)。

N.Kunitomo and T.Yamamoto: ""Conditions on Consistency for Testing Hypotheses under Rational Expectation by Vector Autoregressive Models and Cointegration"" The Economic Studies Quarterly. 41-1. 141-159 (1990)

N.Kunitomo 和 T.Yamamoto：“通过向量自回归模型和协整在理性预期下检验假设的一致性条件”《经济研究季刊》。

Naoto Kunitomo,T.W.Anderson: "“Tests of Overidentification and Exogeneity in Simultaneous epuation Models"" Discussion Paper No.90ーFー1 Faculty of Economics,University of Tokyo. (1990)

Naoto Kunitomo，T.W.Anderson：“同时评估模型中的过度识别和外生性检验””讨论论文第 90-F-1 号，东京大学经济学院（1990 年）。

Yoshihiko Tsukuda: "Large Sample Asymptotic Expansions of the Distributions of Test Statistics in a Simple Linear Functional Relationship "" Discussion Paper No. 84, Faculty of Economics, Tohoku University, 1990.

Yoshihiko Tsukuda：“简单线性函数关系中检验统计量分布的大样本渐近展开”讨论论文第 84 号，东北大学经济学院，1990 年。

Naoto Kunitomo,T.W.Anderson: "“Asymptotic Robustness of Tests of Overidentification and Exogeneity"" Discussion Paper NO.90ーFー19 Faculty of Economics,University of Tokyo. (1990)

Naoto Kunitomo，T.W.Anderson：““过度识别和外生性检验的渐进稳健性””讨论论文 NO.90-F-19 东京大学经济学院（1990 年）。