金融時系列の分散構造変化問題

金融时间序列方差结构变化问题

• 批准号: 07630020
• 负责人: TAKAHASHI Hajime
• 金额: $ 1.15万
• 依托单位: Hitotsubashi University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1995
• 资助国家: 日本
• 起止时间: 1995 至 1996
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-07630020/
• 关键词: Financial Time Series; Ito Formula; Change Point; Variance; Itoの公式

We have considered the problem of approximating the discrete time processes by the continuous time processes. The key step is to introduce the new term in the Ito formula and the some of its results are found in "On the discrete Ito formula and one factor interest rate model" (1996) Ruee Working paper #96-64 Faculty of Economics Hitotsubashi University, Kunitachi Tokyo, Japan. The results make it possible to modify the existing models on the term structure of interests rates, such as Vasicek (1977), and Heath, Jarrow and Morton (1992), discritize in more realistic fashon. We also summarized these models in the papers "On some model for the term structure of interest rates" (1966) Hitotsubashi University Research Series, Economics Vol.37,87-125, and "On some model for the term structure of interest rates II" (1966) The Annual Bulleti of the Institute for Economic Studies, Seijo University, Vol.9 103-129.As to the problems of finding the change point of the variance of the normal random walks, we found the problem is deeply related with the Brownian motion approximation for the test process of Bays procedure which tests the normal variances. (This is pointed out to us by Prof.Chernoff). We are now considering the problem in terms of the sequential test and we are now obtaining the relevant results via the methods of backward induction.

我们考虑了通过连续时间过程近似离散时间过程的问题。关键步骤是在ITO公式中介绍新术语，其一些结果在“基于离散的ITO公式和一个因素的利率模型”（1996）Ruee工作文件＃96-64经济学经济学学院Hitotsubashi University，KunitaChi University，KunitaChi Tokery of Japan Tokyo。结果使得在利率的术语结构中修改现有模型，例如Vasicek（1977）和Heath，Jarrow and Morton（1992），在更现实的Fashon中离散。我们还在论文中总结了这些模型的“利率的某种模型”（1966年）Hitotsubashi University Research系列，经济学，第37,87-125卷，以及“在某些利率结构的术语结构II的术语结构II”（1966年）（1966年）的年度公告，塞吉大学经济研究所的年度bulterius，塞吉大学，第9103-129页。与测试正常方差的海湾测试过程的布朗运动近似密切相关。 （这是由Chernoff教授向我们指出的）。我们现在正在考虑顺序测试的问题，现在我们通过向后诱导的方法获得了相关结果。

项目成果

Hajime TAKAHASHI: "On the discrete Ito formula and one factor interest rate models" Ruee96-64一橋大学経済学部. (1996)

Hajime TAKAHASHI：“关于离散伊藤公式和单因素利率模型”Ruee96-64 一桥大学经济学院（1996 年）。

Takahashi, Hajime: "On some model for the term structure of interest rates" Hitotsubashi University Research Series, Economics. Vol.37. 87-125 (1996)

Takahashi Hajime：“关于利率期限结构的某种模型”一桥大学研究系列，经济学。

Hajime TAKAHASHI: "On the discrete Ito formula and one factor interest rate models" Ruee 96-64一橋大学経済学部. (1996)

Hajime TAKAHASHI：“关于离散伊藤公式和单因素利率模型”Ruee 96-64 一桥大学经济学院 (1996)。

高橋一: "金利の期間構造決定モデル" 一橋大学研究年報経済学研究. 37. 87-125 (1996)

Hajime Takahashi：“确定利率期限结构的模型”一桥大学经济学年报 37. 87-125 (1996)。

Takahashi, Hajime: "On the discrete Ito formula and one factor interest rate model" Ruee Working paper #96-64 Faculty of Economics, Hitotsubashi University, Kunitachi Tokyo, Japan.(1996)

Takahashi, Hajime：“关于离散伊藤公式和一因子利率模型”Ruee 工作论文