Testing Randomess of Heteroskedastic Time Series Data Base of Simulation

异方差时间序列仿真数据库随机性检验

• 批准号: 08650075
• 负责人: KISHIMOTO Kazuo
• 金额: $ 1.34万
• 依托单位: University of Tsukuba
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1996
• 资助国家: 日本
• 起止时间: 1996 至 1997
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-08650075/
• 关键词: Simulation; Time Series; Serial Correlation; Non-Parametric Test; Heteroskedasticity; GARCH; Optimum Allocation; Rational Voting; シミュレーション; GARCHモデル; 分散変動; Markov過程; 収益率; 合理的投票理論; 頑健性

This investigation is an extenstion of my previous work on the serial correlation test of heteroskedasitc time series data.I have shown that it is applicable to the test of zero risk-premium in the framework of GARCH-M model. It application to some Japanese stock indices has shown the existence of risk-premium which is consistent with the ordinary risk premium theory in economics.I have also shown that this approach is applicable to the test of cross-correlation between two time series.In the process of this work, I found a method for efficient generation of a GARCH sample path. It is expected to be used for the efficient estimation of GARCH parameters in the future.I have also found the rate of convergence of distribution to the limit equilibrium distribution when we regard the GARCH model as a Markov process.I have also shown empirically that the parameter estimation of GARCH is robust when the sampling period is enough long.As a by-product of this work, I found a new equilibrium in the two dimensional rational voting theory.

项目成果

朱文増, 他: "株価収益率と対数株価収益率の間に成立する関係式について" 経営財務研究双書. (印刷中).

朱文洲等：“论股票市盈率与对数股票市盈率的关系表达式”，管理与金融研究论文（出版中）。

朱 文増, 他: "株価収益率と対数株価収益率の間に成立する関係式について" 経営財務研究双書.

朱文正等：“论股票价格收益率与对数股票收益率的关系表达式”管理与金融研究论文。

Chu Wen-Tseng et al.: "A relation between stock returns and logarithmic stock returns." Keieizaimu Kenkyu Sosho (in Japanese). (in press).

Chu Wen-Tseng 等人：“股票收益与对数股票收益之间的关系。”

岸本 一男, 蒲島 郁夫: "合理的選択理論から見た日本の政党システム" リヴァイアサン. NO.20. 84-100 (1997)

岸本一夫、鹿岛育夫：《理性选择理论视角下的日本政党制度》《利维坦》NO.20（1997）。

Kishimoto, K.and Kabashima, K.: "The party system in Japan : A rational theoretical approach" Leviathan (in Japanese). no.20. (1997)

Kishimoto, K. 和 Kabashima, K.：“日本的政党制度：一种理性的理论方法”利维坦（日语）。