金融計量経済学におけるデュレーションモデルに関する研究

Material type: 文書・図像類

Author: Potiron, Yoann

Publisher: 福澤基金運営委員会

Publication date: 2021

Material Format: Digital

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Note (General)：: type:textThis last year of work with Pr. Olivier Scaillet (Universite de Geneve) was very productive, as two projects have now started. The first proj...

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Material Type: 文書・図像類
Title: 金融計量経済学におけるデュレーションモデルに関する研究
Author/Editor: Potiron, Yoann
Author Heading: Potiron, Yoann
Publication, Distribution, etc.: 福澤基金運営委員会
Publication Date: 2021
Publication Date (W3CDTF): 2021
Alternative Title: キンユウケイリョウケイザイガクニオケルデュレーションモデルニカンスルケンキュウ
Kin'yū keiryō keizaigaku ni okeru dyurēshon moderu ni kansuru kenkyū
Econometric methods for high frequency data
Periodical title: 福澤諭吉記念慶應義塾学事振興基金事業報告集
Text Language Code: eng
Target Audience: 一般
Note (General): type:text
This last year of work with Pr. Olivier Scaillet (Universite de Geneve) was very productive, as two projects have now started. The first project, entitled "Disentangling seasonality from a self-exciting process with time-varying baseline", is carried out jointly with Seunghyeon Yu, post doctoral student at Northwestern University in Chicago. I expect the paper should be completely written in the next six months, and we have discussed submitting to a top journal such as Management Science or Journal of Econometrics. We have already hold a talk on it at CFE-CMStatistics conference in King's College London in December 2022, and we had very promising feedback from the audience. The second project, entitled "Latency incorporating marks", is currently developed with Vladimir Volkov, senior Lecturer at Tasmanian School of Business & Economics in Australia. The second project is more related to finance, whereas the first project to econometrics. I expect that we should be able to submit in the coming academic year.
申請種類 : 福澤基金国外留学
Access Restrictions: 限定公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 慶應義塾大学 : 慶應義塾大学学術情報リポジトリ