| 論文 |
| No. | 論文タイトル URL, 誌名(出版物名), 巻( 号), 開始ページ- 終了ページ, 出版年月, DOI
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| 1 |
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| 2 |
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| 5 |
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| 6 | Bayesian non‐linear quantile effects on modelling realized kernels  , International Journal of Finance & Economics, 28( 1), 981- 995, 2023年01月, https://doi.org/10.1002/ijfe.2459 |
| 7 |
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| 8 | A new structural multivariate GARCH-BEKK Model: Causality of green, sustainable and fossil energy ETFs , Communications in Statistics: Case Studies, Data Analysis and Applications, 8( 2), 215- 233, 2022年04月01日, https://doi.org/10.1080/23737484.2021.2017807 |
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| 10 |
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| 11 |
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| 12 |
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| 13 | Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models , Journal of Time Series Analysis, 42( 3), 271- 294, 2021年05月, https://doi.org/10.1111/jtsa.12566 |
| 14 |
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| 15 | A simulation smoother for long memory time series with correlated and heteroskedastic additive noise , Communications in Statistics - Simulation and Computation, 50( 2), 388- 399, 2021年02月01日, https://doi.org/10.1080/03610918.2018.1554120 |
| 16 |
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| 17 | Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks , International Journal of Forecasting, 36( 3), 933- 948, 2020年07月, https://doi.org/10.1016/j.ijforecast.2019.10.003 |
| 18 | Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates , Journal of Time Series Econometrics, 0( 0), 1- 18, 2020年03月07日, https://doi.org/10.1515/jtse-2018-0024 |
| 19 | The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures , Energies, 12( 17), 3379- 3379, 2019年09月02日, https://doi.org/10.3390/en12173379 |
| 20 |
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| 21 | Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models , Journal of Risk and Financial Management, 10( 4), , 2017年12月12日, https://doi.org/10.3390/jrfm10040023 |
| 22 |
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| 23 |
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| 24 | Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes , International Journal of Statistics and Probability, 6( 6), 13- 13, 2017年09月15日, https://doi.org/10.5539/ijsp.v6n6p13 |
| 25 |
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| 26 |
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| 27 |
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| 28 |
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| 29 |
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| 30 |
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| 31 |
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| 32 | Bayesian Analysis of General Asymmetric Multivariate GARCH Models and News Impact Curves , Journal of the Japan Statistical Society, 45( 2), 129- 144, 2015年, https://doi.org/10.14490/jjss.45.129 |
| 33 |
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| 34 |
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| 35 |
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| 36 |
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| 37 |
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| 38 | Heterogeneous asymmetric dynamic conditional correlation model with stock return and range , Journal of Forecasting, 32( 5), 469- 480, 2013年, https://doi.org/10.1002/for.2252 |
| 39 | Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil , North American Journal of Economics and Finance, 25, 202- 213, 2013年, https://doi.org/10.1016/j.najef.2012.06.005 |
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| 41 |
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| 42 |
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| 43 |
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| 44 |
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| 45 |
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| 46 | General asymmetric stochastic volatility models using range data: Estimation and empirical evidence from emerging equity markets , Applied Financial Economics, 20( 13), 1041- 1049, 2010年, https://doi.org/10.1080/09603101003724356 |
| 47 |
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| 48 |
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| 49 |
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| 50 | Multivariate Stochastic Volatility , T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.), Handbook of Financial Time Series, Springer-Verlag, New York, , 365- 400, 2009年, https://doi.org/10.1007/978-3-540-71297-8_16 |
| 51 |
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| 52 |
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| 53 |
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| 54 |
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| 55 |
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| 56 | Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models , Journal of Empirical Finance, 15( 2), 332- 341, 2008年, https://doi.org/10.1016/j.jempfin.2006.06.006 |
| 57 |
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| 58 |
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| 59 |
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| 60 |
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| 61 |
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| 62 | 金融派生証券の価格付けとMCMC , 和合肇 編 『ベイズ計量経済分析： マルコフ連鎖モンテカルロ法とその応用』, 東洋経済新報社, , 295- 327, 2005年,
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| 63 | Dynamic Correlations in Symmetric Multivariate SV Models , MODSIM 2005: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION: ADVANCES AND APPLICATIONS FOR MANAGEMENT AND DECISION MAKING, , 2202- 2209, 2005年,
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| 64 | Portfolio Single Index (PSI) Multivariate Volatility Models , MODSIM 2005: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION: ADVANCES AND APPLICATIONS FOR MANAGEMENT AND DECISION MAKING, , 2288- 2295, 2005年,
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| 65 |
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| 69 |
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| 70 |
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| 71 | The Japanese stock market and the macroeconomy: An empirical investigation , Financial Engineering and the Japanese Markets, 2( 3), 259- 267, 1995年, https://doi.org/10.1007/BF02425199 |
| MISC |
| No. | MISCタイトル URL, 誌名, 巻( 号), 開始ページ- 終了ページ, 出版年月(日)
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| 1 | Covariance Matrix of Quasi-Maximum Likelihood Estimator of ARFIMA Models , 創価経済論集, 47( 1), 55- 66, 2018年03月31日
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| 2 | A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics , PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON ECONOMICS, FINANCE AND STATISTICS (ICEFS 2017), 26, 1- 7, 2017年
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| 3 | ボラティリティについて (平田純一教授退任記念論文集) , 立命館経済学 = The Ritsumeikan economic review : the bi-monthky journal of Ritsumeikan University, 64( 5), 619- 634, 2016年03月
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| 4 | フーリエ変換とオプション価格の評価 (板垣有記輔教授退職記念号) , 創価経済論集 = The Soka economic studies quarterly, 45( 1), 49- 59, 2016年03月
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| 5 | Initial Values on Quasi-Maximum Likelihood Estimation for BEKK Multivariate GARCH Models , 創価経済論集, 44( 1), 45- 52, 2015年03月 |
| 6 | Careful Consideration from Smokers to Non-Smokers , 創価経済論集, 42( 1), 55- 59, 2013年03月 |
| 7 | Pricing Financial Derivatives via MCMC , H. Wago (ed.), Bayesian Econometrics; Markov chain Monte Carlo methods and their applications, Toyo Keizai, Tokyo, , 295- 327, 2013年
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| 8 | Testing Granger Causality under Dynamic Covariance , 創価経済論集, 41( 1), 37- 46, 2012年03月 |
| 9 | Overreaction index for stock markets , 創価経済論集, 40( 1), 45- 49, 2011年03月
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| 10 | 創価教育研究所編 『池田思想研究への道』 , 創価教育, ( 3), 269- 270, 2010年03月16日
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| 11 | ラグランジュ乗数検定について , 創価経済論集, 39( 1), 67- 77, 2010年03月
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| 12 | Comparison of MCMC methods for estimating GARCH models , 日本統計学会講演報告集, 71, 157- 158, 2003年09月01日
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| 13 | C-5 Comparison of MCMC Methods for Estimating GARCH Models(Summary of the Reports at the 71th Annual Meeting) : , 日本統計学会誌, 33( 3), 394- 394, 2003年
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| 14 | ブラウン運動・確率微分方程式・利子率の期間構造のモデル , 立命館経済学, 49( 4), 469- 487, 2000年10月
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| 15 | Stochastic Volatility Models with Heavy-Tailed Distributions : A Bayesian Analysis , 日本統計学会講演報告集, 68, 341- 342, 2000年07月01日
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| 16 | Markov Chain Monte Carlo Simulation Methods〔和文〕 , 立命館経済学, 49( 1), 13- 42, 2000年04月
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| 17 | VARモデルにおける共和分,ECM因果関係の分析 , 立命館経済学, 48( 6), 1001- 1019, 2000年02月
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| 18 | B′-3 Stochastic Volatility Models with Heavy-Tailed Distributions:A Bayesian Analysis(日本統計学会第68回大会記録 : 計量経済学におけるマルコフ連鎖モンテカルロシミュレーション (1)) , 日本統計学会誌, 30( 3), 364- 364, 2000年
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| 19 | 単変量時系列の分析 , 立命館経済学, 48( 2), 208- 235, 1999年06月
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| 20 | A Method to Estimate Random Walk Stochastic Volatility Models , Far East Journal of Theoretical Statistics, 3( 1), 187- 212, 1999年
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| 講演・口頭発表等 |
| No. | 講演・口頭発表タイトル, 会議名, 発表年月日, 主催者, 開催地
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| 1 | Accelerated Continuous Space Topic Model for Textual Data, The 14th International Conference on Computational and Financial Econometrics, Virtual Conference, 2020年12月20日, ,
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| 2 | Quasi-Maximum Likelihood Estimation of Conditional Autoregressive Wishart Models, GSE-OSIPP Joint Seminar in Economics, 2020年11月05日, 大阪大学,
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| 3 | Realized Matrix-Exponential Stochastic Volatility with General Asymmetry, Long Memory and Spillovers, The 14th International Symposium on Econometric Theory and Applications, , ,
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| 4 | Realized Matrix-Exponential Stochastic Volatility with General Asymmetry, Long Memory and Spillovers, Time Series Analysis of Higher Moments and Distributions of Financial Data, Institute of Advanced Studies, , ,
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| 5 | Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers, The 70th European Meeting of Econometric Society, , ,
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| 6 | Realized Asymmetric Long Memory Stochastic Volatility Models, The 1st International Conference on Econometrics and Statistics, , ,
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| 7 | Bayesian Analysis of Alternative Long Memory Stochastic Volatility Models Using Realized Volatility Measure, The 10th International Conference on Computational and Financial Econometrics, , ,
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| 8 | Bayesian Analysis of Alternative Long Memory Stochastic Volatility Models Using Realized Volatility Measure, International Society for Bayesian Analysis 2016 World Meeting, , ,
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| 9 | The Impact of Jumps and Leverage in Forecasting Co-volatility, The 11th World Congress of Econometric Society, , ,
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| 10 | Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance, The 8th International Conference on Computational and Financial Econometrics, , ,
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| 11 | Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance, The 5th CEQURA Conference on Advances in Financial and Insurance Risk Management, , ,
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| 12 | Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance, The 3rd Institute of Mathematical Statistics Asia Pacific Rim Meetings, , ,
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| 13 | Asymmetry and Long Memory in Realized Covariance, 59th ISI World Statistical Congress, , ,
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| 14 | Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility, The 9th Internatinal Symposium on Econometric Theory and Applications, , ,
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| 15 | Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility, China Meeting of the Econometric Society, , ,
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| 16 | Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes, The 6th International Conference on Computational and Financial Econometrics, , ,
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| 17 | Extracting Dynamic Correlations from Stock Return and Realized Volatility, The 32nd Annual International Symposium on Forecasting, , ,
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| 18 | Heterogeneous Markets Effects for Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range, 4th CSDA International Conference on Computational and Financial Econometrics, , ,
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| 19 | Continuous Time Dynamic Correlation Model, European Meeting of Econometric Society 2011, , ,
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| 20 | Continuous Time Dynamic Correlation Model, Singapore Economic Review Conference 2011, , ,
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| 21 | Continuous Time Dynamic Correlation Model, The 31st Annual International Symposium on Forecasting, , ,
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| 22 | Measuring Market Risk, The VII International Interdisciplinary Scientific Research Congress, , ,
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| 23 | Stochastic Covariance Models, The 3rd CSDA International Conference on Computational and Financial Econometrics, , ,
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| 24 | Stochastic Covariance Models, Econometric Society, World Congress 2010, , ,
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| 25 | Stochastic Covariance Models, International Symposium on Financial Engineering and Risk Management 2010, , ,
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| 26 | Causality Analysis for Structural VAR with Dynamic Covariance, Singapore Economic Review Conference, , ,
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| 27 | Dynamic Conditional Correlations for Realized Covariances, The 29th Annual International Symposium on Forecasting, , ,
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| 28 | A New Method for Estimation and Forecasting with Noisy Realized Volatility, The 28th Annual International Symposium on Forecasting, , ,
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| 29 | Modelling and Forecasting Daily Volatility with Noisy Realized Volatility, Far Eastern and South Asian Meeting of the Econometric Society, , ,
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| 30 | Multivariate Stochastic Volatility: Leverage and News Impact Surfaces, Econometric Society European Meeting, , ,
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| 31 | Multivariate Stochastic Volatility, Leverage and News Impact Surfaces, Far Eastern Meeting of the Econometric Society, , ,
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| 32 | The Structure of Dynamic Correlations in Multivariate Stochastic Volatility Models, Symposium on Integration of Regional Economy and Finance, and Economic Cooperation between China and Japan, , ,
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| 33 | The Structure of Dynamic Correlations in Multivariate Stochastic Volatility Models, 日本統計学会第74回大会, , ,
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| 34 | The Structure of Dynamic Correlations in Multivariate Stochastic Volatility Models, International Symposium on Statistical Analysis of Spatio-Temporal Data, , ,
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| 35 | The Structure of Dynamic Correlations in Multivariate Stochastic Volatility Models, International Workshop on Bayesian Statistics and Applied Econometrics, , ,
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| 36 | The Structure of Conditional, Stochastic and Realized Covariance Matrices, International Workshop on Bayesian Econometrics and Statistics, , ,
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| 37 | Continuous Time Dynamic Correlation Model, Asian Meeting of Econometric Society 2011, , ,
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| 38 | A Fractionally Integrated Wishart Stochastic Volatility Model, Asian Meeting of the Econometric Society, , ,
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| 39 | Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory, The 2nd International Conference on Econometrics and Statistics, , ,
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| 共同研究・競争的資金等の研究課題 |
| No. | 提供機関, 制度名, 課題名等, 資金種別, 研究期間
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| 1 | 日本学術振興会, 科学研究費助成事業 国際共同研究加速基金(国際共同研究強化(B)), 気候変動の影響・リスクに対するレジリエンス構築に関する国際共同研究, , 2022年10月 - 2025年03月
|
| 2 | 日本学術振興会, 科学研究費助成事業, 高次元・高頻度データによる多変量確率的ボラティリティ変動モデルの拡張, , 2022年04月 - 2025年03月
|
| 3 | 全国銀行学術研究振興財団, 研究助成, リンク型多変量自己回帰モデル, , 2021年09月 - 2024年03月
|
| 4 | 日本学術振興会, 科学研究費助成事業 基盤研究(C), 高次元・高頻度データによる金融資産のリスク分析, , 2019年04月 - 2022年03月
|
| 5 | 全国銀行学術研究振興財団, 研究助成, 金利データの長期記憶性の分析, , 2018年08月 - 2019年09月
|
| 6 | 日本学術振興会, 科学研究費助成事業 基盤研究(C), 実現ボラティリティにおける長期記憶性の検証, 競争的資金, 2016年04月 - 2019年03月
|
| 7 | 全国銀行学術研究振興財団, 研究助成, 金融資産収益率のボラティリティにおける長期記憶性について, , 2015年08月 - 2016年09月
|
| 8 | 日本学術振興会, 科学研究費助成事業 基盤研究(C), 実現共分散における長期記憶性と非対称性, 競争的資金, 2013年04月 - 2016年03月
|
| 9 | 日本学術振興会, 科学研究費助成事業 若手研究(B), 実現共分散モデルの特定化と予測, 競争的資金, 2011年04月 - 2013年03月
|
| 10 | 日本学術振興会, 科学研究費助成事業 若手研究(B), 実現ボラティリティ・モデルの予測力の評価, 競争的資金, 2009年04月 - 2011年03月
|
| 11 | 日本学術振興会, 科学研究費助成事業 基盤研究(A), アクチュアリーとファイナンスにおけるベイジアン・モデリング, , 2008年 - 2012年
|
| 12 | 日本学術振興会, 科学研究費助成事業 若手研究(B), 時変動リバレッジ・モデルによるリスク分析, 競争的資金, 2007年 - 2008年
|
| 13 | 日本学術振興会、オーストラリア科学アカデミー, Exchange Program, Multivariate Stochastic Volatility, , 2005年07月 - 2005年08月
|
| 14 | 日本学術振興会, 科学研究費助成事業 若手研究(B), 多変量非対称SVモデルによる株式市場の分析, 競争的資金, 2005年 - 2006年
|
| 15 | 日本学術振興会, 科学研究費助成事業, 実験による、情報開示と投資家の情報処理能力が資産価格形成に果たす役割の研究, , 1999年 - 2002年
|
| 16 | 日本学術振興会, 科学研究費助成事業, 計量ファイナンスにおける理論・実証的分析, , 1996年04月 - 1999年03月
|
