| Published Papers |
| No. | Title URL, Journal, Vol( Number), From Page- To Page, Publication date, DOI
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| 6 | Bayesian non‐linear quantile effects on modelling realized kernels  , International Journal of Finance & Economics, 28( 1), 981- 995, Jan. 2023, 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, Apr. 1, 2022, https://doi.org/10.1080/23737484.2021.2017807 |
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| 13 |
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| 14 | Quasi‐Maximum Likelihood Estimation of Conditional Autoregressive Wishart Models† , Journal of Time Series Analysis, 42( 3), 271- 294, May. 2021, https://doi.org/10.1111/jtsa.12566 |
| 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, Feb. 1, 2021, 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, Jul. 2020, 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, Mar. 7, 2020, 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, Sep. 2, 2019, https://doi.org/10.3390/en12173379 |
| 20 | On Quasi-Maximum Likelihood Estimation of Realized Stochastic Volatility Model via Kalman Filter , Journal of the Japan Statistical Society, Japanese Issue, 48( 2), 215- 238, Mar. 29, 2019, https://doi.org/10.11329/jjssj.48.215 |
| 21 | Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models , Journal of Risk and Financial Management, 10( 4), , Dec. 12, 2017, https://doi.org/10.3390/jrfm10040023 |
| 22 |
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| 24 | Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes , International Journal of Statistics and Probability, 6( 6), 13- 13, Sep. 15, 2017, https://doi.org/10.5539/ijsp.v6n6p13 |
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| 33 | Bayesian Analysis of General Asymmetric Multivariate GARCH Models and News Impact Curves , Journal of the Japan Statistical Society, 45( 2), 129- 144, 2015, https://doi.org/10.14490/jjss.45.129 |
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| 38 | Heterogeneous asymmetric dynamic conditional correlation model with stock return and range , Journal of Forecasting, 32( 5), 469- 480, 2013, 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, https://doi.org/10.1016/j.najef.2012.06.005 |
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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, https://doi.org/10.1080/09603101003724356 |
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| 51 | 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, https://doi.org/10.1007/978-3-540-71297-8_16 |
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| 54 | Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models , Journal of Empirical Finance, 15( 2), 332- 341, 2008, https://doi.org/10.1016/j.jempfin.2006.06.006 |
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| 61 | 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,
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| 62 | 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,
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| 70 | The Japanese stock market and the macroeconomy: An empirical investigation , Financial Engineering and the Japanese Markets, 2( 3), 259- 267, 1995, https://doi.org/10.1007/BF02425199 |
| MISC |
| No. | Title URL, Journal, Vol( Number), From Page- To Page, Publication date
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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, Mar. 31, 2018
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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
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| 3 | Options Pricing Using the Fast Fourier Transform , 創価経済論集 = The Soka economic studies quarterly, 45( 1), 49- 59, Mar. 2016
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| 4 | Volatility , 立命館経済学 = The Ritsumeikan economic review : the bi-monthky journal of Ritsumeikan University, 64( 5), 619- 634, Mar. 2016
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| 5 | Initial Values on Quasi-Maximum Likelihood Estimation for BEKK Multivariate GARCH Models , , 44( 1), 45- 52, Mar. 2015 |
| 6 | Careful Consideration from Smokers to Non-Smokers , , 42( 1), 55- 59, Mar. 2013 |
| 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
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| 8 | Testing Granger Causality under Dynamic Covariance , , 41( 1), 37- 46, Mar. 2012 |
| 9 | Overreaction index for stock markets , 創価経済論集, 40( 1), 45- 49, Mar. 2011
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| 10 | Soka Education Research Institute (Eds), The Route to Ikeda Studies , 創価教育, ( 3), 269- 270, Mar. 16, 2010
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| 11 | Lagrange multiplier tests , 創価経済論集, 39( 1), 67- 77, Mar. 2010
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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, Sep. 1, 2003
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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
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| 14 | Stochastic Volatility Models with Heavy-Tailed Distributions : A Bayesian Analysis , 日本統計学会講演報告集, 68, 341- 342, Jul. 1, 2000
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| Conference Activities & Talks |
| No. | Title, Conference, Publication date, Promoter, Venue
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| 1 | Accelerated Continuous Space Topic Model for Textual Data, The 14th International Conference on Computational and Financial Econometrics, Virtual Conference, Dec. 20, 2020, ,
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| 2 | Quasi-Maximum Likelihood Estimation of Conditional Autoregressive Wishart Models, GSE-OSIPP Joint Seminar in Economics, Nov. 5, 2020, Osaka University,
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| 3 | Continuous Time Dynamic Correlation Model, Asian Meeting of Econometric Society 2011, , ,
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| 4 | A New Method for Estimation and Forecasting with Noisy Realized Volatility, The 28th Annual International Symposium on Forecasting, , ,
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| 5 | Dynamic Conditional Correlations for Realized Covariances, The 29th Annual International Symposium on Forecasting, , ,
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| 6 | Stochastic Covariance Models, The 3rd CSDA International Conference on Computational and Financial Econometrics, , ,
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| 7 | Stochastic Covariance Models, Econometric Society, World Congress 2010, , ,
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| 8 | 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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| 9 | Causality Analysis for Structural VAR with Dynamic Covariance, Singapore Economic Review Conference, , ,
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| 10 | Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory, The 2nd International Conference on Econometrics and Statistics, , ,
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| 11 | 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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| 12 | 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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| 13 | Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers, The 70th European Meeting of Econometric Society, , ,
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| 14 | 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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| 15 | 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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| 16 | The Impact of Jumps and Leverage in Forecasting Co-volatility, The 11th World Congress of Econometric Society, , ,
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| 17 | Measuring Market Risk, The VII International Interdisciplinary Scientific Research Congress, , ,
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| 18 | 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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| 19 | 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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| 20 | Asymmetry and Long Memory in Realized Covariance, 59th ISI World Statistical Congress, , ,
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| 21 | A Fractionally Integrated Wishart Stochastic Volatility Model, Asian Meeting of the Econometric Society, , ,
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| 22 | Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility, The 9th Internatinal Symposium on Econometric Theory and Applications, , ,
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| 23 | Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility, China Meeting of the Econometric Society, , ,
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| 24 | Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes, The 6th International Conference on Computational and Financial Econometrics, , ,
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| 25 | Extracting Dynamic Correlations from Stock Return and Realized Volatility, The 32nd Annual International Symposium on Forecasting, , ,
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| 26 | 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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| 27 | Continuous Time Dynamic Correlation Model, European Meeting of Econometric Society 2011, , ,
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| 28 | Continuous Time Dynamic Correlation Model, Singapore Economic Review Conference 2011, , ,
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| 29 | Stochastic Covariance Models, International Symposium on Financial Engineering and Risk Management 2010, , ,
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| 30 | Modelling and Forecasting Daily Volatility with Noisy Realized Volatility, Far Eastern and South Asian Meeting of the Econometric Society, , ,
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| 31 | Multivariate Stochastic Volatility: Leverage and News Impact Surfaces, Econometric Society European Meeting, , ,
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| 32 | Multivariate Stochastic Volatility, Leverage and News Impact Surfaces, Far Eastern Meeting of the Econometric Society, , ,
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| 33 | 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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| 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 | Realized Asymmetric Long Memory Stochastic Volatility Models, The 1st International Conference on Econometrics and Statistics, , ,
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| 37 | The Structure of Conditional, Stochastic and Realized Covariance Matrices, International Workshop on Bayesian Econometrics and Statistics, , ,
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| 38 | Continuous Time Dynamic Correlation Model, The 31st Annual International Symposium on Forecasting, , ,
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| Research Grants & Projects |
| No. | Offer organization, System name, Title, Fund classification, Date
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| 1 | Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Fund for the Promotion of Joint International Research (Fostering Joint International Research (B)), Building Resilience to the Effects and Risks of Climate Change, , Oct. 2022 - Mar. 2025
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| 2 | Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research, Multivariate Stochastic Volatility Models for High-dimensional and High Frequency Data, , Apr. 2022 - Mar. 2025
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| 3 | Zengin Foundation for Studies on Economics and Finance, Grant-in-Aid for Research, Linkage Vector Autoregression, , Sep. 2021 - Mar. 2024
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| 4 | Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C), Financial Risk Analysis using High Dimensional and/or High Frequency Data, , Apr. 2019 - Mar. 2022
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| 5 | Zengin Foundation for Studies on Economics and Finance, Grant-in-Aid for Research, Analysis on Long Memory for Interest Rates, , Aug. 2018 - Sep. 2019
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| 6 | Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C), Investigation of Long Memory Property in Realized Volatility, competitive_research_funding, Apr. 2016 - Mar. 2019
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| 7 | Zengin Foundation for Studies on Economics and Finance, Grant-in-Aid for Research, Long Memory in Volatility of Asset Returns, , Aug. 2015 - Sep. 2016
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| 8 | Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C), Long Memory and Asymmetry in Realized Covariance, competitive_research_funding, Apr. 2013 - Mar. 2016
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| 9 | Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Young Scientists (B), Modeling and Forecasting Realized Covariance, competitive_research_funding, Apr. 2011 - Mar. 2013
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| 10 | Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Young Scientists (B), On Evaluating Forecasts of Models for Realized Volatility, competitive_research_funding, Apr. 2009 - Mar. 2011
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| 11 | Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Bayesian modeling for actuary and finance, , 2008 - 2012
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| 12 | Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Young Scientists (B), Risk analysis based on time-varying leverage models, competitive_research_funding, 2007 - 2008
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| 13 | Japan Society for the Promotion of Science, Australian Academy of Science, , Multivariate Stochastic Volatility, , Jul. 2005 - Aug. 2005
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| 14 | , , Theoretical and empirical analysis on Financial Econometrics, , Apr. 1996 - Mar. 1999
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