高次元データモデリングの新展開と統計的リスク分析

• Project/Area Number: 19H00588
• Research Category: Grant-in-Aid for Scientific Research (A)
• Allocation Type: Single-year Grants
• Section: 一般
• Review Section: Medium-sized Section 7:Economics, business administration, and related fields
• Research Institution: The University of Tokyo
• Principal Investigator: 大森 裕浩 東京大学, 大学院経済学研究科(経済学部), 教授 (60251188)
• Co-Investigator(Kenkyū-buntansha): 山内 雄太 名古屋大学, 経済学研究科, 講師 (00914160) ; 黒瀬 雄大 筑波大学, システム情報系, 助教 (20713910) ; 高橋 慎 法政大学, 経営学部, 教授 (20723852) ; 入江 薫 東京大学, 大学院経済学研究科(経済学部), 准教授 (20789169) ; 國濱 剛 関西学院大学, 経済学部, 准教授 (40779716) ; 石原 庸博 高崎経済大学, 経済学部, 准教授 (60609072) ; 渡部 敏明 一橋大学, 大学院ソーシャル・データサイエンス研究科, 教授 (90254135)
• Project Period (FY): 2019-04-01 – 2024-03-31
• Project Status: Completed (Fiscal Year 2023)
• Budget Amount: ¥44,980,000 (Direct Cost: ¥34,600,000、Indirect Cost: ¥10,380,000); Fiscal Year 2023: ¥7,150,000 (Direct Cost: ¥5,500,000、Indirect Cost: ¥1,650,000); Fiscal Year 2022: ¥8,840,000 (Direct Cost: ¥6,800,000、Indirect Cost: ¥2,040,000); Fiscal Year 2021: ¥9,100,000 (Direct Cost: ¥7,000,000、Indirect Cost: ¥2,100,000); Fiscal Year 2020: ¥9,100,000 (Direct Cost: ¥7,000,000、Indirect Cost: ¥2,100,000); Fiscal Year 2019: ¥10,790,000 (Direct Cost: ¥8,300,000、Indirect Cost: ¥2,490,000)
• Keywords: ベイズ統計学 / マルコフ連鎖モンテカルロ法 / 確率的ボラティリティ変動モデル / 実現ボラティリティ / リスク管理 / 高次元データ / 潜在変数 / ランダム回答法 / 確率的ボラティリティ / マルコフ連鎖モンテカルロ法統 / 統計的リスク分析 / 高頻度データ / 統計的リスク / ボラティリティ / ベイジアン・アプローチ

Outline of Research at the Start

金融データやマクロ経済データにおいては近年、高次元データモデリングの新たな展開が進んでおり、潜在変数やモデル・パラメータが急激に増えるため、最尤法などの従来の方法は実行が困難となっている。この問題を克服するために、ベイジアン・アプローチを採用してマルコフ連鎖モンテカルロ法などのシミュレーションを用いた高次元ボラティリティモデルの推定方法を開発し、多くの金融資産の組み合わせからなるポートフォリオの最適化やリスク管理、社会調査や医療データにも応用を行う。

Outline of Annual Research Achievements

高橋・大森・渡部は、金融資産の収益率とその変動（ボラティリティ）を同時に定式化するRealized Stochastic Volatility (RSV)モデルについて、これまでの研究成果をまとめた本を出版した。また、裾が厚く左右非対称な3つの分布を収益率分布に適用することによりRSVモデルを拡張し、株式指数データを用いた実証分析において他のモデルよりも金融リスクの予測精度が優れていることを示した。山内・大森は、多変量確率的ボラティリティ変動モデルに動学的因子構造と実現共分散行列を導入したモデルを開発した。特に実現相関行列の対数変換を考えることにより、提案モデルを用いたポートフォリオが、リスクを固定した時の期待リターンを改善することを示した。石原は株式市場で公開されている規模別・スタイル別株式指数とその実現共分散を利用して、高次元の株式収益率の共分散を低次元の多変量RSVモデルの並列計算で、MCMCによる推定の計算時間を削減する研究を行った。またパネルベクトル自己回帰モデルを用いて、医療・介護支出の個票レセプトデータを用いての医療・介護支出のパターンを把握する研究を行った。

黒瀬は、確率的ボラティリティ変動モデルに、日中取引価格レンジの情報を同時に組み込む拡張と、その効率的なベイズ統計的推測手法の研究を行った。複雑な分布形を含む統計モデルの効率的なベイズ推定法を提案し、高次元モデルへの拡張につながる研究をした。国濱は多変量データの共分散が共変量に依存するベイズ因子モデリングを拡張し、社会科学・公衆衛生分野の実証分析おいて重要な役割を果たす年齢、性別情報を共変量と想定した上で、共変量の追加的なベイズ統計モデルを考案した。入江は、ガンマ分布の尺度パラメータの従う分布や、行列一般化逆ガウス分布に関する推測や乱数生生成法など、関連する計算統計学上の問題に取り組んだ。

Research Progress Status

令和5年度が最終年度であるため、記入しない。

Strategy for Future Research Activity

令和5年度が最終年度であるため、記入しない。

Research Products

• [Int'l Joint Research] Hong Kong Univ of Science and Technology/The Education University of Hong Kong/Hong Kong Hospital Authority(中国)
• [Int'l Joint Research] Hong Kong Univ of Science and Technology/The Education University of Hong Kong(中国)
• [Int'l Joint Research] Feng Chia University(その他の国・地域 (台湾）)
• [Int'l Joint Research] Hong Kong Univ of Science and Technology(中国)
• [Int'l Joint Research] Economic Research, Zillow Group/University of New Hampshire/The City University of New York(米国)
• [Int'l Joint Research] Hong Kong Univ of Science and Technology(中国)
• [Int'l Joint Research] Feng Chia University/Tunghai University,(その他の国・地域 台湾)
• [Int'l Joint Research] 香港科学技術大学(その他の国・地域 (香港))
• [Int'l Joint Research] 逢甲大学(その他の国・地域 (台湾))
• [Journal Article] Simulation of truncated and unimodal gamma distributions (2024)
  • Author(s): Yuta Kurose
  • Journal Title: Journal of Statistical Computation and Simulation Volume: 94 Issue: 5 Pages: 996-1015
  • DOI: 10.1080/00949655.2023.2277339
  • Peer Reviewed
• [Journal Article] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility (2023)
  • Author(s): Yamauchi Yuta、Omori Yasuhiro
  • Journal Title: Econometric Reviews Volume: 42 Issue: 6 Pages: 513-539
  • DOI: 10.1080/07474938.2023.2209007
  • Peer Reviewed
• [Journal Article] A panel vector autoregression analysis for the dynamics of medical and long‐term care expenditures (2023)
  • Author(s): Sugawara Shinya、Ishihara Tsunehiro、Kunisawa Susumu、Goto Etsu、Imanaka Yuichi
  • Journal Title: Health Economics Volume: 33 Issue: 4 Pages: 748-763
  • DOI: 10.1002/hec.4794
  • Peer Reviewed
• [Journal Article] Tail Risk Forecasting of Realized Volatility CAViaR Models (2023)
  • Author(s): Cathy W.S. Chen, Hsiao-Yun Hsu and Toshiaki Watanabe
  • Journal Title: Finance Research Letters Volume: 51 Pages: 103326-103326
  • DOI: 10.1016/j.frl.2022.103326
  • Peer Reviewed / Open Access / Int'l Joint Research
• [Journal Article] Particle rolling MCMC with double-block sampling (2022)
  • Author(s): Awaya Naoki、Omori Yasuhiro
  • Journal Title: Japanese Journal of Statistics and Data Science Volume: ー Issue: 1 Pages: 305-335
  • DOI: 10.1007/s42081-022-00170-2
  • Peer Reviewed
• [Journal Article] A Multivariate Randomized Response Model for Sensitive Binary Data (2022)
  • Author(s): Chu Amanda M.Y.、Omori Yasuhiro、So Hing-yu、So Mike K.P.
  • Journal Title: Econometrics and Statistics Volume: ー Pages: 16-35
  • DOI: 10.1016/j.ecosta.2022.01.003
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] On data augmentation for models involving reciprocal gamma functions (2022)
  • Author(s): Hamura Yasuyuki, Irie Kaoru, Sugasawa Shonosuke
  • Journal Title: Journal of Computational and Graphical Statistics Volume: - Issue: 3 Pages: 1-9
  • DOI: 10.1080/10618600.2022.2119988
  • Peer Reviewed / Open Access
• [Journal Article] Score-adjusted methods for estimation of shape parameters in Gamma-Poisson and Beta-Binomial distributions. (2022)
  • Author(s): Tamae, H., Irie, K. and Kubokawa, T.
  • Journal Title: Communication in Statistics - Simulation and Computation Volume: 印刷中 Issue: 3 Pages: 1247-1257
  • DOI: 10.1080/03610918.2022.2044051
  • Peer Reviewed
• [Journal Article] Sequential modeling, monitoring and forecasting of streaming web traffic data. (2022)
  • Author(s): Irie, K., Glynn, C. and Aktekin, T.
  • Journal Title: Annals of Applied Statistics Volume: 16 Issue: 1 Pages: 300-325
  • DOI: 10.1214/21-aoas1505
  • Peer Reviewed / Open Access / Int'l Joint Research
• [Journal Article] Realized Matrix Exponential Stochastic Volatility Model: Application to Market, Size, and Value Factor Realized Covariance (2021)
  • Author(s): 石原庸博
  • Journal Title: Journal of the Japan Statistical Society, Japanese Issue Volume: 51 Issue: 1 Pages: 1-39
  • DOI: 10.11329/jjssj.51.1
  • NAID: 130008088091
  • ISSN: 0389-5602, 2189-1478
  • Year and Date: 2021-09-15
  • Peer Reviewed / Open Access
• [Journal Article] Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility (2021)
  • Author(s): Takahashi Makoto、Watanabe Toshiaki、Omori Yasuhiro
  • Journal Title: Econometrics and Statistics Volume: ー Pages: 34-56
  • DOI: 10.1016/j.ecosta.2021.08.002
  • Peer Reviewed
• [Journal Article] Bayesian estimation of realized GARCH-type models with application to financial tail risk management (2021)
  • Author(s): Chen Cathy W.S.、Watanabe Toshiaki、Lin Edward M.H.
  • Journal Title: Econometrics and Statistics Volume: ー Pages: 30-46
  • DOI: 10.1016/j.ecosta.2021.03.006
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] On Global-Local Shrinkage Priors for Count Data (2021)
  • Author(s): Hamura Yasuyuki、Irie Kaoru、Sugasawa Shonosuke
  • Journal Title: Bayesian Analysis Volume: -1 Issue: 2 Pages: 545-564
  • DOI: 10.1214/21-ba1263
  • Peer Reviewed / Open Access
• [Journal Article] On the relationship between beta-Bartlett and Uhlig extended processes (2021)
  • Author(s): Pena, V. and Irie, K.
  • Journal Title: Journal of Time Series Analysis Volume: 43 Issue: 1 Pages: 147-153
  • DOI: 10.1111/jtsa.12595
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] Contributed discussion of: Multilevel linear models, Gibbs samplers and multigrid decompositions, by Zanella, G. and Roberts, G. (2021)
  • Author(s): Irie, K. and Sugasawa, S.
  • Journal Title: Bayesian Analysis Volume: 16 Pages: 1378-1380
  • Peer Reviewed / Open Access
• [Journal Article] On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach (2021)
  • Author(s): Hayashi Takaki、Takahashi Makoto
  • Journal Title: Japanese Journal of Statistics and Data Science Volume: 4 Issue: 1 Pages: 697-730
  • DOI: 10.1007/s42081-021-00116-0
  • NAID: 210000179374
  • Peer Reviewed
• [Journal Article] Realized Stochastic Volatilityモデルー拡張と日本の株価指数への 応用ー (2020)
  • Author(s): 高橋慎、渡部敏明、大森裕浩
  • Journal Title: 統計数理 Volume: 68 Pages: 65-85
  • Peer Reviewed / Open Access
• [Journal Article] Bayesian factor models for probabilistic cause of death assessment with verbal autopsies (2020)
  • Author(s): Tsuyoshi Kunihama, Zehang Richard Li, Samuel J Clark and Tyler H McCormick
  • Journal Title: Annals of Applied Statistics Volume: 14 Issue: 1 Pages: 241-256
  • DOI: 10.1214/19-aoas1253
  • Peer Reviewed / Open Access / Int'l Joint Research
• [Journal Article] Heterogeneous Autoregressiveモデルーサーベイと日経225株価指数の 実現ボラティリティへの応用ー (2020)
  • Author(s): 渡部敏明
  • Journal Title: 広島経済大学経済研究論集 Volume: 42 Pages: 5-18
  • Open Access
• [Journal Article] Bayesian estimation of realized GARCH-type models with application to financial tail risk management (2020)
  • Author(s): Cathy W. S. Chen, Toshiaki Watanabe, Edward M. H. Lin
  • Journal Title: Econometrics and Statistics Volume: 印刷中
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] eterogeneous Autoregressive モデル-サーベイと日経225 株価指数の実現ボラティリティへの応用- (2020)
  • Author(s): 渡部敏明
  • Journal Title: 広島経済大学経済研究論集 Volume: 42(3) Pages: 5-18
• [Journal Article] Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations (2019)
  • Author(s): Yuta Yamauchi and Yasuhiro Omori
  • Journal Title: Journal of Business and Economic Statistics Volume: 印刷中 Issue: 4 Pages: 839-855
  • DOI: 10.1080/07350015.2019.1602048
  • Peer Reviewed
• [Journal Article] Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity (2019)
  • Author(s): Kurose Yuta、Omori Yasuhiro
  • Journal Title: Econometrics and Statistics Volume: 印刷中 Pages: 46-68
  • DOI: 10.1016/j.ecosta.2018.03.003
  • Peer Reviewed
• [Journal Article] 多変量ボラティリティモデルのベイズ推定 (2019)
  • Author(s): 大森裕浩
  • Journal Title: 日本統計学会誌 Volume: 48(2) Pages: 177-198
  • NAID: 130007724449
  • Peer Reviewed
• [Journal Article] 価格インパクトの日中変動 (2019)
  • Author(s): 高橋慎
  • Journal Title: 先物・オプションレポート Volume: 31 Pages: 1-5
• [Journal Article] Bayesian Modeling and Forecasting of Value-at-Risk via Threshold Realized Volatility (2019)
  • Author(s): Cathy W.S.Chen and Toshiaki Watanabe
  • Journal Title: Applied Stochastic Models in Business and Industry Volume: 印刷中 Issue: 3 Pages: 747-765
  • DOI: 10.1002/asmb.2395
  • Peer Reviewed / Int'l Joint Research
• [Presentation] 一般化動的線形モデルによるライドシェアリング利用数データのリアルタイム分析 (2024)
  • Author(s): 入江薫・桝田陸・Tevfik Aktekin
  • Organizer: RIMS共同研究「確率モデルと統計的推測」京都大学
• [Presentation] Particle rolling MCMC with double block sampling (2023)
  • Author(s): Naoki Awaya and Yasuhiro Omori
  • Organizer: 6th International Conference on Econometrics and Statistics (EcoSta2023)
  • Int'l Joint Research / Invited
• [Presentation] Stochastic volatility model with range-based correction and leverage (2023)
  • Author(s): Yuta Kurose
  • Organizer: 6th International Conference on Econometrics and Statistics (EcoSta2023)
  • Int'l Joint Research
• [Presentation] 確率的ボラティリティモデルと価格レンジに基づく補正 (2023)
  • Author(s): 黒瀬 雄大
  • Organizer: 統計学・計量経済学の理論とマクロ経済・ファイナンスへの応用
• [Presentation] Simulation of truncated and unimodal gamma distributions (2023)
  • Author(s): 黒瀬 雄大
  • Organizer: 2023年度統計関連学会連合大会
• [Presentation] A realized multi-factor regression model using multivariate realized stochastic volatility (2023)
  • Author(s): Tsunehiro Ishihara
  • Organizer: 17th International Conference on Computational and Financial Econometrics (CFE 2023)
  • Int'l Joint Research
• [Presentation] Bayesian analysis of verbal autopsy data using probit model with age- and sex-dependent association between symptoms (2023)
  • Author(s): Tsuyoshi Kunihama, Zehang Richard Li, Samuel
  • Organizer: 6th International Conference on Econometrics and Statistics (EcoSta2023)
  • Int'l Joint Research
• [Presentation] 条件付き分布のモデリングによる離散データに対するベイズ分位点回帰 (2023)
  • Author(s): 山内 雄太・小林弦矢・菅澤翔之助
  • Organizer: 統計学・計量経済学の理論とマクロ経済・ファイナンスへの応用
• [Presentation] Gibbs sampler for matrix generalized inverse Gaussian distributions (2023)
  • Author(s): Kaoru Irie, Yasuyuki Hamura, Shonosuke Sugasawa
  • Organizer: 6th International Conference on Econometrics and Statistics (EcoSta2023)
  • Int'l Joint Research
• [Presentation] 外れ値と過剰なゼロを含む計数データの事後ロバスト分析 (2023)
  • Author(s): 入江薫・羽村靖之・菅澤翔之助
  • Organizer: 科研費研究集会「データサイエンスにおける統計的理論・方法論の新展開」九州大学
• [Presentation] 逐次モンテカルロ法によるベイズ予測統合 (2023)
  • Author(s): 入江薫、桝田陸
  • Organizer: 科研費研究集会「ベイズモデリングの最近の展開」北海道大学
• [Presentation] Time-varying parameter heterogeneous autoregressive model with stochastic volatility (2023)
  • Author(s): Toshiaki Watanabe and Jouchi Nakajima
  • Organizer: The 6th International Conference on Econometrics and Statistics (EcoSta 2023)
  • Int'l Joint Research / Invited
• [Presentation] Time-varying parameter heterogeneous autoregressive model with stochastic volatility (2023)
  • Author(s): Toshiaki Watanabe and Jouchi Nakajima
  • Organizer: The 25th International Conference on Computational Statistics (COMPSTAT 2023)
  • Int'l Joint Research / Invited
• [Presentation] Tail risk forecasting of realized volatility CAViaR models (2023)
  • Author(s): Cathy W.S Chen, Hsiao-Yun Hsu and Toshiaki Watanabe
  • Organizer: The 6th International Conference on Econometrics and Statistics (EcoSta 2023)
  • Int'l Joint Research / Invited
• [Presentation] Realized stochastic volatility with skewed t distribution (2023)
  • Author(s): 高橋 慎・大森 裕浩・渡部 敏明・山内 雄太
  • Organizer: Webinar of Bayesian Econometrics 2023
  • Int'l Joint Research
• [Presentation] Time-varying parameter heterogeneous autoregressive model with stochastic volatility (2023)
  • Author(s): Toshiaki Watanabe and Jouchi Nakajima
  • Organizer: Webinar of Bayesian Econometrics 2023
  • Int'l Joint Research
• [Presentation] High-frequency realized stochastic volatility model (2023)
  • Author(s): Toshiaki Watanabe and Jouchi Nakajima
  • Organizer: 一橋大学経済研究所共同利用・共同研究拠点プロジェクト「動学的パネルデータモデルによる多国間経済及びファイナンス波及分析」研究集会
  • Int'l Joint Research
• [Presentation] A realized multi-factor regression using a multivariate realized stochastic volatility model (2023)
  • Author(s): Tsunehiro Ishihara
  • Organizer: Webinar of Bayesian Econometrics 2023
  • Int'l Joint Research
• [Presentation] Bayesian dynamic fused lasso (2023)
  • Author(s): 入江薫
  • Organizer: RIMS共同研究「種々の統計的モデルにおける推測方式の有効性」
• [Presentation] 行列GIG分布のためのギブスサンプラー (2023)
  • Author(s): 入江薫
  • Organizer: 第17回日本統計学会春季集会
• [Presentation] Gibbs sampler for matrix generalized inverse Gaussian distributions (2023)
  • Author(s): 入江薫
  • Organizer: シンポジウム「The philosophy of statistics and its applications」
• [Presentation] Stochastic volatility and realized stochastic volatility models (2022)
  • Author(s): 大森裕浩
  • Organizer: 5th International Conference on Econometrics and Statistics (EcoSta2022)
  • Int'l Joint Research / Invited
• [Presentation] Bayesian estimation of multivariate stochastic volatility models using dynamic factors (2022)
  • Author(s): 大森裕浩
  • Organizer: 5th International Conference on Econometrics and Statistics (EcoSta2022)
  • Int'l Joint Research / Invited
• [Presentation] Realized stochastic volatility with skewed t distribution (2022)
  • Author(s): 高橋 慎・大森 裕浩・渡部 敏明・山内 雄太
  • Organizer: 5th International Conference on Econometrics and Statistics (EcoSta2022)
  • Int'l Joint Research
• [Presentation] Realized stochastic volatility with skewed t distribution (2022)
  • Author(s): 高橋 慎・大森 裕浩・渡部 敏明・山内 雄太
  • Organizer: 6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA2022)
  • Int'l Joint Research
• [Presentation] Multivariate randomized response for a mixed-type data (2022)
  • Author(s): Amanda Chu, Yasuhiro Omori and Mike So, Hing-yu So
  • Organizer: 6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA2022)
  • Int'l Joint Research / Invited
• [Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility (2022)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA2022)
  • Int'l Joint Research / Invited
• [Presentation] Realized stochastic volatility with skewed t distribution (2022)
  • Author(s): 高橋 慎・大森 裕浩・渡部 敏明・山内 雄太
  • Organizer: 24th International Conference on Computational Statistics
  • Int'l Joint Research
• [Presentation] Simulation of truncated and unimodal gamma distributions (2022)
  • Author(s): 黒瀬雄大
  • Organizer: 統計学の理論と応用のフロンティア
• [Presentation] Bayesian analysis of verbal autopsy survey using multivariate probit model with age and sex-dependent association between symptoms (2022)
  • Author(s): 國濱剛
  • Organizer: 統計学の理論と応用のフロンティア
• [Presentation] High-frequency realized stochastic volatility model with the generalized hyperbolic skew Student's t-distribution (2022)
  • Author(s): Jouchi Nakajima and Toshiaki Watanabe
  • Organizer: The 16th International Conference on Computational and Financial Econometrics (CFE 2022)
  • Int'l Joint Research / Invited
• [Presentation] State-space method for the quadratic estimator of integrated variance in the presence of market microstructure noise (2022)
  • Author(s): Daisuke Nagakura and Toshiaki Watanabe
  • Organizer: The 5th International Conference on Econometrics and Statistics (EcoSta 2022)
  • Int'l Joint Research / Invited
• [Presentation] A realized multi-factor regression using a multivariate realized stochastic volatility model (2022)
  • Author(s): Tsunehiro Ishihara
  • Organizer: The 5th International Conference on Econometrics and Statistics (EcoSta 2022)
• [Presentation] Sequential forecasting for bursty count data (2022)
  • Author(s): Kaoru Irie
  • Organizer: The 5th International Conference on Econometrics and Statistics (EcoSta 2022)
  • Int'l Joint Research / Invited
• [Presentation] Dynamic shrinkage by fused Markov processes (2022)
  • Author(s): Kaoru Irie
  • Organizer: The 6th EAC-ISBA conference
  • Int'l Joint Research / Invited
• [Presentation] Bayesian dynamic fused lasso (2022)
  • Author(s): 入江薫
  • Organizer: 2022年度統計関連学会連合大会
• [Presentation] ガンマ分布の形状パラメータのベイズ推定 (2022)
  • Author(s): 入江薫
  • Organizer: 科研費研究集会「統計科学の開拓」
• [Presentation] 事後ロバスト性と対数正規変動分布 (2022)
  • Author(s): 入江薫
  • Organizer: 科研費研究集会「統計学の理論と応用のフロンティア」
• [Presentation] High-frequency realized stochastic volatility model (2022)
  • Author(s): Toshiaki Watanabe and Jouchi Nakajima
  • Organizer: The 16th International Symposium on Econometric Theory and Applications (SETA2022)
  • Int'l Joint Research / Invited
• [Presentation] Multivariate randomized response for binary and ordinal data (2022)
  • Author(s): Amanda Chu, Yasuhiro Omori and Mike So, Hing-yu So
  • Organizer: The 11th Conference of the IASC-ARS (The Asian Regional Section of the International Association for Statistical Computing, IASC-ARS2022)
  • Int'l Joint Research / Invited
• [Presentation] High-frequency realized stochastic volatility model (2022)
  • Author(s): Toshiaki Watanabe and Jouchi Nakajima
  • Organizer: The 11th Conference of the IASC-ARS The Asian Regional Section of the International Association for Statistical Computing (IASC-ARS 2022)
  • Int'l Joint Research / Invited
• [Presentation] Multivariate randomized response for binary and ordinal data (2021)
  • Author(s): Amanda Chu, Yasuhiro Omori, Mike So, Hing-yu So
  • Organizer: 5th International Conference on Econometrics and Statistics (EcoSta2021)
  • Int'l Joint Research / Invited
• [Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility (2021)
  • Author(s): Yuta Yamauchi, Yasuhiro Omori
  • Organizer: NBER-NSF Seminar Seminar on Bayesian Inference in Econometrics and Statistics (SBIES)
  • Int'l Joint Research / Invited
• [Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility (2021)
  • Author(s): 山内雄太、大森裕浩
  • Organizer: 2021年度 統計関連学会連合大会
• [Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility (2021)
  • Author(s): Yuta Yamauchi, Yasuhiro Omori
  • Organizer: 15th International Conference on Computational and Financial Econometrics (CFE2021)
  • Int'l Joint Research / Invited
• [Presentation] Realized stochastic volatility with skewed t distribution (2021)
  • Author(s): Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe, Yuta Yamauchi
  • Organizer: 15th International Conference on Computational and Financial Econometrics (CFE2021)
  • Int'l Joint Research / Invited
• [Presentation] Bayesian dynamic fused lasso (2021)
  • Author(s): Kaoru Irie
  • Organizer: Bayesian Inference in Stochastic Processes 12 (BISP12)
  • Int'l Joint Research / Invited
• [Presentation] Robust regression with log-regularly varying error distributions (2021)
  • Author(s): Kaoru Irie (Yasuyuki Hamura and Shonosuke Sugasawa)
  • Organizer: Eastern Asia Chapter of the International Society for Bayesian Analysis (EAC-ISBA 2021)
  • Int'l Joint Research / Invited
• [Presentation] On the conjugate multivariate stochastic volatility processes (2021)
  • Author(s): Kaoru Irie (Victor Pena)
  • Organizer: The 14th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2021)
  • Int'l Joint Research / Invited
• [Presentation] 単調回帰のための事前分布 (2021)
  • Author(s): 入江薫（岡野遼、羽村靖之、菅澤翔之助）
  • Organizer: 2021年度 統計関連学会連合大会
• [Presentation] ボラティリティ推定：収益率と取引価格レンジの同時モデリング (2021)
  • Author(s): 黒瀬雄大
  • Organizer: 2021年度 統計関連学会連合大会
• [Presentation] A collaborative filtering approach to the evaluation of liquidity in the limit-order book markets (2021)
  • Author(s): Takaki Hayashi and Makoto Takahashi
  • Organizer: 4th International Conference on Econometrics and Statistics (EcoSta2021)
  • Int'l Joint Research
• [Presentation] High-frequency realized stochastic volatility model (2021)
  • Author(s): Toshiaki Watanabe and Jouchi Nakajima
  • Organizer: HSI 2021-The 7th Hitotsubashi Summer Institute
  • Int'l Joint Research
• [Presentation] High-frequency realized stochastic volatility model (2021)
  • Author(s): Toshiaki Watanabe and Jouchi Nakajima
  • Organizer: 5th International Conference on Econometrics and Statistics (EcoSta2021)
  • Int'l Joint Research / Invited
• [Presentation] Stochastic volatility models with time-varying leverage effect (2021)
  • Author(s): Toshiaki Watanabe and Jouchi Nakajima
  • Organizer: 5th International Conference on Econometrics and Statistics (EcoSta2021)
  • Int'l Joint Research / Invited
• [Presentation] Robust regression with log-regularly varying error distributions (2021)
  • Author(s): Kaoru Irie, Yasuyuki Hamura, Shonosuke Sugasawa
  • Organizer: 日本統計学会春季大会
  • Invited
• [Presentation] A multivariate randomized response model for sensitive binary data (2020)
  • Author(s): Amanda Chu, Yasuhiro Omori, Hing-yu So, Mike So
  • Organizer: 14th International Conference on Computational and Financial Econometrics (CFE 2020)
  • Int'l Joint Research / Invited
• [Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility (2020)
  • Author(s): Yuta Yamauchi, Yasuhiro Omori
  • Organizer: Webinar of Bayesian Econometrics 2020
  • Int'l Joint Research
• [Presentation] A collaborative filtering approach to the evaluation of liquidity in the limit-order book markets (2020)
  • Author(s): 林 高樹、高橋 慎
  • Organizer: 日本ファイナンス学会第28回大会
  • Int'l Joint Research
• [Presentation] 協調フィルタリングを応用した注文板市場の流動性評価 (2020)
  • Author(s): 林 高樹、高橋 慎
  • Organizer: Summer Workshop on Economic Theory (SWET 2020)
• [Presentation] 確率的ボラティリティモデルと価格レンジに基づく補正 (2020)
  • Author(s): 黒瀬雄大
  • Organizer: 2020年度統計関連学会連合大会
• [Presentation] 実現共分散を組み込んだ行列指数多変量確率的ボラティリティ変動モデルのベイズ推定: マーケット・サイズ・バリューファクターへの応用 (2020)
  • Author(s): 石原庸博
  • Organizer: 慶應義塾大学 経済研究所 計量経済学ワークショップ
• [Presentation] On the conjugate multivariate stochastic volatility processes (2020)
  • Author(s): Kaoru Irie, Victor Pena
  • Organizer: Webinar of Bayesian Econometrics 2020
  • Int'l Joint Research / Invited
• [Presentation] High-frequency Realized Stochastic Volatility Model (2020)
  • Author(s): Toshiaki Watanabe, Jouchi Nakajima
  • Organizer: HSI2020-6th Hitotsubashi Summer Institute
  • Int'l Joint Research
• [Presentation] High-frequency Realized Stochastic Volatility Model (2020)
  • Author(s): Toshiaki Watanabe, Jouchi Nakajima
  • Organizer: 14th International Conference on Computational and Financial Econometrics (CFE 2020)
  • Int'l Joint Research / Invited
• [Presentation] High-frequency stochastic volatility models (2020)
  • Author(s): 渡部敏明
  • Organizer: 関西計量経済学研究会
• [Presentation] Particle rolling MCMC (2019)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: South Taiwan Statistics Conference (STSC2019)
  • Int'l Joint Research / Invited
• [Presentation] Particle Learning for stochastic volatility with leverage (2019)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: 4th Eastern Asia Meeting on Bayesian Statistics (EAC-ISBA 2019)
  • Int'l Joint Research
• [Presentation] Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations (2019)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: HSI2019-The 5th Hitotsubashi Summer Institute “Macro- and Financial Econometrics”
  • Int'l Joint Research
• [Presentation] Realized stochastic volatility with skewed t distribution (2019)
  • Author(s): 高橋慎・大森裕浩・渡部敏明
  • Organizer: ベイズ計量経済学研究集会
• [Presentation] Investigating the interaction between returns and order flow imbalances: Endogeneity, intraday variations, and macroeconomic news announcements (2019)
  • Author(s): 高橋慎
  • Organizer: 15th International Symposium on Econometric Theory and Applications (SETA2019）
  • Int'l Joint Research
• [Presentation] Investigating the interaction between returns and order flow imbalances: Endogeneity, intraday variations, and macroeconomic news announcements (2019)
  • Author(s): 高橋慎
  • Organizer: 3rd International Conference on Econometrics and Statistics (EcoSta2019)
  • Int'l Joint Research / Invited
• [Presentation] 協調フィルタリングを応用した注文板市場の流動性計測 (2019)
  • Author(s): 林高樹、高橋慎
  • Organizer: 第7回統数研リスク解析戦略研究センター金融シンポジウム『金融が直面する新環境への対応と方法論II』
  • Int'l Joint Research / Invited
• [Presentation] Bayesian Factor Models for Probabilistic Cause of Death Assessment with Verbal Autopsies (2019)
  • Author(s): Kunihama, T., Li, Z. R., Clark, S. J. and McCormick, T. H.
  • Organizer: 4th Eastern Asia Meeting on Bayesian Statistics (EAC-ISBA 2019)
  • Int'l Joint Research / Invited
• [Presentation] Stochastic volatility model with range-based correction and leverage (2019)
  • Author(s): 黒瀬雄大
  • Organizer: 2019年度統計関連学会連合大会
• [Presentation] 確率的ボラティリティモデルと価格レンジに基づく補正 (2019)
  • Author(s): 黒瀬雄大
  • Organizer: 科研費研究集会「ベイズ計量経済学研究集会」
• [Presentation] Realized Stochastic Volatility Model with Multiple Different Realized Measurements (2019)
  • Author(s): 石原庸博
  • Organizer: 科研費研究集会「ベイズ計量経済学研究集会」
• [Presentation] Bayesian dynamic fused LASSO (2019)
  • Author(s): 入江薫
  • Organizer: 13th International Conference on Computational and Financial Econometrics (CFE2019)
  • Int'l Joint Research / Invited
• [Presentation] Bayesian dynamic fused LASSO (2019)
  • Author(s): 入江薫
  • Organizer: 日本統計関連学会連合大会
  • Int'l Joint Research
• [Presentation] 繰り返し対数関数を用いた縮小事前分布のクラスについて (2019)
  • Author(s): 入江薫、羽村靖之、菅澤翔之助
  • Organizer: 科研費研究集会「ベイズ計量経済学研究集会」
• [Presentation] Factor multivariate realized stochastic volatility model (2019)
  • Author(s): 山内雄太、大森裕浩
  • Organizer: 13th International Conference on Computational and Financial Econometrics (CFE2019)
  • Invited
• [Presentation] ntraday range-based stochastic volatility models with application to the Japanese stock index (2019)
  • Author(s): 渡部敏明
  • Organizer: 3rd International Conference on Econometrics and Statistics (EcoSta2019)
  • Int'l Joint Research / Invited
• [Presentation] Intraday range-based stochastic volatility models with application to the Japanese stock index (2019)
  • Author(s): 渡部敏明
  • Organizer: 4th Eastern Asia Meeting on Bayesian Statistics (EAC-ISBA 2019)
  • Int'l Joint Research / Invited
• [Presentation] High-frequency Stochastic Volatility Models, (2019)
  • Author(s): 渡部敏明
  • Organizer: HSI2019-5th Hitotsubashi Summer Institute
  • Int'l Joint Research
• [Book] Stochastic Volatility and Realized Stochastic Volatility Models (2023)
  • Author(s): Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
  • Total Pages: 113
  • Publisher: Springer
  • ISBN: 9789819909346
• [Book] 日本の物価・資産価格 : 価格ダイナミクスの解明 (2023)
  • Author(s): 渡辺努・清水千弘編 （第10章「日本の株式市場の分散リスクプレミアムー景気に対する予測力についての実証分析」執筆）
  • Total Pages: 464
  • Publisher: 東京大学出版会
  • ISBN: 9784130403108
• [Remarks] 大森裕浩（研究業績、英文）
  • URL: https://sites.google.com/view/omori-stat/japanese/publications-english
• [Remarks] 大森裕浩（研究業績、日本語）
  • URL: https://sites.google.com/view/omori-stat/japanese/publications-japanese
• [Remarks] 大森裕浩（研究業績、Google Scholar）
  • URL: https://sites.google.com/view/omori-stat/japanese/publications-japanese
• [Funded Workshop] Webinar of Bayesian Econometrics 2023 (2023)
• [Funded Workshop] Webinar of Bayesian Econometrics 2021 (2021)
• [Funded Workshop] Webinar of Bayesian Econometrics 2020 (2020)
• [Funded Workshop] 4th Eastern Asia Meeting on Bayesian Statistics (EAC-ISBA 2019) (2019)