Bayesian modeling for actuary and finance

• Project/Area Number: 20243017
• Research Category: Grant-in-Aid for Scientific Research (A)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Keio University
• Principal Investigator: NAKATSUMA Teruo (NAKATUMA Teruo) 慶應義塾大学, 経済学部, 教授 (90303049)
• Co-Investigator(Kenkyū-buntansha): SUGITA Katsuhiro 琉球大学, 法文学部, 准教授 (50377058) ; TANIZAKI Hisashi 大阪大学, 経済学研究科(研究院), 教授 (60248101) ; KOGURE Atsuyuki 慶應義塾大学, 総合政策学部, 教授 (80178251) ; ASAI Manabu 創価大学, 経済学部, 教授 (90319484)
• Project Period (FY): 2008 – 2012
• Project Status: Completed (Fiscal Year 2012)
• Budget Amount: ¥44,590,000 (Direct Cost: ¥34,300,000、Indirect Cost: ¥10,290,000); Fiscal Year 2012: ¥8,710,000 (Direct Cost: ¥6,700,000、Indirect Cost: ¥2,010,000); Fiscal Year 2011: ¥8,450,000 (Direct Cost: ¥6,500,000、Indirect Cost: ¥1,950,000); Fiscal Year 2010: ¥8,190,000 (Direct Cost: ¥6,300,000、Indirect Cost: ¥1,890,000); Fiscal Year 2009: ¥9,490,000 (Direct Cost: ¥7,300,000、Indirect Cost: ¥2,190,000); Fiscal Year 2008: ¥9,750,000 (Direct Cost: ¥7,500,000、Indirect Cost: ¥2,250,000)
• Keywords: 経済統計学 / ベイズ分析 / アクチュアリー / ファイナンス / リスク分析

Research Abstract

In this research project, we studied new Bayesian methods for quantitative riskassessments in actuary and finance. We achieved satisfactory results in modeling therisk of losses related to internal mishandling in financial institutions (operationalrisk)

Research Products

• [Journal Article] 日本における株価，外国為替レート，金利のボラティリティの相互作用に関する分析 (2012)
  • Author(s): 谷崎久志
  • Journal Title: 経済学論究 Volume: 66巻 Pages: 29-46
• [Journal Article] Forecasting Volatility Using Range Data : Analysis for Emerging Equity Markets in Latin America (2012)
  • Author(s): M.Asai, I.Brugal
  • Journal Title: Applied Financial Economics Volume: 22 Issue: 6 Pages: 461-470
  • DOI: 10.1080/09603107.2011.617694
  • Peer Reviewed
• [Journal Article] Alternative asymmetric stochasticvolatility models (2011)
  • Author(s): Manabu Asai and Michael McAleer
  • Journal Title: EconometricReviews Volume: 30 Pages: 548-564
  • Peer Reviewed
• [Journal Article] Alternative Asymmetric Stochastic Volatility Models (2011)
  • Author(s): M.Asai, M.McAleer
  • Journal Title: Econometric Reviews Volume: 30 Issue: 5 Pages: 548-564
  • DOI: 10.1080/07474938.2011.553156
  • Peer Reviewed
• [Journal Article] A Bayesian approach to pricinglongevity risk based on risk-neutralpredictive distributions (2010)
  • Author(s): Atsuyuki Kogure and Yoshiyuki Kurachi
  • Journal Title: Insurance: Mathematics and Economics Volume: 46 Pages: 162-172
  • Peer Reviewed
• [Journal Article] A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions (2010)
  • Author(s): Atsuyuki Kogure, Yoshiyuki Kurachi
  • Journal Title: Insurance : Mathematics and Economics 46 Pages: 162-172
  • Peer Reviewed
• [Journal Article] General Asymmetric Stochastic Volatility Models Using Range Data : Estimation and Empirical Evidence from Emerging Equity Markets (2010)
  • Author(s): Manabu Asai, Angelo Unite
  • Journal Title: Applied Financial Economics Volume: 20 Pages: 1041-1049
  • Peer Reviewed
• [Journal Article] Disturbance Terms (2010)
  • Author(s): H.Tanizaki
  • Journal Title: Encyclopedia of Research Design(N.J.Salkind, Eds.), SAGE Publications, Inc. Pages: 381-383
  • Peer Reviewed
• [Journal Article] Estimation of Regional Business Cycle in Japan using Bayesian Panel Spatial Autoregressive Probit Model (2010)
  • Author(s): K.Kakamu, H.Wago, H.Tanizaki
  • Journal Title: Handbook of Regional Economics(Tomas P.Nolin, Eds.), Chap22, Nova Science Publishers, Inc. Pages: 555-571
  • Peer Reviewed
• [Journal Article] 株価, 為替, 金利のボラティリティの変動要因・相互依存関係について:ノンパラメトリック推定の応用 (2010)
  • Author(s): 谷崎久志
  • Journal Title: 国民経済雑誌 Volume: 第201巻第3号 Pages: 15-28
  • NAID: 110007528438
• [Journal Article] Simulation Studies on Cressie-Read Power Divergence Test Statistic under Empirical Likelihood Setup (2010)
  • Author(s): H.Tanizaki, A.Namba
  • Journal Title: Kobe University Economic Review Volume: Vol.55 Pages: 35-51
  • NAID: 120002023155
• [Journal Article] A Bayesian Approach to Pricing Longevity Risk Based on Risk-Neutral Predictive Distributions (2010)
  • Author(s): Kogure, Atsuyuki
  • Journal Title: Insurance Mathematics and Economics 46 Pages: 162-172
  • Peer Reviewed
• [Journal Article] リトグラフ価格指数の作成と分析:アート市場における価格形成 (2010)
  • Author(s): 島田式子
  • Journal Title: フィナンシャル・プランニング研究 9 Pages: 52-58
  • Peer Reviewed
• [Journal Article] 株価、為替、金利のボラティリティの変動要因・相互依存関係について:ノンパラメトリック推定の応用 (2010)
  • Author(s): 谷崎久志
  • Journal Title: 国民経済雑誌 201 Pages: 15-28
  • NAID: 110007528438
• [Journal Article] Simulation Studies on Cressie-Read Power Divergence Test Statistic under Empirical Likelihood Setup (2010)
  • Author(s): 谷崎久志
  • Journal Title: Kobe University Economic Review 55 Pages: 35-51
  • NAID: 120002023155
• [Journal Article] The structure of dynamic correlationswith multivariate stochasticvolatility models (2009)
  • Author(s): Manabu Asai and Michael McAleer
  • Journal Title: Journal ofEconometrics Volume: 150 Pages: 182-192
  • Peer Reviewed
• [Journal Article] A Bayesian modelaveraging approach for portfolioselection (2009)
  • Author(s): Teruo Nakatsuma
  • Journal Title: MTEC Journal Volume: 21 Pages: 3-41
  • NAID: 40016950790
• [Journal Article] Volatility transmission betweenJapan, UK and USA in daily stockreturns (2009)
  • Author(s): Hisashi Tanizaki and Shigeyuki Hamori
  • Journal Title: Empirical Economics Volume: 36 Pages: 27-54
  • NAID: 120001075376
  • Peer Reviewed
• [Journal Article] The structure of dynamic correlations with multivariate stochastic volatility models (2009)
  • Author(s): Manabu Asai, Michael McAleer
  • Journal Title: Journal of Econometrics 150 Pages: 182-192
  • Peer Reviewed
• [Journal Article] Volatility transmission between Japan, UK and USA in daily stock returns (2009)
  • Author(s): Hisashi Tanizaki, Shigeyuki Hamori
  • Journal Title: Empirical Economics 36 Pages: 27-54
  • NAID: 120001075376
  • Peer Reviewed
• [Journal Article] The Structure of Dynamic Correlations with Multivariate Stochastic Volatility Models (2009)
  • Author(s): Asai, Manabu
  • Journal Title: Journal of Econometrics 150 Pages: 182-192
  • Peer Reviewed
• [Journal Article] Multivariate Stochastic Volatility, Leverage and News Impact Surface (2009)
  • Author(s): Asai, Manabu
  • Journal Title: Econometrics Journal 12 Pages: 292-309
  • Peer Reviewed
• [Journal Article] 長寿リスク証券化商品のプライシング-ベイジアン・アプローチによる評価- (2009)
  • Author(s): 倉知善行
  • Journal Title: 日本保険・年金リスク学会誌 4 Pages: 45-66
  • Peer Reviewed
• [Journal Article] A Bayesian Model Averaging Approach for Portfolio Selection (2009)
  • Author(s): Nakatsuma, Teruo
  • Journal Title: MTECジャーナル 21 Pages: 3-41
  • NAID: 40016950790
• [Journal Article] Bayesian Analysis of Stochastic Volatility Models with Mixture-of-Normal Distributions (2009)
  • Author(s): Asai, M.
  • Journal Title: Mathematics and Computers in Simulation 79 Pages: 2579-2596
  • Peer Reviewed
• [Journal Article] A Bayesian Comparison of Models for Changing Mortalities toward Evaluating Longevity Risk in Japan (2009)
  • Author(s): Kogure, A., K. Kitsukawa, Y. Kurachi
  • Journal Title: Asia-Pacific Journal of Risk and Insurance 3 Pages: 1-22
  • Peer Reviewed
• [Journal Article] Volatility Transmission between Japan, UK and USA in Daily Stock Returns (2009)
  • Author(s): Hamori, S., H. Tanizaki
  • Journal Title: Empirical Economics 36 Pages: 27-54
  • NAID: 120001075376
  • Peer Reviewed
• [Journal Article] ペイズ統計学とファイナンスーBlack-Littermanアプローチを例として (2009)
  • Author(s): 中妻照雄
  • Journal Title: ジャァィージャーナル|金融工学と市場計量分析「ベイズ統計学とファイナンス」 8 Pages: 1-62
• [Journal Article] Aportfolio index GARCH model (2008)
  • Author(s): Manabu Asai and Michael McAleer
  • Journal Title: International Journal of Forecasting Volume: 24 Pages: 449-461
  • Peer Reviewed
• [Journal Article] Bayesian analysisof a vector autoregressive model withmultiple structural breaks (2008)
  • Author(s): Katsuhiro Sugita
  • Journal Title: Economics Bulletin Volume: 3 Pages: 1-7
  • Peer Reviewed
• [Journal Article] A portfolio index GARCH model (2008)
  • Author(s): Manabu Asai, Michael McAleer
  • Journal Title: International Journal of Forecasting 24 Pages: 449-461
  • Peer Reviewed
• [Journal Article] Bayesian analysis of a vector autoregressive model with multiple structural breaks (2008)
  • Author(s): Katsuhiro Sugita
  • Journal Title: Economics Bulletin 3 Pages: 1-7
  • NAID: 120006407218
  • Peer Reviewed
• [Journal Article] A Portfolio Index GARCH Model (2008)
  • Author(s): Asai, M., M. McAleer
  • Journal Title: International Journal of Forecasting 24 Pages: 449-461
  • Peer Reviewed
• [Journal Article] The Relationship between Stock Return Volatility and Trading Volume : The Case of the Philippines (2008)
  • Author(s): Asai, M., A. Unite
  • Journal Title: Applied Financial Economics 18 Pages: 1333-1348
  • Peer Reviewed
• [Journal Article] Autoregressive Stochastic Volatility Models with Heavy-Tailed Distributions : A Comparison with Multifactor Volatility Models (2008)
  • Author(s): Asai, M.
  • Journal Title: Journal of Empirical Finance 15 Pages: 332-341
  • Peer Reviewed
• [Journal Article] A Distribution-Free Test for Symmetry with an Application to S&P Index Returns (2008)
  • Author(s): Asai, M., U. Dashzeveg
  • Journal Title: Applied Economics Letters 15 Pages: 461-464
  • Peer Reviewed
• [Journal Article] 長寿リスク評価へのベイズ統計モデリング (2008)
  • Author(s): 橘川研史, 小暮厚之, 倉知善行
  • Journal Title: 日本保険・年金リスク学会 3 Pages: 43-62
  • NAID: 40016636779
  • Peer Reviewed
• [Journal Article] Bayesian Analysis of a Markov Switching Temporal Cointe gration Model (2008)
  • Author(s): Sugita, K.
  • Journal Title: Japan and the World Economy 20 Pages: 257-274
  • Peer Reviewed
• [Journal Article] Bayesian Analysis of a Vector Autoregressive Model with Multiple Structural Breaks (2008)
  • Author(s): Sugita, K.
  • Journal Title: Economics Bulletin 3 Pages: 1-7
  • NAID: 120006407218
  • Peer Reviewed
• [Journal Article] Bayesian Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates with Multiple Structural Breaks (2008)
  • Author(s): Sugita, K.
  • Journal Title: 琉球大学経済学研究 76 Pages: 35-50
  • NAID: 120001374680
• [Journal Article] Testing for Cointegration Rank Using Bayes Factors (2008)
  • Author(s): Sugita, K.
  • Journal Title: 琉球大学経済学研究 76 Pages: 51-66
  • NAID: 120001374681
• [Journal Article] ガンマ乱数の生成方法について (2008)
  • Author(s): 谷崎久志
  • Journal Title: 国民経済雑誌 197 Pages: 17-30
  • NAID: 110006622342
• [Journal Article] A Simple Gamma Random Number Generator for Arbitrary Sh ape Parameters (2008)
  • Author(s): Tanizaki, H.
  • Journal Title: Economics Bulletin 3 Pages: 1-10
  • Peer Reviewed
• [Presentation] Parallel particlelearning for Bayesian state spacemodeling (2012)
  • Author(s): Hiroaki Katsura, Kenichiro McAlinn,Teruo Nakatsuma
  • Organizer: CSDA InternationalConference on Computational Financeand Econometrics
  • Place of Presentation: オビエド(スペイン)
  • Year and Date: 2012-12-03
• [Presentation] A multivariateBayesian framework for pricingreverse mortgages in Japan (2012)
  • Author(s): Atsuyuki Kogure
  • Organizer: EighthInternational Longevity Risk andCapital markets Solutions Conference
  • Place of Presentation: University ofWaterloo (カナダ)
  • Year and Date: 2012-09-08
• [Presentation] ベイズ予測分布のリスク中立化とその応用 (2012)
  • Author(s): 小暮厚之
  • Organizer: 研究集会「第13回ノンパラメトリック統計解析とベイズ統計」
  • Place of Presentation: 慶應義塾大学三田キャンパス
  • Year and Date: 2012-03-30
• [Presentation] Spatial Interdependence of Fiscal Efficiency among Japanese Local Governments (2012)
  • Author(s): 中妻照雄
  • Organizer: 研究集会「第13回ノンパラメトリック統計解析とベイズ統計」
  • Place of Presentation: 慶應義塾大学三田キャンパス
  • Year and Date: 2012-03-30
• [Presentation] GPGPU Parallel Computing for Bayesian Portfolio Selection with Massive Number of Assets (2012)
  • Author(s): 中妻照雄
  • Organizer: 日本金融・証券計量・工学学会冬季大会
  • Place of Presentation: 筑波大学東京キャンパス
  • Year and Date: 2012-03-12
• [Presentation] Heterogeneous marketseffects for asymmetric dynamicconditional correlation model withstock return and range (2011)
  • Author(s): Manabu Asai
  • Organizer: CSDAInternational Conference onComputational Finance andEconometrics
  • Place of Presentation: ロンドン(イギリス)
  • Year and Date: 2011-12-19
• [Presentation] Heterogeneous Markets Effects for Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range (2011)
  • Author(s): 浅井学
  • Organizer: 4th CSDA International Conference on Computational and Financial Econometrics
  • Place of Presentation: ロンドン大学
  • Year and Date: 2011-12-19
• [Presentation] Continuous timedynamic correlation model (2011)
  • Author(s): Manabu Asai
  • Organizer: European Meetings of Econometric Society
  • Place of Presentation: オスロ(ノルウェー)
  • Year and Date: 2011-08-27
• [Presentation] Continuous Time Dynamic Correlation Model (2011)
  • Author(s): 浅井学
  • Organizer: European Meeting of Econometric Society 2011
  • Place of Presentation: オスロ大学(カナダ)
  • Year and Date: 2011-08-27
• [Presentation] Continuous Time Dynamic Correlation Model (2011)
  • Author(s): 浅井学
  • Organizer: Asian Meeting of Econometric Society 2011
  • Place of Presentation: コリア大学(韓国)
  • Year and Date: 2011-08-11
• [Presentation] On Estimation of the AIDS Model using Bootstrap Method (2011)
  • Author(s): 谷崎久志
  • Organizer: Summer Workshop on Economic Theory
  • Place of Presentation: 小樽商科大学
  • Year and Date: 2011-08-10
• [Presentation] Pricing reverse mortgages using Bayesian risk-neutral predictive distributions (2011)
  • Author(s): Atsuyuki Kogure
  • Organizer: Asia Pacific Risk and Insurance Association 15th Annual Conference
  • Place of Presentation: 明治大学駿河台キャンパス
  • Year and Date: 2011-08-02
• [Presentation] Bayesian Risk Assessment with Threshold Mixture Extreme Value Models (2011)
  • Author(s): Teruo Nakatsuma
  • Organizer: International Workshop on Applied Bayesian Statistics and Econometrics
  • Place of Presentation: 京都私学会館, 京都市
  • Year and Date: 2011-02-02
• [Presentation] Bayesian riskassessment with threshold mixtureextreme value models (2010)
  • Author(s): Teruo Nakatsuma
  • Organizer: CSDAInternational Conference onComputational Finance andEconometrics
  • Place of Presentation: ロンドン(イギリス)
  • Year and Date: 2010-12-10
• [Presentation] Bayesian risk assessment with threshold mixture extreme value models (2010)
  • Author(s): Teruo Nakatsuma
  • Organizer: International Conference on Computational Finance and Econometrics
  • Place of Presentation: ロンドン
  • Year and Date: 2010-12-10
• [Presentation] Stochastic Covariance Models (2010)
  • Author(s): 浅井学
  • Organizer: International Conference on Computational and Financial Econometrics 2010
  • Place of Presentation: ロンドン大学
  • Year and Date: 2010-12-10
• [Presentation] Bayesian Risk Assessment with Threshold Mixture Extreme Value Models (2010)
  • Author(s): Teruo Nakatsuma
  • Organizer: International Conference on Computational Finance and Econometrics 2010
  • Place of Presentation: ロンドン大学
  • Year and Date: 2010-12-10
• [Presentation] Bayesian Risk Assessment with Threshold Mixture Extreme Value Models (2010)
  • Author(s): 中妻照雄
  • Organizer: 日本金融・証券計量・工学学会冬季大会
  • Place of Presentation: 中央大学後楽園キャンパス
  • Year and Date: 2010-12-04
• [Presentation] Stochastic CovarianceModels (2010)
  • Author(s): Manabu Asai
  • Organizer: Econometric Society WorldCongress 2010
  • Place of Presentation: 上海(中国)
  • Year and Date: 2010-08-20
• [Presentation] Stochastic Covariance Models (2010)
  • Author(s): Manabu Asai
  • Organizer: Econometric Society World Congress 2010
  • Place of Presentation: 上海
  • Year and Date: 2010-08-20
• [Presentation] Stochastic Covariance Models (2010)
  • Author(s): 浅井学
  • Organizer: Econometric Society, World Congress 2010
  • Place of Presentation: 上海国際会議場
  • Year and Date: 2010-08-20
• [Presentation] A Fully Bayesian Implementation of the Black-Litterman Approach (2010)
  • Author(s): 中妻照雄
  • Organizer: 日本金融・証券計量・工学学会夏季大会
  • Place of Presentation: 成城大学
  • Year and Date: 2010-07-31
• [Presentation] A numerical Bayesian technique for pricing insuranceand financial risk with applications to longevity-linked security valuation (2010)
  • Author(s): Atsuyuki Kogure
  • Organizer: World Risk and Insurance Economics Congress
  • Place of Presentation: シンガポール(シンガポール)
  • Year and Date: 2010-07-26
• [Presentation] A numerical Bayes ian technique for pricing insurance and financial risk with applications to longevity-linked security valuation (2010)
  • Author(s): Atsuyuki Kogure
  • Organizer: World Risk, Insurance Economics Congress
  • Place of Presentation: シンガポール
  • Year and Date: 2010-07-26
• [Presentation] A numerical Bayesian technique for pricing insurance and financial risk with applications to longevity linked security valuation (2010)
  • Author(s): Atsuyuki Kogure
  • Organizer: World Risk and Insurance Economics Congress
  • Place of Presentation: シンガポール
  • Year and Date: 2010-07-26
• [Presentation] Stochastic Covariance Models (2010)
  • Author(s): 浅井学
  • Organizer: International Symposium on Financial Engineering and Risk Management 2010
  • Place of Presentation: 国立台湾大学
  • Year and Date: 2010-06-10
• [Presentation] A Markov Chain Monte Carlo Implementation of the Bayesian Method of Moments for Linear Regression Models (2010)
  • Author(s): Teruo Nakatsuma
  • Organizer: The 9th Valencia Internatinal Meeting on Bayesian Statistics
  • Place of Presentation: ベニドルム, スペイン
  • Year and Date: 2010-06-05
• [Presentation] A Bayesian Predictive Approach to Pricing Insurance and Financial Risks (2010)
  • Author(s): 小暮厚之
  • Organizer: 第12回ノンパラメトリック解析とベイズ統計
  • Place of Presentation: 慶應義塾大学三田キャンパス
  • Year and Date: 2010-03-30
• [Presentation] A full Bayesianimplementation of the Black-Littermanapproach (2010)
  • Author(s): Teruo Nakatsuma
  • Organizer: The 9th Columbia-JAFEEInternational Conference
  • Place of Presentation: ニューヨーク(アメリカ)
  • Year and Date: 2010-03-10
• [Presentation] A full Bayesian implementation of the Black-Litterman approach (2010)
  • Author(s): Teruo Nakatsuma
  • Organizer: The 9th Columbia-JAFEE International Conference
  • Place of Presentation: ニューヨーク
  • Year and Date: 2010-03-10
• [Presentation] A Full Bayesian Implementation of the Black-Litterman Approach (2010)
  • Author(s): Nakatsuma, Teruo
  • Organizer: The 9th Columbia-JAFEE International Conference
  • Place of Presentation: New York, USA
  • Year and Date: 2010-03-10
• [Presentation] The Structure of Conditional, Stochastic and Realized Covariance Matrices (2010)
  • Author(s): Asai, Manabu
  • Organizer: International Workshop on Bayesian Econometrics and Statistics
  • Place of Presentation: 東京大学山上会館
  • Year and Date: 2010-02-05
• [Presentation] A Markov Chain Monte Carlo Implementation of the Bayesian Methods of Moments for Linear Regression Models (2010)
  • Author(s): Nakatsuma, Teruo
  • Organizer: International Workshop on Bayesian Econometrics and Statistics
  • Place of Presentation: 東京大学山上会館
  • Year and Date: 2010-02-04
• [Presentation] Bayesian Estimation of the Cost of Capital with a Hierarchical Prior (2009)
  • Author(s): Nakatsuma, Teruo
  • Organizer: The 3rd International Conference on Computational and Financial and Econometrics
  • Place of Presentation: Limassol, Cyprus
  • Year and Date: 2009-10-31
• [Presentation] 長寿リスクのベイズ・モデリングと証券化 (2009)
  • Author(s): 小暮厚之
  • Organizer: 2009年度統計関連学会連合大会
  • Place of Presentation: 同志社大学京田辺キャンパス
  • Year and Date: 2009-09-09
• [Presentation] Causality Analysis for Structural VAR with Dynamic Covariance (2009)
  • Author(s): Asai, Manabu
  • Organizer: Singapore Economic Review Conference
  • Place of Presentation: Singapore
  • Year and Date: 2009-08-08
• [Presentation] Dynamic Conditional Correlations for Realized Covariances (2009)
  • Author(s): Asai, Manabu
  • Organizer: International Symposium for Forecasting
  • Place of Presentation: 香港
  • Year and Date: 2009-06-24
• [Presentation] べイズ法による長寿債券の価格付け (2009)
  • Author(s): 倉知善行, 小暮厚之
  • Organizer: 研究集会「第11回ノンパラメトリック統計解析とその周辺」
  • Place of Presentation: 慶應義塾大学三田キャンパス
  • Year and Date: 2009-03-27
• [Presentation] 階層ベイズ・モデルによる資本コストの推定 : 主観確率に基づく企業価値評価の試み (2009)
  • Author(s): 中妻照雄
  • Organizer: 研究集会「第11回ノンパラメトリック統計解析とその周辺」
  • Place of Presentation: 慶應義塾大学三田キャンパス
  • Year and Date: 2009-03-27
• [Presentation] Time Series Analysis of Term Structure of Interest Rates Using a Vector Error Correction Model with Unknown Autoregressive Risk Premium (2009)
  • Author(s): Sugita, K.
  • Organizer: 研究集会「ファイナンスと計量経済学の最近の展開」
  • Place of Presentation: 琉球大学
  • Year and Date: 2009-02-14
• [Presentation] 長寿リスク証券化商品のプライシング (2009)
  • Author(s): 倉知善行, 小暮厚之
  • Organizer: 日本金融・証券計量・工学学会
  • Place of Presentation: 筑波大学東京キャンパス
  • Year and Date: 2009-01-30
• [Presentation] A Bayesian Evaluation of Longevity Risk (2008)
  • Author(s): Kogure, A., Y. Kurachi
  • Organizer: The 4^<th> International Longevity Risk and Capital Markets Solutions Conference
  • Place of Presentation: Amsterdam The Netherlands
  • Year and Date: 2008-09-26
• [Presentation] Modeling andforecasting daily volatility withnoisy realized volatility measures (2008)
  • Author(s): Manabu Asai
  • Organizer: Far Eastern Meeting of the EconometricSociety
  • Place of Presentation: シンガポール(シンガポール)
  • Year and Date: 2008-07-16
• [Presentation] Modeling and forecasting daily volatility with noisy realized volatility measures (2008)
  • Author(s): Manabu Asai
  • Organizer: Far Eastern Meeting of the Econometric Society
  • Place of Presentation: シンガポール
  • Year and Date: 2008-07-16
• [Presentation] Modelling and Forecasting Daily Volatility with Noisy Realized Volatility Measures (2008)
  • Author(s): Asai, M.
  • Organizer: Far Eastern Meeting of the Econometric Society
  • Place of Presentation: Singapore, Singapore
  • Year and Date: 2008-07-16
• [Presentation] A Bayesian Comparison of Models for Changing Mortalities toward Evaluating the Longevity Risk in Japan (2008)
  • Author(s): Kogure, A., Y. Kurachi
  • Organizer: The 12^<th> Annual Asia-Pacific Risk and Insurance Association Conference
  • Place of Presentation: Sydney, Australia
  • Year and Date: 2008-07-10
• [Presentation] A New Method for Estimating Integrated Volatility with Noisy Realized Volatility (2008)
  • Author(s): Asai, M.
  • Organizer: The 28^<th> Annual Symposium on Forecasting
  • Place of Presentation: Nice, France
  • Year and Date: 2008-06-23
• [Presentation] A Bayesian multifactor Lee-Carter model toward evaluating longevity risk
  • Author(s): Atsuyuki Kogure
  • Organizer: Asia Pacific Risk and Insurance Association
  • Place of Presentation: 韓国ソウル市 成均館大学校
• [Presentation] A multivariate Bayesian framework for pricing reverse mortgages in Japan
  • Author(s): Atsuyuki Kogure
  • Organizer: Eighth International Longevity Risk and Capital Markets Solutions Conference
  • Place of Presentation: カナダ・オンタリオ州 University of Waterloo
• [Presentation] Bayesian risk assessment with threshold mixture extreme value models
  • Author(s): Teruo Nakatsuma
  • Organizer: International Society for Bayesian Analysis World Meeting
  • Place of Presentation: 京都市 京都テルサ
• [Presentation] Parallel particle learning for Bayesian state space modeling
  • Author(s): Teruo Nakatsuma
  • Organizer: CSDA International Conference on Computational and Financial Econometrics
  • Place of Presentation: スペイン・オビエド市
• [Book] 実践ベイズ統計学 (2013)
  • Author(s): 中妻照雄
  • Total Pages: 180
  • Publisher: 朝倉書店
• [Book] 『経済時系列ハンドブック』 (刈屋武昭・前川功一・矢島美寛・川崎能典・福地純一郎 編）6. 5節「数理ファイナンスモデルと時系列」 (2012)
  • Author(s): 小暮厚之
  • Total Pages: 18
  • Publisher: 朝倉書店
• [Book] 『経済時系列ハンドブック』 (刈屋武昭・前川功一・矢島美寛・川崎能典・福地純一郎 編）10.3節「為替時系列分析」 (2012)
  • Author(s): 小暮厚之
  • Total Pages: 16
  • Publisher: 朝倉書店
• [Book] 『経済時系列分析ハンドブック』 (刈屋武昭・前川功一・矢島美寛・川崎能典・福地純一郎 編）1.13節「カルマンフィルター」 (2012)
  • Author(s): 谷崎久志
  • Total Pages: 14
  • Publisher: 朝倉書店
• [Book] 『経済時系列ハンドブック』 (刈屋武昭・前川功一・矢島美寛・川崎能典・福地純一郎 編）5.1節「ベイズ統計学の基礎」 (2012)
  • Author(s): 中妻照雄
  • Total Pages: 16
  • Publisher: 朝倉書店
• [Book] 『経済時系列ハンドブック』 (刈屋武昭・前川功一・矢島美寛・川崎能典・福地純一郎 編）5.2節「MCMC法によるベイズ時系列分析」 (2012)
  • Author(s): 中妻照雄
  • Total Pages: 17
  • Publisher: 朝倉書店
• [Book] ランカスターベイジアン計量経済学(監訳・訳) (2012)
  • Author(s): 小暮厚之
  • Total Pages: 383
  • Publisher: 朝倉書店
• [Book] 第13章「階層ベイズ・モデルによる資本コストの推定-主観確率に基づく企業価値評価の試み」『応用計量経済学ハンドブック』 (2010)
  • Author(s): 中妻照雄, 蓑谷千凰彦・牧厚志
  • Publisher: 朝倉書店
• [Book] 応用計量経済学ハンドブック(第13章「階層ベイズ・モデルによる資本コストの推定-主観確率に基づく企業価値評価の試み」)(蓑谷千凰彦・牧厚志 編) (2010)
  • Author(s): 中妻照雄
  • Publisher: 朝倉書店
• [Book] 応用計量経済学ハンドブック第13章(「階層ベイズ・モデルによる資本コストの推定-主観確率に基づく企業価値評価の試み」)(蓑谷千凰彦・牧厚志編) (2010)
  • Author(s): 中妻照雄
  • Publisher: 朝倉書店
• [Book] Rによる統計データ分析入門 (2009)
  • Author(s): 小暮厚之
  • Total Pages: 162
  • Publisher: 朝倉書店
• [Book] 第8章「生命表の統計学」, 『21世紀の統計科学I:社会・経済の統計科学』 (2008)
  • Author(s): 小暮厚之・長谷川知弘,国友直人・山本拓
  • Publisher: 東京大学出版会
• [Book] StructuralVAR approach to the sources ofexchange rate fluctuations insub-Saharan African countries, Economics of Developing Countries (2008)
  • Author(s): Shigeyuki Hamori and Hisashi Tanizaki, T.N. Calderia eds.
  • Publisher: Nova Science Publishers
• [Book] 21世紀の統計科学I:社会・経済の統計科学(第8章「生命表の統計学」)(国友直人・山本拓 編) (2008)
  • Author(s): 小暮厚之・長谷川知弘
  • Publisher: 東京大学出版会
• [Book] Economics of Developing Countries (T.N. Calderia eds.)("Structural VAR approach to the sources of exchange rate fluctuations in sub-Saharan African countries") (2008)
  • Author(s): Shigeyuki Hamori, Hisashi Tanizaki
  • Publisher: Nova Science Publishers
• [Book] 国友直人・山本拓編『21世紀の統計科学I : 社会・経済の統計科学』第8章「生命表の統計学」 (2008)
  • Author(s): 小暮厚之, 長谷川知弘
  • Publisher: 東京大学出版会
• [Book] “Structural VAR Approach to the Sources of Exchange Rate Fluctuations in Sub-Saharan African Countries, " in Economics of Developing Countries (T. N. Caldeira Eds. ) (2008)
  • Author(s): Hamori, S., H. Tanizaki
  • Publisher: Nova Science Publishers