Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behavior

• Project/Area Number: 26245028
• Research Category: Grant-in-Aid for Scientific Research (A)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: The University of Tokyo
• Principal Investigator: Omori Yasuhiro 東京大学, 大学院経済学研究科(経済学部), 教授 (60251188)
• Co-Investigator(Kenkyū-buntansha): 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, 准教授 (20723852) ; 入江 薫 東京大学, 大学院経済学研究科(経済学部), 講師 (20789169) ; 國濱 剛 関西学院大学, 経済学部, 講師 (40779716) ; 渡部 敏明 一橋大学, 経済研究所, 教授 (90254135) ; 石原 庸博 大阪経済大学, 経営学部, 講師 (60609072) ; 菅原 慎矢 東京大学, 経済学研究科(研究院), 助教 (30711379)
• Project Period (FY): 2014-04-01 – 2019-03-31
• Project Status: Completed (Fiscal Year 2018)
• Budget Amount: ¥39,910,000 (Direct Cost: ¥30,700,000、Indirect Cost: ¥9,210,000); Fiscal Year 2018: ¥7,800,000 (Direct Cost: ¥6,000,000、Indirect Cost: ¥1,800,000); Fiscal Year 2017: ¥7,800,000 (Direct Cost: ¥6,000,000、Indirect Cost: ¥1,800,000); Fiscal Year 2016: ¥7,800,000 (Direct Cost: ¥6,000,000、Indirect Cost: ¥1,800,000); Fiscal Year 2015: ¥7,800,000 (Direct Cost: ¥6,000,000、Indirect Cost: ¥1,800,000); Fiscal Year 2014: ¥8,710,000 (Direct Cost: ¥6,700,000、Indirect Cost: ¥2,010,000)
• Keywords: ベイジアン・アプローチ / マルコフ連鎖モンテカルロ法 / 確率的ボラティリティ / 実現ボラティリティ / ポートフォリオ最適化 / ベイズ統計学 / ボラティリティ / 高頻度データ / 確率的ボラティリティ変動モデル / ベイズ推定 / 一般化双曲非対称t分布 / マルコフスイッチング / 長期記憶性

Outline of Final Research Achievements

It is well-known that the variances and correlations are time-varying for the multivariate financial time series such as multiple stock returns. To predict such dynamics is very important for the risk management of the investment such as the portfolio optimization. We propose several econometric models for these multivariate financial time series and the efficient estimation methods using Markov chain Monte Carlo simulation. By incorporating additional information based on high frequency data, we improved the precision of the estimation and the prediction.

Academic Significance and Societal Importance of the Research Achievements

年金などの資産の運用は、通常株式や債券などを組み合わせて行っており、それぞれの資産のウェイトは、それらのリターンやリスクを考慮して決められる。これらのリターンやリスクは、日々変動していることが知られており、そのモデル化がポートフォリオの最適化や統計的リスク管理にとって重要である。このため、本研究では、このリスクの変動を多変量確率的ボラティリティ変動モデルとしてモデル化し、推定・予測方法を開発した。このモデルではパラメータ数が非常に多く従来の方法では推定が困難になるが、ベイジアン・アプローチを用いたマルコフ連鎖モンテカルロ法によって、その問題を克服している。

Research Products

• [Int'l Joint Research] Feng Chia University(その他の国・地域 台湾)
• [Int'l Joint Research] Insper(ブラジル)
• [Int'l Joint Research] Insper(ブラジル)
• [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』 シリーズJ Volume: 48(2) Pages: 177-198
  • NAID: 130007724449
  • 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] 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
• [Journal Article] J-GATE稼働と日経225先物市場の日中流動性 (2018)
  • Author(s): 高橋慎
  • Journal Title: 先物・オプションレポート Volume: 30(3) Pages: 1-5
• [Journal Article] An econometric analysis of insurance markets with separate identification for moral hazard and selection (2017)
  • Author(s): Shinya Sugawara and Yasuhiro Omori
  • Journal Title: Computational Economics Volume: 印刷中 Issue: 3 Pages: 473-502
  • DOI: 10.1007/s10614-016-9594-z
  • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
• [Journal Article] Cholesky Realized Stochastic Volatility Model (2017)
  • Author(s): Shirota Shinichiro、Omori Yasuhiro、F. Lopes Hedibert.、Piao Haixiang
  • Journal Title: Econometrics and Statistics Volume: 3 Pages: 34-59
  • DOI: 10.1016/j.ecosta.2016.08.003
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] Bayesian modeling of dynamic extreme values: Extension of generalized extreme value distributions with latent stochastic processes (2017)
  • Author(s): Jouchi Nakajima, Tsuyoshi Kunihama and Yasuhiro Omori
  • Journal Title: Journal of Applied Statistics Volume: 印刷中 Issue: 7 Pages: 1248-1268
  • DOI: 10.1080/02664763.2016.1201796
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] 時変多変量自己回帰モデルを用いた日本の輸出量の計量分析 (2017)
  • Author(s): 中島上智、渡部敏明
  • Journal Title: 経済研究 Volume: 68 Pages: 237-249
  • Peer Reviewed
• [Journal Article] Portfolio optimization using dynamic factor and stochastic volatility: Evidence on fat-tailed error and leverage (2017)
  • Author(s): Tsunehiro Ishihara and Yasuhiro Omori
  • Journal Title: Japanese Economic Review Volume: 68 Issue: 1 Pages: 63-94
  • DOI: 10.1111/jere.12114
  • Peer Reviewed
• [Journal Article] 時変多変量自己回帰モデルを用いた日本の輸出量の計量分析 (2017)
  • Author(s): 中島上智・渡部敏明
  • Journal Title: 経済研究 Volume: 68-3
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Bayesian Forecasting of Value-at-Risk Based on Variant Smooth Transition Heteroskedastic Models (2017)
  • Author(s): Cathy W. S. Chen, Monica M. C. Weng, Toshiaki Watanabe
  • Journal Title: Statistics and Its Interface Volume: 10 Issue: 3 Pages: 451-470
  • DOI: 10.4310/sii.2017.v10.n3.a9
  • Peer Reviewed / Open Access / Int'l Joint Research
• [Journal Article] Discrete/Continuous choice model on the nonconvex budget set (2016)
  • Author(s): Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
  • Journal Title: Econometric Reviews Volume: 印刷中 Issue: 2 Pages: 89-113
  • DOI: 10.1080/07474938.2015.1032166
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] "Bayesian estimation of entry games with multiple players and multiple equilibria," (2016)
  • Author(s): Yuko Onishi and Yasuhiro Omori
  • Journal Title: Japanese Economic Review Volume: 4 Issue: 4 Pages: 418-440
  • DOI: 10.1111/jere.12108
  • Peer Reviewed / Open Access
• [Journal Article] Dynamic Equicorrelation Stochastic Volatility (2016)
  • Author(s): Yuta Kurose and Yasuhiro Omori
  • Journal Title: Computational Statistics and Data Analysis Volume: 印刷中 Pages: 795-813
  • DOI: 10.1016/j.csda.2015.01.013
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2016)
  • Author(s): Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori
  • Journal Title: International Journal of Forecasting Volume: 32 Issue: 2 Pages: 437-457
  • DOI: 10.1016/j.ijforecast.2015.07.005
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] The Intraday Market Liquidity of Japanese Government Bond Futures (2016)
  • Author(s): Naoshi Tsuchida, Toshiaki Watanabe, and Toshinao Yoshiba
  • Journal Title: Monetary and Economic Studies Volume: 34 Pages: 67-96
  • Peer Reviewed
• [Journal Article] 日経225分散リスク・プレミアムの予測力 (2016)
  • Author(s): 渡部敏明
  • Journal Title: 先物・オプションレポート Volume: 28(11) Pages: 1-8
• [Journal Article] 経済指標・金融政策の公表が日本国債先物の日中流動性に与える影響 (2016)
  • Author(s): 土田直司・吉羽要直・渡部敏明
  • Journal Title: 先物・オプションレポート Volume: 28(9) Pages: 1-6
• [Journal Article] ルーカス批判とマクロ計量分析 (2016)
  • Author(s): 渡部敏明
  • Journal Title: 『経済セミナー』増刊「進化する経済学の実証分析」 Volume: なし Pages: 37-41
• [Journal Article] 注文フロー不均衡と価格インパクト (2016)
  • Author(s): 高橋慎
  • Journal Title: 先物・オプションレポート Volume: 28（４） Pages: 1-5
• [Journal Article] Matrix exponential stochastic volatility with cross leverage (2015)
  • Author(s): Tsunehiro Ishihara, Yasuhiro Omori and Manabu Asai
  • Journal Title: Computational Statistics & Data Analysis Volume: 印刷中 Pages: 331-350
  • DOI: 10.1016/j.csda.2014.10.012
  • Peer Reviewed / Open Access / Acknowledgement Compliant
• [Journal Article] Stochastic volatility and realized stochastic volatility models (2015)
  • Author(s): Yasuhiro Omori and Toshiaki Watanabe
  • Journal Title: Current Trends in Bayesian Methodology with Applications (eds S. K. Upadhyay, U. Singh, D. K. Deyand A. Loganathan), Chapman & Hall/CRC Press Volume: ― Pages: 435-456
  • DOI: 10.1201/b18502-22
  • ISBN: 9780429172373
  • Peer Reviewed
• [Journal Article] 景気循環の計量分析：サーベイと日本の景気動向指数への応用 (2015)
  • Author(s): 石原庸博・渡部敏明
  • Journal Title: 経済研究 Volume: 66 Pages: 145-158
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] Evaluating the Performance of Futures Hedging Using Multivariate Realized Volatility (2015)
  • Author(s): Masato Ubukata and Toshiaki Watanabe
  • Journal Title: Journal of the Japanese and International Economies Volume: 38 Pages: 148-171
  • DOI: 10.1016/j.jjie.2015.07.001
  • NAID: 210000186635
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] 一般化したRealized Stochastic Volatility モデルの推定－Nikkei 225収益率・実現ボラティリティの暦効果への応用― (2015)
  • Author(s): 石原庸博
  • Journal Title: 経済研究 Volume: 66(1) Pages: 1-18
  • Peer Reviewed
• [Journal Article] 景気循環の計量分析―サーベイと日本の景気動向指数への応用― (2015)
  • Author(s): 石原庸博・渡部敏明
  • Journal Title: 経済研究 Volume: 66
  • Peer Reviewed
• [Journal Article] Exact estimation of demand functions under block rate pricing (2014)
  • Author(s): Koji Miyawaki, Yasuhiro Omori and Akira Hibiki
  • Journal Title: Econometric Reviews Volume: 印刷中 Issue: 3 Pages: 311-343
  • DOI: 10.1080/07474938.2013.806857
  • Peer Reviewed
• [Journal Article] Realized stochastic volatility with leverage and long memory (2014)
  • Author(s): Shinichiro Shirota, Takayuki Hizu and Yasuhiro Omori
  • Journal Title: Computational Statistics and Data Analysis Volume: 印刷中 Pages: 618-641
  • DOI: 10.1016/j.csda.2013.08.013
  • Peer Reviewed
• [Journal Article] Smooth Transition Realized Stochastic Volatilityモデル (2014)
  • Author(s): 高橋慎
  • Journal Title: 日本統計学会誌 Volume: 44(1) Pages: 41-60
  • NAID: 110009864635
  • Peer Reviewed
• [Journal Article] Market variance risk premiums in Japan for asset predictability (2014)
  • Author(s): Masato Ubukata and Toshiaki Watanabe
  • Journal Title: Empirical Economics Volume: 印刷中 Issue: 1 Pages: 169-198
  • DOI: 10.1007/s00181-013-0741-2
  • Peer Reviewed / Open Access
• [Journal Article] Pricing Nikkei 225 options using realized volatility (2014)
  • Author(s): Masato Ubukata and Toshiaki Watanabe
  • Journal Title: Japanese Economic Review Volume: 印刷中 Issue: 4 Pages: 431-467
  • DOI: 10.1111/jere.12024
  • Peer Reviewed
• [Journal Article] Bayesian Analysis of Business Cycle in Japan using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution (2014)
  • Author(s): Toshiaki Watanabe
  • Journal Title: 経済研究 Volume: 65(2) Pages: 156-167
  • NAID: 120005750601
  • Peer Reviewed
• [Journal Article] アメリカにおける量的緩和の効果－実証分析のサーベイ－ (2014)
  • Author(s): 渡部敏明
  • Journal Title: 証券アナリストジャーナル Volume: 52(4) Pages: 28-34
• [Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach (2018)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: 14th World Meeting of the International Society of Bayesian Analysis (ISBA2018)
  • Int'l Joint Research
• [Presentation] Multivariate factor realized stochastic volatility model (2018)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 14th World Meeting of the International Society of Bayesian Analysis (ISBA2018)
  • Int'l Joint Research
• [Presentation] MCMCと状態空間モデル (2018)
  • Author(s): 大森裕浩
  • Organizer: 統計サマーセミナー
  • Invited
• [Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach (2018)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: Bayesian Computation for High-Dimensional Statistical Models
  • Int'l Joint Research / Invited
• [Presentation] 多変量ボラティリティモデルのベイズ推定 (2018)
  • Author(s): 大森裕浩
  • Organizer: 2018年度 統計関連学会連合大会
  • Invited
• [Presentation] Realized stochastic volatility with skewed t distribution (2018)
  • Author(s): 高橋慎・渡部敏明・大森裕浩
  • Organizer: ベイズ計量経済分析研究集会
• [Presentation] Particle rolling MCMC (2018)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: 12th International Conference on Computational and Financial Econometrics (CFE2018)
  • Int'l Joint Research / Invited
• [Presentation] Multivariate factor realized stochastic volatility model (2018)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 12th International Conference on Computational and Financial Econometrics (CFE2018)
  • Int'l Joint Research / Invited
• [Presentation] Realized stochastic volatility with skewed t distribution (2018)
  • Author(s): 高橋慎・大森裕浩・渡部敏明
  • Organizer: 12th International Conference on Computational and Financial Econometrics (CFE2018)
  • Int'l Joint Research / Invited
• [Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations (2018)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 科研プロジェクト「経済統計・政府統計の理論と応用からの提言」研究集会
• [Presentation] Comments on ‘Efficiently Combining Pseudo Marginal and Particle Gibbs Sampling’ by Kohn et al. (2018)
  • Author(s): 大森裕浩
  • Organizer: Computation and Econometrics Workshop
  • Int'l Joint Research / Invited
• [Presentation] Bayesian Analysis of Time-Varying Heterogeneous Autoregressive Models (2018)
  • Author(s): Toshiaki Watanabe
  • Organizer: 12th International Conference on Computational and Financial Econometrics (CFE2018)
  • Int'l Joint Research / Invited
• [Presentation] High-frequency stochastic volatility models for the Japanese stock (2018)
  • Author(s): Toshiaki Watanabe and Jouchi Nakajima
  • Organizer: 12th International Conference on Computational and Financial Econometrics (CFE2018)
  • Int'l Joint Research / Invited
• [Presentation] High-frequency stochastic volatility models for the Japanese stock (2018)
  • Author(s): Toshiaki Watanabe and Jouchi Nakajima
  • Organizer: ベイズ計量経済分析研究集会
• [Presentation] High-frequency stochastic volatility models for the Japanese stock (2018)
  • Author(s): Toshiaki Watanabe and Jouchi Nakajima
  • Organizer: International Workshop on "One Belt & One Road"
  • Int'l Joint Research / Invited
• [Presentation] Bayesian analysis of verbal autopsy data with high dimensional mixed-scale variables (2018)
  • Author(s): Tsuyoshi Kunihama
  • Organizer: 2018年度 統計関連学会連合大会
• [Presentation] 内生変数のある確率的オフセット計数回帰モデル：入院総日数への応用 (2018)
  • Author(s): 石原庸博
  • Organizer: 2018年度 統計関連学会連合大会
• [Presentation] Filtering for stochastic volatility models with leverage by mixture approximation (2018)
  • Author(s): Kaoru Irie, Naoki Awaya and Yasuhiro Omori
  • Organizer: 12th International Conference on Computational and Financial Econometrics (CFE2018)
  • Int'l Joint Research / Invited
• [Presentation] Multivariate factor realized stochastic volatility model (2018)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 研究集会 「第19回ノンパラメトリック統計解析とベイズ統計」
• [Presentation] Realized stochastic volatility with skewed t distribution (2018)
  • Author(s): 高橋慎・大森裕浩・渡部敏明
  • Organizer: Workshop on Financial/Economic Analytics in 2018
  • Int'l Joint Research / Invited
• [Presentation] Multivariate factor realized stochastic volatility model (2018)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 釧路公立大学研究集会「ファイナンス・経済統計の諸問題」
• [Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach (2018)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: 釧路公立大学研究集会「ファイナンス・経済統計の諸問題」
• [Presentation] Multivariate factor realized stochastic volatility model (2018)
  • Author(s): 山内雄太・大森裕浩
  • 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研究集 会「高頻度データを用いた資産価格の計量分析」
• [Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach (2018)
  • Author(s): 粟屋直・大森裕浩
  • 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研究集 会「高頻度データを用いた資産価格の計量分析」
• [Presentation] Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk (2018)
  • Author(s): 渡部敏明
  • 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研究集会「高頻 度データを用いた資産価格の計量分析」
• [Presentation] Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk (2018)
  • Author(s): 渡部敏明
  • Organizer: Workshop on Financial/Economic Analytics in 2018
  • Int'l Joint Research / Invited
• [Presentation] New sequential Monte Carlo methods and extension to rolling window estimation (2017)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: 研究集会「第18回ノンパラメトリック統計解析とベイズ統計」
  • Place of Presentation: 慶応大学（東京都港区)
  • Year and Date: 2017-03-28
• [Presentation] Multivariate factor realized stochastic volatility model (2017)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 11th International Conference on Computational and Financial Econometrics (CFE2017)
  • Int'l Joint Research
• [Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach (2017)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: 11th International Conference on Computational and Financial Econometrics (CFE2017)
  • Int'l Joint Research
• [Presentation] Multivariate factor realized stochastic volatility model (2017)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: International Workshop on Bayesian Econometric Analysis
  • Int'l Joint Research
• [Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach (2017)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: International Workshop on Bayesian Econometric Analysis
  • Int'l Joint Research
• [Presentation] Particle rolling MCMC with double block sampling: conditional SMC update approach (2017)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: Workshop on spatial and spatio-temporal data
  • Int'l Joint Research
• [Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations (2017)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 2017年度 統計関連学会連合大会
• [Presentation] Multivariate factor realized stochastic volatility model (2017)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 2017年度 統計関連学会連合大会
• [Presentation] Particle rolling estimation with marginalized block sampling (2017)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: 2017年度 統計関連学会連合大会
• [Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations (2017)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 1st International Conference on Econometrics and Statistics (EcoSta2017)
  • Int'l Joint Research / Invited
• [Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations (2017)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 広島大学セミナー
  • Invited
• [Presentation] Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk (2017)
  • Author(s): 渡部敏明
  • Organizer: 11th International Conference on Computational and Financial Econometrics (CFE2017)
  • Int'l Joint Research / Invited
• [Presentation] Realized Stochastic Volatility with Skew-t Error (2017)
  • Author(s): 高橋慎
  • Organizer: 11th International Conference on Computational and Financial Econometrics (CFE2017)
  • Int'l Joint Research / Invited
• [Presentation] Flow-Driven and Non-Flow-Driven Realized Variances (2017)
  • Author(s): 高橋慎
  • Organizer: 1st International Conference on Econometrics and Statistics (EcoSta2017)
  • Int'l Joint Research
• [Presentation] Range-based stochastic volatility model (2017)
  • Author(s): 黒瀬雄大
  • Organizer: 2017年度 統計関連学会連合大会
• [Presentation] Scalable Bayesian modeling, monitoring and analysis of dynamic network flow data (2017)
  • Author(s): 入江薫
  • Organizer: International Workshop on Bayesian Econometric Analysis
  • Int'l Joint Research
• [Presentation] ベイジアン・モデリングによるポートフォリオ最適化 (2017)
  • Author(s): 入江薫
  • Organizer: 2017年度 統計関連学会連合大会
• [Presentation] Bayesian Emulation for High-Dimensional Portfolio Problems (2017)
  • Author(s): 入江薫
  • Organizer: 1st International Conference on Econometrics and Statistics (EcoSta2017)
  • Int'l Joint Research
• [Presentation] Bayesian Emulation for Multi-Step Optimization in Portfolio Decisions (2017)
  • Author(s): 入江薫
  • Organizer: The Third International Conference on Engineering and Computational Mathematics (ECM2017)
  • Int'l Joint Research
• [Presentation] Bayesian estimation of distributions of causes of death with verbal autopsy surveys (2017)
  • Author(s): 国濱剛
  • Organizer: 1st International Conference on Econometrics and Statistics (EcoSta2017)
  • Int'l Joint Research
• [Presentation] Bayesian estimation of distributions of causes of death with verbal autopsy surveys (2017)
  • Author(s): 国濱剛
  • Organizer: The 2nd International Society for Bayesian Analysis - East Asia Chapter
  • Int'l Joint Research / Invited
• [Presentation] Bayesian estimation of distributions of causes of death with verbal autopsy surveys (2017)
  • Author(s): 国濱剛
  • Organizer: 2017年度 統計関連学会連合大会
• [Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations (2017)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 大阪大学大学院経済学研究科経営研究会
  • Place of Presentation: 大阪大学(大阪府豊中市）
  • Invited
• [Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations (2017)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: ベイズ研究集会
  • Place of Presentation: 東北学院大学（宮城県仙台市）
• [Presentation] New sequential Monte Carlo methods and extension to rolling window estimation (2017)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: ベイズ研究集会
  • Place of Presentation: 東北学院大学（宮城県仙台市）
• [Presentation] Contemporaneous Relationship between Transaction Returns and Order Flows: Implications on Return Variance (2016)
  • Author(s): 高橋慎
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 横浜国立大学（神奈川県横浜市）
  • Year and Date: 2016-05-21
• [Presentation] Multivariate Stochastic Volatility Model with Realized Volatility and Pairwise Realized Correlation (2016)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 研究集会「第17回ノンパラメトリック統計解析とベイズ統計」
  • Place of Presentation: 慶応大学（東京都港区）
  • Year and Date: 2016-03-30
• [Presentation] Realized Stochastic Volatility Model with Multiple Different Realized Measures (2016)
  • Author(s): 石原庸博
  • Organizer: 4th Symposium on 'Financial Engineering and ERM'/ CFEE
  • Place of Presentation: 一橋大学（東京都国立市）
  • Year and Date: 2016-03-08
  • Int'l Joint Research
• [Presentation] Multivariate Stochastic Volatility Model with Realized Volatility and Pairwise Realized Correlation (2016)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: ベイズ研究集会「高次元・高頻度データのベイズ計量経済分析」
  • Place of Presentation: 神戸大学（兵庫県神戸市）
  • Year and Date: 2016-02-06
• [Presentation] Cholesky Realized Stochastic Volatility with leverage (2016)
  • Author(s): 城田慎一郎・大森裕浩・H Lopes・朴海香
  • Organizer: 応用統計計量ワークショップ
  • Place of Presentation: 東北大学（宮城県仙台市）
  • Year and Date: 2016-01-21
• [Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations (2016)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 10th International Conference on Computational and Financial Econometrics (CFE2016)
  • Place of Presentation: University of Seville (スペイン、セビリア)
  • Int'l Joint Research
• [Presentation] Rolling Monte Carlo sampler (2016)
  • Author(s): 粟屋直・大森裕浩
  • Organizer: 2016年度統計関連学会連合大会
  • Place of Presentation: 金沢大学（石川県金沢市）
• [Presentation] ファクター多変量実現確率的ボラティリティ変動モデル (2016)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 2016年度統計関連学会連合大会
  • Place of Presentation: 金沢大学（石川県金沢市）
• [Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations (2016)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: International Society for Bayesian Analysis 2016 World Meeting
  • Place of Presentation: Forte Village Resort Convention Center（イタリア、サルディーニャ）
  • Int'l Joint Research / Invited
• [Presentation] Bayesian Estimation of Time-varying Price Impact in Financial Markets Using Intraday Data (2016)
  • Author(s): Toshiaki Watanabe
  • Organizer: International Society for Bayesian Analysis 2016 World Meeting
  • Place of Presentation: Forte Village Resort Convention Center（イタリア、サルディーニャ）
  • Int'l Joint Research / Invited
• [Presentation] Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2016)
  • Author(s): Toshiaki Watanabe
  • Organizer: Seminar at the Department of Statistics, Feng Chia University
  • Place of Presentation: Feng Chia University（台湾、台中)
  • Int'l Joint Research / Invited
• [Presentation] The Predictability of the Market Variance Risk Premium in Japan (2016)
  • Author(s): Toshiaki Watanabe
  • Organizer: Seminar at the Department of Statistics, Feng Chia University
  • Place of Presentation: Feng Chia University（台湾、台中)
  • Int'l Joint Research / Invited
• [Presentation] Nonparametric Bayes models for mixed-scale longitudinal surveys (2016)
  • Author(s): 國濵剛
  • Organizer: 応用統計ワークショップ
  • Place of Presentation: 東京大学（東京都文京区）
  • Invited
• [Presentation] Nonparametric Bayes models for mixed-scale longitudinal surveys (2016)
  • Author(s): 國濵剛
  • Organizer: 計量経済学ワークショップ
  • Place of Presentation: 慶應義塾大学（東京都港区）
  • Invited
• [Presentation] Nonparametric Bayes models for mixed-scale longitudinal surveys (2016)
  • Author(s): 國濵剛
  • Organizer: Joint Statistical Meeting
  • Place of Presentation: アメリカ合衆国、シカゴ
  • Int'l Joint Research / Invited
• [Presentation] Nonparametric Bayes models for mixed-scale longitudinal surveys (2016)
  • Author(s): 國濵剛
  • Organizer: 計量経済学セミナー
  • Place of Presentation: 京都大学（京都府京都市）
  • Invited
• [Presentation] Bayesian emulation for optimization: Multi-step portfolio decision analysis (2016)
  • Author(s): 入江薫
  • Organizer: 10th International Conference on Computational and Financial Econometrics (CFE2016)
  • Place of Presentation: University of Seville (スペイン、セビリア)
  • Int'l Joint Research / Invited
• [Presentation] Multivariate realized stochastic volatility with dynamic pairwise correlations (2015)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 9th International Conference on Computational and Financial Econometrics (CFE2015)
  • Place of Presentation: ロンドン（英国）
  • Year and Date: 2015-12-13
  • Int'l Joint Research / Invited
• [Presentation] Dynamic block-equicorrelation, realized stochastic volatility and cross leverage (2015)
  • Author(s): 黒瀬雄大・大森裕浩
  • Organizer: 9th International Conference on Computational and Financial Econometrics (CFE2015)
  • Place of Presentation: ロンドン（英国）
  • Year and Date: 2015-12-13
  • Int'l Joint Research
• [Presentation] Realized stochastic volatility models with generalized hyperbolic distribution (2015)
  • Author(s): 高橋慎・渡部敏明・大森裕浩
  • Organizer: 9th International Conference on Computational and Financial Econometrics (CFE2015)
  • Place of Presentation: ロンドン（英国）
  • Year and Date: 2015-12-13
  • Int'l Joint Research
• [Presentation] The Predictability of the Market Variance Risk Premium in Japan (2015)
  • Author(s): 渡部敏明
  • Organizer: 9th International Conference on Computational and Financial Econometrics (CFE2015)
  • Place of Presentation: ロンドン（英国）
  • Year and Date: 2015-12-13
  • Int'l Joint Research / Invited
• [Presentation] Realized Stochastic Volatility モデルの多変量への拡張 (2015)
  • Author(s): 石原庸博
  • Organizer: 大規模統計モデリングと計算統計II
  • Place of Presentation: 東京大学駒場キャンパス(東京都目黒区)
  • Year and Date: 2015-09-25
• [Presentation] Cholesky Realized Stochastic Volatility with leverage (2015)
  • Author(s): 城田慎一郎・大森裕浩・H Lopes・朴海香
  • Organizer: 2015年度 統計関連学会連合大会
  • Place of Presentation: 岡山大学（岡山県岡山市）
  • Year and Date: 2015-09-07
• [Presentation] 多変量実現確率的ボラティリティモデルとレバレッジ効果について (2015)
  • Author(s): 黒瀬雄大・大森裕浩
  • Organizer: 2015年度 統計関連学会連合大会
  • Place of Presentation: 岡山大学（岡山県岡山市）
  • Year and Date: 2015-09-07
• [Presentation] ペアワイズ実現相関係数を用いた多変量実現確率的ボラティリティ変動モデル (2015)
  • Author(s): 山内雄太・大森裕浩
  • Organizer: 2015年度 統計関連学会連合大会
  • Place of Presentation: 岡山大学（岡山県岡山市）
  • Year and Date: 2015-09-07
• [Presentation] Cholesky Realized Stochastic Volatility with leverage (2015)
  • Author(s): 城田慎一郎・大森裕浩・H Lopes・朴海香
  • Organizer: Hitotsubashi Summer Institute Workshop “Frontiers in Financial Econometrics”
  • Place of Presentation: 一橋大学（東京都国立市）
  • Year and Date: 2015-08-05
  • Int'l Joint Research
• [Presentation] Matrix exponential realized stochastic volatility model (2015)
  • Author(s): 石原庸博・大森裕浩
  • Organizer: Hitotsubashi Summer Institute Workshop “Frontiers in Financial Econometrics”
  • Place of Presentation: 一橋大学（東京都国立市）
  • Year and Date: 2015-08-05
  • Int'l Joint Research
• [Presentation] Stock Return Predictability of the Market Variance Risk Premium in Japan (2015)
  • Author(s): 渡部敏明
  • Organizer: Hitotsubashi Summer Institute Workshop“Frontiers in Financial Econometrics”
  • Place of Presentation: 一橋大学（東京都国立市）
  • Year and Date: 2015-08-05
  • Int'l Joint Research
• [Presentation] Cholesky Realized Stochastic Volatility with leverage (2015)
  • Author(s): 城田慎一郎・大森裕浩・H. Lopes・朴海香
  • Organizer: Seminar at Department of Statistics and Applied Probability (Joint Seminar with Econometric Reading Group)
  • Place of Presentation: National University of Singapore、シンガポール
  • Year and Date: 2015-03-12
  • Invited
• [Presentation] Multivariate realized stochastic volatility model with leverage effects (2015)
  • Author(s): 石原庸博・大森裕浩
  • Organizer: 一橋大学 金融工学教育センター 第3回 研究集会「金融工学からERMへ」
  • Place of Presentation: 一橋大学(東京都国立市)
  • Year and Date: 2015-03-05
• [Presentation] Multivariate realized stochastic volatility model: A matrix exponential specification (2015)
  • Author(s): 石原庸博・大森裕浩
  • Organizer: Recent Developments on Bayesian Econometric Methods and Applications
  • Place of Presentation: 慶応大学（東京都港区）
  • Year and Date: 2015-02-08
• [Presentation] Cholesky Realized Stochastic Volatility with leverage (2014)
  • Author(s): 城田慎一郎・大森裕浩・H. Lopes・朴海香
  • Organizer: 8th International Conference on Computational and Financial Econometrics (CFE2014)
  • Place of Presentation: University of Pisa, イタリア
  • Year and Date: 2014-12-06
  • Invited
• [Presentation] Volatility and Quantile Forecasts of Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2014)
  • Author(s): Toshiaki Watanabe
  • Organizer: Computational and Financial Econometrics
  • Place of Presentation: University of Pisa, イタリア
  • Year and Date: 2014-12-06
  • Invited
• [Presentation] Cholesky Realized Stochastic Volatility with leverage (2014)
  • Author(s): 城田慎一郎・大森裕浩・H. Lopes・朴海香
  • Organizer: Second Bayesian Young Statisticians Meeting (BAYSM’14)
  • Place of Presentation: WU Vienna University of Business and Economics、ウィーン、オーストリア
  • Year and Date: 2014-09-18
• [Presentation] 多変量非対称実現確率的ボラティリティ変動モデルとその応用 (2014)
  • Author(s): 黒瀬雄大・大森裕浩
  • Organizer: 2014年度 統計関連学会連合大会
  • Place of Presentation: 東京大学（東京都文京区）
  • Year and Date: 2014-09-15
• [Presentation] 一般化Realized Stochastic Volatility モデルの推定と応用 (2014)
  • Author(s): 石原庸博
  • Organizer: 2014年度統計関連学会連合大会
  • Place of Presentation: 東京大学（東京都文京区）
  • Year and Date: 2014-09-15
• [Presentation] Smooth Transition Realized Stochastic Volatilityモデル (2014)
  • Author(s): 高橋慎
  • Organizer: 2014年度統計関連学会連合大会
  • Place of Presentation: 東京大学（東京都文京区）
  • Year and Date: 2014-09-15
• [Presentation] Portfolio Optimization using Dynamic Factor and Stochastic Volatility: Evidence on Fat-tailed Error and Leverage (2014)
  • Author(s): Tsunehiro Ishihara, Yasuhiro Omori, and, Siddhartha Chib
  • Organizer: 国際ベイズ分析学会世界大会（ISBA2014 world meeting）
  • Place of Presentation: Cancun center、 カンクン、メキシコ
  • Year and Date: 2014-07-14 – 2014-07-18
• [Presentation] Cholesky Realized Stochastic Volatility with leverage (2014)
  • Author(s): 城田慎一郎・大森裕浩・H. Lopes・朴海香
  • Organizer: The 3rd Institute of Mathematical Statistics Asia Pacific Rim Meeting (IMS-APRM2014)
  • Place of Presentation: Howard International House, 台北、台湾
  • Year and Date: 2014-07-02
  • Invited
• [Presentation] Volatility and Quantile Forecasts of Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2014)
  • Author(s): Toshiaki Watanabe
  • Organizer: The China Meeting of Econometric Society
  • Place of Presentation: Xiamen University, Xiamen, China
  • Year and Date: 2014-06-25
  • Invited
• [Book] コア・テキスト計量経済学 (2017)
  • Author(s): 大森 裕浩
  • Total Pages: 362
  • Publisher: 新世社 : サイエンス社
  • ISBN: 4883842649
• [Remarks] 研究成果（大森）
  • URL: http://www.omori.e.u-tokyo.ac.jp/publication.html
• [Remarks] 研究成果（渡部）
  • URL: https://hri.ad.hit-u.ac.jp/html/384_research_activity_ja.html
• [Remarks] 研究成果（高橋）
  • URL: https://sites.google.com/site/makototakahashimt/research
• [Remarks] 研究成果（国濱）
  • URL: http://researchers.kwansei.ac.jp/view?l=ja&u=200000692&kc=1&k=%E5%9C%8B%E6%BF%B5&sm=keyword&sl=ja&sp=1&c=ronbn&dm=0
• [Remarks] 研究成果（入江）
  • URL: http://www.irie.e.u-tokyo.ac.jp/research.html
• [Remarks] 大森裕浩・研究業績
  • URL: http://www.omori.e.u-tokyo.ac.jp/publication.html
• [Remarks] 研究業績（大森）
  • URL: http://www.omori.e.u-tokyo.ac.jp/publication.html
• [Remarks] 研究業績
  • URL: http://www.omori.e.u-tokyo.ac.jp/publication.html
• [Funded Workshop] International Workshop on Bayesian Econometric Analysis (2017)