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Econometric Analysis of Securities Markets in Japan Using High-frequency Data

Research Project

Project/Area Number 18203901
Research Category

Grant-in-Aid for Scientific Research (A)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionHitotsubashi University

Principal Investigator

WATANABE Toshiaki  Hitotsubashi University, 経済研究所, 教授 (90254135)

Co-Investigator(Kenkyū-buntansha) 大森 裕浩  東京大学, 大学院・経済学研究科, 助教授 (60251188)
大屋 幸輔  大阪大学, 大学院・経済学研究科, 教授 (20233281)
里吉 清隆  東洋大学, 経営学部, 助教授 (10366510)
小林 正人  横浜国立大学, 経済学部, 教授 (60170354)
内田 善彦  大阪大学, 大学院・経済学研究科, 助教授 (10403023)
Co-Investigator(Renkei-kenkyūsha) OMORI Yasuhiro  東京大学, 大学院・経済学研究科, 准教授 (60251188)
OYA Kousuke  大阪大学, 大学院・経済学研究科, 教授 (20233281)
SATOYOSHI Kiyotaka  東洋大学, 経営学部, 准教授 (10366510)
KOBAYASHI Masato  横浜国立大学, 経済学部, 教授 (60170354)
Project Period (FY) 2006 – 2008
Project Status Completed (Fiscal Year 2008)
Budget Amount *help
¥46,470,000 (Direct Cost: ¥39,000,000、Indirect Cost: ¥7,470,000)
Fiscal Year 2008: ¥21,580,000 (Direct Cost: ¥16,600,000、Indirect Cost: ¥4,980,000)
Fiscal Year 2007: ¥10,790,000 (Direct Cost: ¥8,300,000、Indirect Cost: ¥2,490,000)
Fiscal Year 2006: ¥14,100,000 (Direct Cost: ¥14,100,000)
Keywordsオプション / 高頻度データ / 長期記憶性 / 非同期取引 / マイクロストラクチャ・ノイズ / ARFIMA / Realized Volatility / Realized Covariance / 構造変化 / 資産収益率 / Realized Vblatility / ARFINA / GARCH / 非同時取引
Research Abstract

Realized Volatility(RV)とRealized Covariance(RCOV)に関して、以下の研究を行った。(1) RVをARFIMAXモデルで定式化すると、ボラティリティの予測やオプション価格の導出で高いパフォーマンスが得られることを示した。(2) 日次リターンと同時に定式化するモデルやARFIMA-GARCHモデルなどRVの新たなモデルを提案。(3) マイクロストラクチャ・ノイズの推定・検定方法を提案

Report

(3 results)
  • 2008 Annual Research Report   Final Research Report ( PDF )
  • 2006 Annual Research Report
  • Research Products

    (83 results)

All 2009 2008 2007 2006

All Journal Article (46 results) (of which Peer Reviewed: 20 results) Presentation (34 results) Book (3 results)

  • [Journal Article] GARCH型モデルとRealized Volatilityを用いたTOPIX日次リターンの非線形性の検証2009

    • Author(s)
      渡部敏明, 長倉大輔
    • Journal Title

      日本統計学会誌 第39巻・シリーズJ・第1号(掲載予定)

    • NAID

      110007482354

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity2009

    • Author(s)
      Masato Ubukata and Kosuke Oya
    • Journal Title

      forthcoming in Recent Advance in Financial Engineering, World Scientific

      Pages: 1-28

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2009

    • Author(s)
      Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
    • Journal Title

      Computational Statistics and Data Analysis Volume 53, Issue 6

      Pages: 2404-2426

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] State-space Approach to Estimating the Integrated Variance and Microstructure Noise Component2009

    • Author(s)
      Daisuke Nagakura and Toshiaki Watanabe
    • Journal Title

      IMES Discussion Paper(Institute for Monetary and Economic Studies, Bank of Japan) 2009-E-11

      Pages: 1-41

    • Related Report
      2008 Final Research Report
  • [Journal Article] Realized Volatilityを用いた日経225オプション価格の導出2009

    • Author(s)
      渡部敏明
    • Journal Title

      大阪証券取引所『先物オプションレポート』 Vol.21, No.3

      Pages: 1-6

    • Related Report
      2008 Final Research Report
  • [Journal Article] Estimation and Testing for Dependence in Market Microstructure Noise2009

    • Author(s)
      Masato Ubukata and Kosuke Oya
    • Journal Title

      Journal of Financial Econometrics vol.7

      Pages: 106-151

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Modeling and forecasting the volatility of the Nikkei 225 realized volatility using the ARFIMA-GARCH model2009

    • Author(s)
      Isao Ishida and Toshiaki Watanabe
    • Journal Title

      Global COE Hi-Stat Discussion Paper Series 032, Hitotsubashi University

      Pages: 1-27

    • Related Report
      2008 Final Research Report
  • [Journal Article] GARCH型モデルとRealized Volatilityを用いたTOPIX日次リターンの非線形性の検証2009

    • Author(s)
      渡部敏明, 長倉大輔
    • Journal Title

      日本統計学会誌シリーズJ 39(印刷中)

    • NAID

      110007482354

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] State-space Approach to Estimating the Integrated Variance and Microstructure Noise Component2009

    • Author(s)
      Daisuke Nagakura, Toshiaki Watanabe
    • Journal Title

      IMES Discussion Paper(Institute for Monetary and Economic Studies, Bank of Japan) 2009-E-11

      Pages: 1-41

    • Related Report
      2008 Annual Research Report
  • [Journal Article] Modeling and Forecasting the Volatil25 Realized Volatility Using the ARFty of thc Nikkei 2MA-GARCH Model2009

    • Author(s)
      Isao Ishida, Toshiaki Watanabe
    • Journal Title

      Global COE Hi-Stat Discussion Paper (Hitotsubashi University) Scries 032

      Pages: 1-32

    • Related Report
      2008 Annual Research Report
  • [Journal Article] Realized Volatilityを用いた日経225オプション価格の導出2009

    • Author(s)
      渡部敏明
    • Journal Title

      大阪証券取引所『先物オプションレポート』 21

      Pages: 1-6

    • Related Report
      2008 Annual Research Report
  • [Journal Article] Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity2009

    • Author(s)
      Masato Ubukata, Kosuke Oya
    • Journal Title

      Recent Advance in Financial Engineering (近刊)(in press)

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Estimation and Testing for Dependence in Market Microstructure Noise2009

    • Author(s)
      Masato Ubuka ta, Kosuke Oya
    • Journal Title

      Journal of Financial Econometrics Vol. 7

      Pages: 106-151

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 株式市場におけるブル相場・ベア相場の日次データを用いた分析-ベイジアンアプローチ-2009

    • Author(s)
      大鋸崇, 大屋幸輔
    • Journal Title

      ジャフィー・ジャーナル : 金融工学と市場計量分析 (近刊)

      Pages: 112-150

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Tobit Model with Covariate Dependent Thresholds2009

    • Author(s)
      Yasuhiro Omori, Koji Miyawaki
    • Journal Title

      Computational statistics and Data Analysis (近刊)(in press)

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2009

    • Author(s)
      Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe
    • Journal Title

      Computational statistics and Data Analysis 53

      Pages: 2404-2426

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Leverage, Heavy-tails and Correlated Jumps in Stochastic Volatility Models2009

    • Author(s)
      Jouchi Nakajima, Yasuhiro Omori
    • Journal Title

      Computational Statistics and Data Analysis 53

      Pages: 2335-2353

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Multivariate stochastic Volatility2009

    • Author(s)
      Siddhartha Chib, Yasuhiro Omori, Manabu Asai
    • Journal Title

      Handbook of Financial Time Series (eds T. G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch) (近刊)

      Pages: 365-400

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Efficient Semiparametric Bayesian Estimation of Multivariate Discrete Proportional Hazards Model with Random Effects2009

    • Author(s)
      Yasuhiro Omori, Richard A. Johnson
    • Journal Title

      Communications in Statistics-Theory and Methods 38

      Pages: 29-41

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Testing the Sequential Logit Model Against the Nested Logit Model2009

    • Author(s)
      Daisuke Nagakura, Masahito Kobayashi
    • Journal Title

      Japanese Economic Review (近刊)(in press)

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] マーケット・マイクロストラクチャー・ノイズの系列相関の推定2008

    • Author(s)
      大屋幸輔
    • Journal Title

      大阪大学経済学 第57巻, 第4号

      Pages: 229-241

    • NAID

      120004848741

    • Related Report
      2008 Final Research Report
  • [Journal Article] Realized Volatility-サーベイと日本の株式市場への応用-2008

    • Author(s)
      渡部敏明
    • Journal Title

      経済研究一橋大学 58

      Pages: 352-373

    • NAID

      120003802889

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] 日本の株式市場におけるボラティリティの長期記憶性とオプション価格2008

    • Author(s)
      竹内明香, 渡部敏明
    • Journal Title

      現代ファイナンス 24

      Pages: 45-74

    • NAID

      130007528292

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] TOPIX収益率のマルコフ・スイッチング非対称確率的ボラティリティ変動モデルによる分析-順列サンプラーによる探索-2008

    • Author(s)
      石原康博, 大森裕浩
    • Journal Title

      現代ファイナンス 24

      Pages: 75-100

    • NAID

      130007528300

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] マーケット・マイクロストラクチャー・ノイズの系列相関の推定2008

    • Author(s)
      大屋幸輔
    • Journal Title

      大阪大学経済学 57

      Pages: 229-241

    • NAID

      120004848741

    • Related Report
      2008 Annual Research Report
  • [Journal Article] MCMC法とその確率的ボラティリティ変動モデルへの応用2008

    • Author(s)
      大森裕浩, 波部敏明
    • Journal Title

      『社会・経済と統計科学』(『21 世紀の統計科学I』)第9章 I

      Pages: 223-266

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models2008

    • Author(s)
      Yasuhiro Omori, Toshiaki Watanabe
    • Journal Title

      Computational statistics and Data Analysis 52-6

      Pages: 2892-2910

    • NAID

      120000816334

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] モデル・フリー・インプライド・ボラティリティ2007

    • Author(s)
      渡部敏明
    • Journal Title

      先物オプションレポート 19・12

      Pages: 1-6

    • Related Report
      2008 Final Research Report
  • [Journal Article] マルコフ・スイッチングGARCHモデルによるボラティリティの予測2007

    • Author(s)
      里吉清隆
    • Journal Title

      経済研究 58・4

      Pages: 323-334

    • Related Report
      2008 Final Research Report
    • Peer Reviewed
  • [Journal Article] Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise2007

    • Author(s)
      Masato Ubukata, Kosuke Oya
    • Journal Title

      Discussion Papers Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University 07-03

      Pages: 1-24

    • Related Report
      2008 Final Research Report
  • [Journal Article] MCMC法とその確率的ボラティリティ変動モデルへの応用2007

    • Author(s)
      大森裕浩
    • Journal Title

      CIRJE Discussion Paper Series Faculty of Economics, University of Tokyo J-173

      Pages: 1-42

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Stochastic volatility model with leverage : fast likelihood inference2007

    • Author(s)
      Omori, Y
    • Journal Title

      Journal of Econometrics (forthcoming)

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Bayesian estimation of demand functions under block rate pricing2007

    • Author(s)
      Miyawaki, K
    • Journal Title

      CIRJE-Discussion paper series, faculty of Economics, University of Tokyo. F-424 (forthcoming)

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Efficient Gibbs sampler for Bayesian analysis of a sample selection model2007

    • Author(s)
      Omori, Y
    • Journal Title

      CIRJ E Discussion paper series, Faculty of Economics, University of Tokyo F-481 (forthcoming)

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 非線形状態空間モデルのベイズ分析2007

    • Author(s)
      大森裕浩
    • Journal Title

      経済学論集 72・3

      Pages: 21-68

    • NAID

      40015393539

    • Related Report
      2006 Annual Research Report
  • [Journal Article] マルコフ連鎖モンテカルロ法2007

    • Author(s)
      大森裕浩
    • Journal Title

      計量経済学ハンドブック(箕谷・縄田・和合編)(朝倉書店)

      Pages: 706-731

    • NAID

      110000465821

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise2007

    • Author(s)
      M.Ubukata
    • Journal Title

      Discussion Papers Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University. 07-03

      Pages: 1-24

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 日経225の"Realized Volatility"とインプライド・ボラティリティ2006

    • Author(s)
      渡部敏明
    • Journal Title

      先物オプションレポート 18・12

      Pages: 25-25

    • Related Report
      2008 Final Research Report
  • [Journal Article] ARCH型モデルと"Realized Volatility"によるボラティリティ予測とバリュー・アット・リスク2006

    • Author(s)
      渡部敏明, 佐々木浩二
    • Journal Title

      金融研究 25・別冊第2号

      Pages: 39-74

    • NAID

      40015151199

    • Related Report
      2008 Final Research Report
  • [Journal Article] 金利派生商品の効率的な価格付け : 確率密度関数の近似を用いて2006

    • Author(s)
      田中敬一
    • Journal Title

      金融研究(日本銀行金融研究所) 25・2

      Pages: 1-38

    • Related Report
      2006 Annual Research Report
  • [Journal Article] ARCH型モデルと"Realized Volatility"によるボラティリティ予測とバリュー・アット・リスク2006

    • Author(s)
      渡部敏明
    • Journal Title

      金融研究(日本銀行金融研究所) 25・別冊第2号

      Pages: 39-74

    • NAID

      40015151199

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 日経225の"Realized Volatility"とインプライド・ボラティリティ2006

    • Author(s)
      渡部敏明
    • Journal Title

      先物オプションレポート(大阪証券取引所) 18・12

      Pages: 2-5

    • Related Report
      2006 Annual Research Report
  • [Journal Article] The influences of random effects on univariate and bivariate discrete proportional hazards models2006

    • Author(s)
      Omori, Y
    • Journal Title

      Statistics-Theory and Methods. 35

      Pages: 1757-1764

    • Related Report
      2006 Annual Research Report
  • [Journal Article] マルコフ・スイッチングGARCHモデルを用いたオプション価格の分析(第1回)2006

    • Author(s)
      里吉清隆
    • Journal Title

      先物・オプションレポート(大阪証券取引所) 18・9

      Pages: 2-5

    • Related Report
      2006 Annual Research Report
  • [Journal Article] マルコフ・スイッチングGARCHモデルを用いたオプション価格の分析(第2回)2006

    • Author(s)
      里吉清隆
    • Journal Title

      先物・オプションレポート(大阪証券取引所) 18・10

      Pages: 2-5

    • Related Report
      2006 Annual Research Report
  • [Journal Article] 期待収益率スイッチング・モデルによる日経225オプションの実証研究2006

    • Author(s)
      里吉清隆
    • Journal Title

      産業経営研究 29

      Pages: 115-136

    • Related Report
      2006 Annual Research Report
  • [Presentation] Bayesian Analysis of Max-stable Processes with Application to High Frequency Stock Returns2009

    • Author(s)
      国浜剛, 大森裕浩
    • Organizer
      Bayesian Analysis of Max-stable Processes with Application to High Frequency Stock Returns
    • Place of Presentation
      福岡大学
    • Year and Date
      2009-03-23
    • Related Report
      2008 Final Research Report
  • [Presentation] Bayesian Analysis of Max-stable Processes with Application to High Frequency Stock Returns2009

    • Author(s)
      国浜剛, 大森裕浩
    • Organizer
      Internalional Conference on Econometrics and the World Economy
    • Place of Presentation
      福岡大学
    • Year and Date
      2009-03-23
    • Related Report
      2008 Annual Research Report
  • [Presentation] Recent Developments in the Studies on Financial Volatility2009

    • Author(s)
      渡部敏明
    • Organizer
      APF7 & Tokyo Tech-Hitotsubashi Interdisci-plinery Conference "New Approaches to the Analysis of Large-Scale Business and Economic Data
    • Place of Presentation
      東京工業大学
    • Year and Date
      2009-03-05
    • Related Report
      2008 Final Research Report
  • [Presentation] Recent Developments in the Studies on Financial Volatility2009

    • Author(s)
      渡部敏明
    • Organizer
      APFA7 & Tokyo Tech-Hitotsubashi Interdisciplinary Conference "New Approaches to the Analysis of Large-Scale Business and Economic Data"
    • Place of Presentation
      東京工業大学
    • Year and Date
      2009-03-05
    • Related Report
      2008 Annual Research Report
  • [Presentation] Option Pricing Using Realized Volatility and ARCH Type Models2009

    • Author(s)
      生方雅人, 渡部敏明
    • Organizer
      ファイナンスと計量経済学の最近の発展(Recent Develop-ments in Finance and Econometrics)
    • Place of Presentation
      琉球大学
    • Year and Date
      2009-02-15
    • Related Report
      2008 Final Research Report
  • [Presentation] Bayesian Analysis of Max-stable Processes with Application to High Frequency Stock Returns2009

    • Author(s)
      国浜剛, 大森裕浩
    • Organizer
      ファイナンスと計量経済学の最近の発展(Recent Developments in Finance and Econometrics)
    • Place of Presentation
      琉球大学
    • Year and Date
      2009-02-15
    • Related Report
      2008 Final Research Report
  • [Presentation] Option Pricing Using Realized Volatility and ARCH Type Models2009

    • Author(s)
      生方雅人, 渡部敏明
    • Organizer
      ファイナンスと計量経済学の最近の発展(Recent Developments in Finance and Econometrics)
    • Place of Presentation
      琉球大学
    • Year and Date
      2009-02-15
    • Related Report
      2008 Annual Research Report
  • [Presentation] Bayesian Analysis of Max-stable Processes with Application to High Freaucncy Stock Returns2009

    • Author(s)
      国浜剛, 大森裕浩
    • Organizer
      ファイナンスと計量経済学の最近の発展(Recent Developments in Finance and Econometries)
    • Place of Presentation
      琉球大学
    • Year and Date
      2009-02-15
    • Related Report
      2008 Annual Research Report
  • [Presentation] Multivariate Stochastic Volatility Models with Factors, Leverage Effects, and Student's t-distributions2009

    • Author(s)
      石原康博, 大森裕浩
    • Organizer
      ファイナンスと計量経済学の最近の発展(Recent Developments in Finance and Econometrics)
    • Place of Presentation
      琉球大学
    • Year and Date
      2009-02-15
    • Related Report
      2008 Annual Research Report
  • [Presentation] Generalized Extreme Value Distribution with Time-dependence using the Auto- regressive Model in State Space Form2009

    • Author(s)
      中島上智, 国浜剛, 大森裕浩
    • Organizer
      ファイナンスと計量経済学の最近の発展(Recent Developments in Finance and Econometrics)
    • Place of Presentation
      琉球大学
    • Year and Date
      2009-02-14
    • Related Report
      2008 Final Research Report
  • [Presentation] Generalized Extreme Value Distribution with Time-dpendeence using the Autoregressive Model in State Space Form2009

    • Author(s)
      中島上智, 国浜剛, 大森裕浩
    • Organizer
      「ファイナンスと計量経済学の最近の発展(Recent Developments in Finance and Econometrics)
    • Place of Presentation
      琉球大学
    • Year and Date
      2009-02-14
    • Related Report
      2008 Annual Research Report
  • [Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2008

    • Author(s)
      渡部敏明
    • Organizer
      Joint Meeting of 4^<th> World Conference of the IASA and 6^<th> Conference of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, International Statistical Computing
    • Place of Presentation
      パシフィコ横浜
    • Year and Date
      2008-12-08
    • Related Report
      2008 Final Research Report
  • [Presentation] Asymmetric Markov Switching Stochastic Volatility Model with Realized Volatility2008

    • Author(s)
      石原庸博, 大森裕浩
    • Organizer
      Joint Meeting of 4^<th> World Conference of the IASA and 6^<th> Conference of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, International Statistical Computing
    • Place of Presentation
      パシフィコ横浜
    • Year and Date
      2008-12-08
    • Related Report
      2008 Annual Research Report 2008 Final Research Report
  • [Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatilily2008

    • Author(s)
      渡部敏明
    • Organizer
      Joint Meeting of 4^<th> World Conference of the IASA and 6^<th> Conference of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, International Statistical Computing
    • Place of Presentation
      パシフィコ横浜
    • Year and Date
      2008-12-08
    • Related Report
      2008 Annual Research Report
  • [Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2008

    • Author(s)
      渡部敏明
    • Organizer
      Inter-national Conference "High-Frequency Data Analysis in Financial Markets
    • Place of Presentation
      一橋大学
    • Year and Date
      2008-10-25
    • Related Report
      2008 Final Research Report
  • [Presentation] Gene-ralized Extreme Value Distribution with Time-dependence using the Auto- regressive Model in State Space Form2008

    • Author(s)
      中島上智, 国浜剛, 大森裕浩
    • Organizer
      International Conference "High-Frequency Data Analysis in Financial Markets
    • Place of Presentation
      一橋大学
    • Year and Date
      2008-10-25
    • Related Report
      2008 Final Research Report
  • [Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Applicat ion to Realized Volatility2008

    • Author(s)
      渡部敏明
    • Organizer
      International Conference "High-Frequency Data Analysisin Financial Markets
    • Place of Presentation
      一橋大学
    • Year and Date
      2008-10-25
    • Related Report
      2008 Annual Research Report
  • [Presentation] Generalized Extreme Value Distribution with Time-dependence using the Autoregressive Model in State Space Form2008

    • Author(s)
      中島上智, 国浜剛, 大森裕浩
    • Organizer
      International Conference "High-Frequency Data Analysis in Financial Markets"
    • Place of Presentation
      一橋大学
    • Year and Date
      2008-10-25
    • Related Report
      2008 Annual Research Report
  • [Presentation] マルコフ・スイッチングEGARCHモデルによるTOPIXの分析2008

    • Author(s)
      里吉清隆
    • Organizer
      日本統計学会
    • Place of Presentation
      慶應義塾大学
    • Year and Date
      2008-09-09
    • Related Report
      2008 Final Research Report
  • [Presentation] Time-varying Structure of the Effects of Japanese Monetary Policy : a Bayesian Analysis Using a Structural VAR Model2008

    • Author(s)
      中島上智, 粕谷宗久, 渡部敏明
    • Organizer
      3^<rd> Japanese-European Bayesian Econonmetrics and Statistical Meeting
    • Place of Presentation
      University of Brescia, Italy
    • Year and Date
      2008-08-26
    • Related Report
      2008 Annual Research Report
  • [Presentation] A Test for Cross-sectional Dependence of Micro-structure Noises and their Cross-Covariance Estimator2008

    • Author(s)
      生方雅人, 大屋幸輔
    • Organizer
      Daiwa Lecture Series and International Workshop on Financial Engineering
    • Place of Presentation
      大手町サンケイプラザ
    • Year and Date
      2008-08-04
    • Related Report
      2008 Final Research Report
  • [Presentation] Bias Corrected Realized Volatility with Dependent Microstructure Noise2008

    • Author(s)
      大屋幸輔
    • Organizer
      2^<nd> International Workshop on Computational and Financial Econometrics(CFE'08)
    • Place of Presentation
      University of Neuchatel, Switzer-land
    • Year and Date
      2008-06-20
    • Related Report
      2008 Final Research Report
  • [Presentation] Block Sampler for Univariale and Multivariate Asymmetric Stochastic Volatility Models2008

    • Author(s)
      大森裕浩
    • Organizer
      Conference on Statistics-Theory and Practice
    • Place of Presentation
      Universily of Wisconsin-Madison
    • Year and Date
      2008-05-31
    • Related Report
      2008 Annual Research Report
  • [Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2008

    • Author(s)
      高橋慎, 大森裕浩, 渡部敏明
    • Organizer
      複雑現象のモデル化と統計理論的発展
    • Place of Presentation
      金沢大学
    • Year and Date
      2008-03-02
    • Related Report
      2008 Final Research Report
  • [Presentation] 多変量非対称確率的ボラティリティ変動モデルのベイズ推定2008

    • Author(s)
      石原庸博, 大森裕浩
    • Organizer
      日本統計学会
    • Place of Presentation
      慶應義塾大学
    • Related Report
      2008 Annual Research Report
  • [Presentation] A Test for Cross-sectional Dependence of Microstructure Noises and their Cross-Covariance Estimator2008

    • Author(s)
      大屋幸輔, 生方雅人
    • Organizer
      Daiwa Lecture Series and International Workshop on Financial Engineering
    • Place of Presentation
      大手町サンケイプラザ
    • Related Report
      2008 Annual Research Report
  • [Presentation] Bias Corrected Realized Volatility with Dependent Microstruclure Noise2008

    • Author(s)
      大屋幸輔
    • Organizer
      2^<nd> International Workshop on Computational and Financial Econometrics(CFE'08)
    • Place of Presentation
      University of Neuchatel, Switzerland
    • Related Report
      2008 Annual Research Report
  • [Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2007

    • Author(s)
      渡部敏明
    • Organizer
      2007年度統計関連学会連合大会
    • Place of Presentation
      神戸大学
    • Year and Date
      2007-09-08
    • Related Report
      2008 Final Research Report
  • [Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007

    • Author(s)
      高橋慎, 大森裕浩, 渡部敏明
    • Organizer
      2007年度統計関連学会連合大会
    • Place of Presentation
      神戸大学
    • Year and Date
      2007-09-07
    • Related Report
      2008 Final Research Report
  • [Presentation] 株価収益率間の共分散推定とそのバイアス検定2007

    • Author(s)
      大屋幸輔
    • Organizer
      2007年度統計関連学会連合大会
    • Place of Presentation
      神戸大学
    • Year and Date
      2007-09-07
    • Related Report
      2008 Final Research Report
  • [Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2007

    • Author(s)
      渡部敏明
    • Organizer
      2^<nd> Japanese-European Bayesian Econometrics and Statistics Meeting
    • Place of Presentation
      The National Bank of Hungary
    • Year and Date
      2007-08-27
    • Related Report
      2008 Final Research Report
  • [Presentation] Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise2007

    • Author(s)
      生方雅人, 大屋幸輔
    • Organizer
      日本経済学会2007年度春季大会
    • Place of Presentation
      大阪学院大学
    • Year and Date
      2007-06-03
    • Related Report
      2008 Final Research Report
  • [Presentation] Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise2007

    • Author(s)
      生方雅人, 大屋幸輔
    • Organizer
      International Workshop on Computational and Financial Econometrics
    • Place of Presentation
      University of Geneva
    • Year and Date
      2007-04-21
    • Related Report
      2008 Final Research Report
  • [Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007

    • Author(s)
      高橋慎, 大森裕浩, 渡部敏明
    • Organizer
      International Workshop on Computational and Financial Econometrics
    • Place of Presentation
      University of Geneva
    • Year and Date
      2007-04-21
    • Related Report
      2008 Final Research Report
  • [Book] 「モンテカルロ法」竹村編『数理科学事典』第2版2009

    • Author(s)
      大森裕浩
    • Publisher
      丸善(印刷中)
    • Related Report
      2008 Annual Research Report
  • [Book] 「マルコフ連鎖モンテカルロ法」竹村編『数理科学事典』第2版2009

    • Author(s)
      大森裕浩
    • Publisher
      丸善(印刷中)
    • Related Report
      2008 Annual Research Report
  • [Book] 計算統計学の方法-ブートストラップ、EMアルゴリズム、MCMC2008

    • Author(s)
      小西貞則,越智義道,大森裕浩
    • Total Pages
      223
    • Publisher
      朝倉書店
    • Related Report
      2008 Annual Research Report

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Published: 2006-04-01   Modified: 2016-04-21  

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