Ubukata Masato 生方雅人

… Alternative Names

UBUKATA Masato 生方雅人

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Researcher Number	00467507
Other IDs
Affiliation (Current)	2025: 明治学院大学, 経済学部, 教授
Affiliation (based on the past Project Information) *help	2019 – 2022: 明治学院大学, 経済学部, 教授 2018: 明治学院大学, 経済学部, 准教授 2012 – 2017: 釧路公立大学, 経済学部, 准教授 2010 – 2011: 釧路公立大学, 経済学部, 講師 2008 – 2009: Osaka University, 大学院・経済学研究科, 助教
Review Section/Research Field	Principal Investigator Economic statistics / Basic Section 07060:Money and finance-related / Public finance/Monetary economics Except Principal Investigator Medium-sized Section 7:Economics, business administration, and related fields / Economic statistics
Keywords	Principal Investigator 高頻度データ / リスクマネジメント / オプション / 分散リスクプレミアム / オプションデータ / ジャンプリスク / ヘッジ比率 / ジャンプ / インプライドボラティリティ / 実現ボラティリティ … More / ジャンプ・ベータ / 金融資産価格の予測可能性 / 短期依存性 / 長期依存性 / ベータ / 金融市場 / 株価指数 / グローバル金融市場 / 株価指数オプション / リスクプレミアム / ヘッジ / オプション取引 / クレジットスプレッド / 下方リスク / 分散共分散行列 / ボラティリティ予測 / 計量ファイナンス / 最適ヘッジ比率 / 実現共分散 / 金融高頻度データ / Implied variance / Realized variance / ボラティリティリスクプレミアム / 高頻度金融データ / 検定統計量 / 共分散推定量 / 時間的従属性 / マイクロストラクチャーノイズ … More Except Principal Investigator ボラティリティ / 金融・財政政策 / 早期警戒指標 / 高頻度データ / マクロ経済 / リスク管理 / 金融リスク / 高頻度データ解析 / 計量ファイナンス Less

Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency data
- Principal Investigator
  
  WATANABE Toshiaki
- Project Period (FY)
  2020 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  Hitotsubashi University
Jump risk in the stock market with an application to asset pricingPrincipal Investigator
- Principal Investigator
  
  Ubukata Masato
- Project Period (FY)
  2018 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Meiji Gakuin University
Measuring downside risk using high-frequency data and its application to risk managementPrincipal Investigator
- Principal Investigator
  
  Ubukata Masato
- Project Period (FY)
  2015 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Kushiro Public University of Economics
Risk evaluation and management based on high-frequency data and jump variationPrincipal Investigator
- Principal Investigator
  
  UBUKATA MASATO
- Project Period (FY)
  2013 – 2014
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  Kushiro Public University of Economics
Time-series analysis using high-frequency data and an application to risk management 研究代表者Principal Investigator
- Principal Investigator
  
  UBUKATA Masato
- Project Period (FY)
  2011 – 2012
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Kushiro Public University of Economics
Issues related to financial risk measurement and its statistical inference
- Principal Investigator
  
  OYA Kosuke
- Project Period (FY)
  2010 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
An analysis of financial market using high-frequency dataPrincipal Investigator
- Principal Investigator
  
  UBUKATA Masato
- Project Period (FY)
  2008 – 2009
- Research Category
  
  Grant-in-Aid for Young Scientists (Start-up)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University

All 2022 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

All Journal Article Presentation

[Journal Article] A time-varying jump tail risk measure using high-frequency options data2022
- Author(s)
  Ubukata Masato
- Journal Title
  
  Empirical Economics
  
  Volume: 63 Issue: 5 Pages: 2633-2653
- DOI
  10.1007/s00181-022-02209-5
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20H00073
[Journal Article] Realized jump beta: Evidence from high-frequency data on Tokyo Stock Exchange2021
- Author(s)
  生方雅人
- Journal Title
  
  経済研究
  
  Volume: 161 Pages: 155-168
- NAID
  120006979819
- Data Source
  KAKENHI-PROJECT-18K01690
[Journal Article] Tail risk and return predictability for the Japanese equity market2021
- Author(s)
  Andersen Torben G.、Todorov Viktor、Ubukata Masato
- Journal Title
  
  Journal of Econometrics
  
  Volume: 222 Issue: 1 Pages: 344-363
- DOI
  10.1016/j.jeconom.2020.07.005
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Journal Article] Tail Risk and Return Predictability for the Japanese Equity Market2020
- Author(s)
  Torben G. Andersen, Viktor Todorov and Masato Ubukata
- Journal Title
  
  Journal of Econometrics
  
  Volume: 印刷中
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01690
[Journal Article] Stock return predictability and variance risk premia around the ZLB2020
- Author(s)
  Ogawa Toshiaki, Ubukata Masato, Watanabe Toshiaki
- Journal Title
  
  IMES Discussion Paper Series
  
  Volume: 2020-E-9 Pages: 1-34
- Data Source
  KAKENHI-PROJECT-18K01690
[Journal Article] Dynamic hedging performance and downside risk: Evidence from Nikkei index futures2018
- Author(s)
  Masato Ubukata
- Journal Title
  
  International Review of Economics & Finance
  
  Volume: 印刷中 Pages: 270-281
- DOI
  10.1016/j.iref.2018.03.026
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03397
[Journal Article] Jump tail risk premium and predicting US and Japanese credit spreads2018
- Author(s)
  Masato Ubukata
- Journal Title
  
  Empirical Economics
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03397
[Journal Article] 切断法による実現ジャンプ変動の推定と日経平均株価への応用2018
- Author(s)
  生方雅人
- Journal Title
  
  釧路公立大学紀要社会科学研究
  
  Volume: 30 Pages: 17-28
- Data Source
  KAKENHI-PROJECT-15K03397
[Journal Article] Market variance risk premiums in Japan for asset predictability2014
- 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
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245037, KAKENHI-PROJECT-25780154, KAKENHI-PROJECT-26245028
[Journal Article] Pricing Nikkei 225 Options Using Realized Volatility2013
- Author(s)
  Ubukata, M., Watanabe, T
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series
  
  Volume: 273 Pages: 1-46
- Data Source
  KAKENHI-PROJECT-23730301
[Journal Article] Pricing Nikkei 225 Options Using Realized Volatility2013
- Author(s)
  Masato Ubukata and Toshiaki Watanabe
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series, Hitotsubashi University
  
  Volume: 273 Pages: 1-46
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Pricing Nikkei 225 Options Using Realized Volatility2011
- Author(s)
  M. Ubukata and T. Watanabe
- Journal Title
  
  IMES Discussion Paper Series, Institute for monetary and economic studies, Bank of Japan
  
  Volume: 2011-E-18 Pages: 1-40
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730301
[Journal Article] Model-Free Implied Volatility: from Surface to Index2011
- Author(s)
  Fukasawa, M., Ishida, I., Maghrebi, N., Oya, K., Ubukata, M. and Yamazaki, K
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: vol.14 Pages: 433-463
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] 実現ボラティリティ -ボラティリティの計測方法の発展とリスクマネジメントへの応用可能性-2011
- Author(s)
  生方雅人・渡部敏明
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 49巻 Pages: 16-26
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] 実現ボラティリティ-ボラティリティの計測方法の発展とリスクマネジメントへの応用可能性-2011
- Author(s)
  生方雅人, 渡部敏明
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 49巻8号 Pages: 16-26
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Model-Free Implied Volatility : From Surface to Index2011
- Author(s)
  Masaaki Fukazawa, Isao Ishida, Nail Maghrebi, Kosuke Oya, Masato Ubukata and Kazutoshi Yamazaki
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: 14 Issue: 04 Pages: 433-463
- DOI
  10.1142/s0219024911006681
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243019, KAKENHI-PROJECT-22243021
[Journal Article] 実現ボラティリティ-ボラティリティの計測方法の発展とリスクマネジメントへの応用可能性-2011
- Author(s)
  生方雅人,渡部敏明
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 49(8) Pages: 16-26
- Data Source
  KAKENHI-PROJECT-23730301
[Journal Article] Model-Free Implied Volatility : from Surface to Index2011
- Author(s)
  Fukasawa, M., Ishida, I., Maghrebi, N., Oya, K., Ubukata, M., Yamazaki, K.
- Journal Title
  
  International Journal of Theoretical and Applied Finance
  
  Volume: (掲載確定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] 実現ボラティリティ―ボラティリティの計測方法の発展とリスクマネジメントへの応用可能性―2011
- Author(s)
  生方雅人, 渡部敏明
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: Vol.49, No.8 Pages: 16-26
- Data Source
  KAKENHI-PROJECT-23730301
[Journal Article] Market variance risk premiums in Japan as predictor variables and indicators of risk aversion2011
- Author(s)
  M. Ubukata and T. Watanabe
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series, Hitotsubashi University
  
  Volume: 214 Pages: 1-34
- Data Source
  KAKENHI-PROJECT-23730301
[Journal Article] Market variance risk premiums in Japan as predictor variables and indicators of risk aversion2011
- Author(s)
  Ubukata, M., Watanabe, T
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series
  
  Volume: 214 Pages: 1-34
- Data Source
  KAKENHI-PROJECT-23730301
[Journal Article] Large-scale portfolios using realized covariance matrix : evidence from the Japanese stock market2009
- Author(s)
  Masato Ubukata
- Journal Title
  
  Discussion Papers In Economics And Bisiness 09-30
  
  Pages: 1-19
- Data Source
  KAKENHI-PROJECT-20830047
[Journal Article] Estimation and Testing for Dependence in Market Microstructure Noise2009
- Author(s)
  Masato Ubukata, Kosuke Oya
- Journal Title
  
  Journal of Financial Econometrics 7
  
  Pages: 106-151
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20830047
[Journal Article] Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange2009
- Author(s)
  Hideaki Sakawa, Masato Ubukata
- Journal Title
  
  Discussion Papers In Economics And Bisiness
  
  Pages: 9-34
- Data Source
  KAKENHI-PROJECT-20830047
[Journal Article] Estimation and inference in the yield curve model with an instantaneous error term2009
- Author(s)
  Masato Ubukata, Mototsugu Fukushige
- Journal Title
  
  Mathematics and Computers in Simulation 79
  
  Pages: 2938-2946
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20830047
[Journal Article] Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity2009
- Author(s)
  Masato Ubukata, Kosuke Oya
- Journal Title
  
  Recent Advances in Financial Engineering
  
  Pages: 201-218
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20830047
[Journal Article] Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity2009
- Author(s)
  Masato Ubukata, Kosuke Oya
- Journal Title
  
  Recent Advances in Financial Engineering
  
  Pages: 201-218
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20830047
[Journal Article] マイクロストラクチャーノイズの従属性の検証:個別銘柄の高頻度データによる分析2009
- Author(s)
  生方雅人
- Journal Title
  
  日本統計学会誌 39巻
  
  Pages: 1-31
- NAID
  110007482352
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20830047
[Journal Article] Estimation and inference in the yield curve model with an in stantaneous error term2009
- Author(s)
  Masato Ubukata, Mototsugu Fukushige
- Journal Title
  
  Mathematics and Computers in Simulation 79
  
  Pages: 2938-2946
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20830047
[Journal Article] マイクロストラクチャーノイズの従属性の検証:個別銘柄の高頻度データによる分析2009
- Author(s)
  生方雅人
- Journal Title
  
  日本統計学会誌 39
  
  Pages: 1-31
- NAID
  110007482352
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20830047
[Journal Article] Large-scale portfolios using realized covariance matrix: evidence from the Japanese stock market2009
- Author(s)
  Masato Ubukata
- Journal Title
  
  Discussion Papers In Economics And Bisiness
  
  Pages: 9-30
- Data Source
  KAKENHI-PROJECT-20830047
[Journal Article] Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange?2009
- Author(s)
  Hideaki Sakawa, Masato Ubukata
- Journal Title
  
  Discussion Papers In Economics And Bisiness 09-34
  
  Pages: 1-23
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] A time-varying jump tail risk measure using high-frequency options data2022
- Author(s)
  生方雅人
- Organizer
  応用計量経済学の展開
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] A time-varying jump tail risk measure using high-frequency options data2021
- Author(s)
  Masato Ubukata
- Organizer
  The 4th International Conference on Econometrics and Statistics (EcoSta 2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Time-varying jump tail risk measure using high-frequency options data2020
- Author(s)
  Masato Ubukata
- Organizer
  HSI2020-The 6th Hitotsubashi Summer Institute
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Time-varying jump tail risk measure using high-frequency options data2020
- Author(s)
  生方雅人
- Organizer
  HSI2020-The 6th Hitotsubashi Summer Institute “Macro- and Financial Econometrics”
- Data Source
  KAKENHI-PROJECT-18K01690
[Presentation] Tail Risk and Return Predictability for the Japanese Equity Market2019
- Author(s)
  生方雅人
- Organizer
  VXJ10周年記念ワークショップ
- Data Source
  KAKENHI-PROJECT-18K01690
[Presentation] Realized jump beta: Evidence from high-frequency data on Tokyo stock exchange2019
- Author(s)
  Masato Ubukata
- Organizer
  The 3rd international conference on econometrics and statistics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01690
[Presentation] Risk premia dynamics of the Japanese financial markets2018
- Author(s)
  生方雅人
- Organizer
  The 2st international conference on econometrics and statistics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01690
[Presentation] Implied and realized jump risks in aggregate Japanese stock returns2018
- Author(s)
  生方雅人
- Organizer
  釧路公立大学研究集会
- Data Source
  KAKENHI-PROJECT-15K03397
[Presentation] Tail risk and return predictability for the Japanese equity market2018
- Author(s)
  生方雅人
- Organizer
  計量経済学ワークショップ
- Data Source
  KAKENHI-PROJECT-18K01690
[Presentation] Jump tail risk premium and predicting credit spreads2017
- Author(s)
  Masato Ubukata
- Organizer
  The 1st international conference on econometrics and statistics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03397
[Presentation] Decompositions of variance risk premium in Japan for asset predictability2016
- Author(s)
  生方雅人
- Organizer
  Seminar Series on Quantitative Finance
- Place of Presentation
  Kellogg School of Management, Northwestern University
- Data Source
  KAKENHI-PROJECT-15K03397
[Presentation] Effectiveness of time-varying minimum value at risk and expected shortfall hedging2015
- Author(s)
  生方雅人
- Organizer
  Hitotsubashi Summer Institute on Econometrics
- Place of Presentation
  Hitotsubashi University
- Year and Date
  2015-08-05
- Data Source
  KAKENHI-PROJECT-15K03397
[Presentation] Effectiveness of time-varying minimum value at risk and expected shortfall hedging2015
- Author(s)
  生方雅人
- Organizer
  統計数学セミナー
- Place of Presentation
  Graduate School of Mathematical Sciences,the University of Tokyo
- Year and Date
  2015-08-07
- Data Source
  KAKENHI-PROJECT-15K03397
[Presentation] Dynamic hedging performance and downside risk:evidence from Nikkei index futures2015
- Author(s)
  生方雅人
- Organizer
  Seminar Series on Quantitative Finance
- Place of Presentation
  Kellogg School of Management, Northwestern University
- Year and Date
  2015-11-20
- Data Source
  KAKENHI-PROJECT-15K03397
[Presentation] Evaluating the performance of futures hedging using multivariate realized volatility2014
- Author(s)
  生方雅人
- Organizer
  統計関連学会連合大会2014
- Place of Presentation
  東京大学
- Year and Date
  2014-09-14
- Data Source
  KAKENHI-PROJECT-25780154
[Presentation] An Empirical Analysis of Futures Hedge Using Multivariate Realized Volatility2014
- Author(s)
  Masato Ubukata
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  Hitotsubashi University
- Data Source
  KAKENHI-PROJECT-25780154
[Presentation] Evaluating the performance of futures hedging using multivariate realized volatility2014
- Author(s)
  生方雅人
- Organizer
  2014年度中之島ワークショップ金融工学・数理計量ファイナンスの諸問題 2014
- Place of Presentation
  大阪大学金融・保険教育研究センター
- Year and Date
  2014-12-05
- Data Source
  KAKENHI-PROJECT-25780154
[Presentation] Market Variance Risk Premiums in Japan for Asset Predictability2013
- Author(s)
  生方雅人
- Organizer
  ICSファカルティーセミナー
- Place of Presentation
  一橋大学
- Data Source
  KAKENHI-PROJECT-25780154
[Presentation] The role of implied volatility and jump risk component in forecasting realized volatility2013
- Author(s)
  生方雅人
- Organizer
  一橋大学経済研究所平成24年度共同利用・共同研究拠点事業プロジェクト研究「高頻度データを用いた資産市場のミクロ構造とボラティリティの計量分析」
- Place of Presentation
  一橋大学マーキュリータワー
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Market variance risk premiums in Japan as predictor variables and indicators of risk aversion2012
- Author(s)
  M. Ubukata
- Organizer
  2nd IMS-APRM (Institute of Mathematical Statistics Asia Pacific Rim Meeting)
- Place of Presentation
  Tsukuba International Congress Center
- Data Source
  KAKENHI-PROJECT-23730301
[Presentation] Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion2012
- Author(s)
  Ubukata, M.
- Organizer
  The 2nd Institute of Mathematical Statistics Asia Pacific Rim Meeting
- Place of Presentation
  つくば国際会議場(茨城県)
- Year and Date
  2012-07-03
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Market variance risk premiums in Japan as predictor variables and indicators of risk aversion2012
- Author(s)
  Ubukata, M
- Organizer
  The Joint Usage and Research Center Project Worksho
- Place of Presentation
  Hiroshima University of Economics
- Year and Date
  2012-03-17
- Data Source
  KAKENHI-PROJECT-23730301
[Presentation] Market variance risk premiums in Japan as predictor variables and indicators of risk aversion2012
- Author(s)
  Masato Ubukata
- Organizer
  2nd Institute of Mathematical Statistics Asia Pacific Rim Meeting
- Place of Presentation
  Tsukuba International Congress Center
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Market variance risk premiums in Japan as predictor variables and indicators of risk aversion2012
- Author(s)
  Ubukata, M
- Organizer
  2nd Institute of Mathematical Statistics Asia Pacific Rim Meeting
- Place of Presentation
  Tsukuba International Congress Center
- Year and Date
  2012-07-03
- Data Source
  KAKENHI-PROJECT-23730301
[Presentation] The role of implied volatility and jump risk component in forecasting realized volatility2012
- Author(s)
  Ubukata, M
- Organizer
  he 3rd International Conference "High-frequency Data Analysis in Financial Markets"
- Place of Presentation
  広島経済大学(広島)
- Year and Date
  2012-11-16
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Market variance risk premiums in Japan as predictor variables and indicators of risk aversion2012
- Author(s)
  生方雅人
- Organizer
  近経研究会
- Place of Presentation
  横浜国立大学
- Year and Date
  2012-07-05
- Data Source
  KAKENHI-PROJECT-23730301
[Presentation] The role of implied volatility and jump risk component in forecasting realized volatility2012
- Author(s)
  Masato Ubukata
- Organizer
  The 3rd International Conference “High-frequency Data Analysis in Financial Markets
- Place of Presentation
  広島経済大学立町キャンパス
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Market variance risk premiums in Japan as predictor variables and indicators of risk aversion2012
- Author(s)
  M. Ubukata
- Organizer
  The Joint Usage and Research Center Project Workshop "The Estimation of Financial Volatility Using High-Frequency Data with Applications to Financial Risk Management"
- Place of Presentation
  Hiroshima University of Economics Tatemachi Campus
- Data Source
  KAKENHI-PROJECT-23730301
[Presentation] Market variance risk premiums in Japan as predictor variables and indicators of risk aversion2011
- Author(s)
  Ubukata, M
- Organizer
  The Second International Conference "High-frequency Data Analysis in Financial Markets"
- Place of Presentation
  Osaka University Nakanoshima Center
- Year and Date
  2011-10-28
- Data Source
  KAKENHI-PROJECT-23730301
[Presentation] Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange2010
- Author(s)
  生方雅人, 坂和秀晃
- Organizer
  2010年度関西計量経済学研究会
- Place of Presentation
  京都大学
- Year and Date
  2010-01-10
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange?2010
- Author(s)
  Hideaki Sakawa, Masato Ubukata
- Organizer
  2010年度関西計量経済学研究会
- Place of Presentation
  京都大学
- Year and Date
  2010-01-10
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange?2009
- Author(s)
  Hideaki Sakawa, Masato Ubukata
- Organizer
  Asian Finance Association annual conference
- Place of Presentation
  Brisbane, Australia
- Year and Date
  2009-07-01
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity2009
- Author(s)
  Masato Ubukata, Kosuke Oya
- Organizer
  Recent developments in Finance and Econometrics
- Place of Presentation
  琉球大学
- Year and Date
  2009-02-14
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity2009
- Author(s)
  Masato Ubukata, Kosuke Oya
- Organizer
  2008年度関西計量経済学研究
- Place of Presentation
  神戸大学
- Year and Date
  2009-01-10
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity2009
- Author(s)
  Masato Ubukata Kosuke Oya
- Organizer
  Recent developments in Finance and Econome tries
- Place of Presentation
  琉球大学
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange2009
- Author(s)
  Hideaki Sakawa, Masato Ubukata
- Organizer
  Asian Finance Association annual conference
- Place of Presentation
  Brisbane, Australia
- Year and Date
  2009-07-01
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] Estimation and Testing for Dependence of Market Microstructure Noise2008
- Author(s)
  Masato Ubukata Kosuke Oya
- Organizer
  International Conference “High-Frequency Data Analys is in Financial Markets"
- Place of Presentation
  Hitotsubashi University
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] マイクロストラクチヤーノイズの従属性の検証 : 個別銘柄の高頻度データによる分析2008
- Author(s)
  生方雅人
- Organizer
  日本経済学会秋季大会
- Place of Presentation
  近畿大学
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] Estimation and Testing for Dependence of Market Microstructure Noise2008
- Author(s)
  Masato Ubukata, Kosuke Oya
- Organizer
  Research Forum on Finance and Decision Making
- Place of Presentation
  首都大学東京サテライトキャンパス
- Year and Date
  2008-11-19
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] Estimation and Testing for Dependence of Market Microstructure Noise2008
- Author(s)
  Masato Ubukata, Kosuke Oya
- Organizer
  International conference: High-Frequency Data Analysis in Financial Markets
- Place of Presentation
  Hitotsubashi University
- Year and Date
  2008-10-25
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] A Test for Dependence and Covariance Estimator of Market MicrostructureNoise2008
- Author(s)
  Masato Ubukata, Kosuke Oya
- Organizer
  2008 Daiwa Lecture Series and International Workshopon Financial Engineering
- Place of Presentation
  大手町サンケイプラザ
- Year and Date
  2008-08-04
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] マイクロストラクチャーノイズの従属性の検証:個別銘柄の高頻度データによる分析2008
- Author(s)
  生方雅人
- Organizer
  日本経済学会2008年度秋季大会
- Place of Presentation
  近畿大学
- Year and Date
  2008-09-15
- Data Source
  KAKENHI-PROJECT-20830047
[Presentation] A Test for Dependence and Covariance Estimator of Market MicrostructureNoise2008
- Author(s)
  Masato Ubukata Kosuke Oya
- Organizer
  Daiwa Lee ture Series and International Workshop on Financial Engineering
- Place of Presentation
  Otemachi Sankei Plaza
- Data Source
  KAKENHI-PROJECT-20830047

1. WATANABE Toshiaki (90254135)

# of Collaborated Projects: 2 results

# of Collaborated Products: 4 results
2. OYA Kosuke (20233281)

# of Collaborated Projects: 1 results

# of Collaborated Products: 3 results
3. MAGHREBI Nabil (20283947)

# of Collaborated Projects: 1 results

# of Collaborated Products: 2 results
4. TANIGAWA Yasuhiko (60163622)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
5. OHNISHI Masamitsu (10160566)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
6. ISHIDA Isao (20361579)

# of Collaborated Projects: 1 results

# of Collaborated Products: 2 results
7. FUKASAWA Masaaki (70506451)

# of Collaborated Projects: 1 results

# of Collaborated Products: 2 results
8. 塩路悦朗 (50301180)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. 加納隆 (90456179)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. 山本庸平 (80633916)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. 陣内了 (50765617)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. 大森裕浩 (60251188)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. 新谷元嗣 (00252718)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
14. 森田裕史 (70732759)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
15. 中島上智 (20962062)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Ubukata Masato 生方 雅人

UBUKATA Masato 生方 雅人

Research Projects

Research Products

Co-Researchers

Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency data

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Jump risk in the stock market with an application to asset pricingPrincipal Investigator

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Measuring downside risk using high-frequency data and its application to risk managementPrincipal Investigator

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Risk evaluation and management based on high-frequency data and jump variationPrincipal Investigator

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Time-series analysis using high-frequency data and an application to risk management 研究代表者Principal Investigator

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Issues related to financial risk measurement and its statistical inference

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An analysis of financial market using high-frequency dataPrincipal Investigator

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[Journal Article] A time-varying jump tail risk measure using high-frequency options data2022

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DOI

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[Journal Article] Realized jump beta: Evidence from high-frequency data on Tokyo Stock Exchange2021

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NAID

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[Journal Article] Tail risk and return predictability for the Japanese equity market2021

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[Journal Article] Tail Risk and Return Predictability for the Japanese Equity Market2020

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[Journal Article] Stock return predictability and variance risk premia around the ZLB2020

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[Journal Article] Dynamic hedging performance and downside risk: Evidence from Nikkei index futures2018

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[Journal Article] Jump tail risk premium and predicting US and Japanese credit spreads2018

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[Journal Article] 切断法による実現ジャンプ変動の推定と日経平均株価への応用2018

Ubukata Masato 生方雅人

UBUKATA Masato 生方雅人