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Yamauchi Yuta  山内 雄太

ORCIDConnect your ORCID iD *help
Researcher Number 00914160
Affiliation (Current) 2025: 名古屋大学, 経済学研究科, 講師
Affiliation (based on the past Project Information) *help 2022 – 2025: 名古屋大学, 経済学研究科, 講師
Review Section/Research Field
Principal Investigator
Basic Section 07030:Economic statistics-related
Except Principal Investigator
Medium-sized Section 7:Economics, business administration, and related fields / Sections That Are Subject to Joint Review: Basic Section07030:Economic statistics-related , Basic Section07060:Money and finance-related / Basic Section 07060:Money and finance-related / Basic Section 07030:Economic statistics-related
Keywords
Principal Investigator
確率的ボラティリティ / 計量ファイナンス / リスク管理 / 高頻度データ / マルコフ連鎖モンテカルロ法 / ベイズ統計学 / 実現ボラティリティ / 確率的ボラティリティ変動モデル
Except Principal Investigator
潜在変数 / 確率的ボラティリティ … More / ベイズ統計学 / マルコフ連鎖モンテカルロ法 / 統計的学習 / 非線形計量経済モデル / ベイジアン・アプローチ / ボラティリティ / 統計的リスク / 高頻度データ / 統計的リスク分析 / マルコフ連鎖モンテカルロ法統 / 高次元データ / リスク管理 / 確率的ボラティリティ変動モデル / 因子モデル / ランダム回答法 / 統計的リスク管理 / ポートフォリオ最適化 / 実現ボラティリティ Less
  • Research Projects

    (5 results)
  • Research Products

    (17 results)
  • Co-Researchers

    (11 People)
  •  社会科学における新たなカウントデータ回帰モデルの提案Principal Investigator

    • Principal Investigator
      山内 雄太
    • Project Period (FY)
      2025 – 2027
    • Research Category
      Grant-in-Aid for Early-Career Scientists
    • Review Section
      Basic Section 07030:Economic statistics-related
    • Research Institution
      Nagoya University
  •  Novel Bayesian predictive methods for social science

    • Principal Investigator
      小林 弦矢
    • Project Period (FY)
      2024 – 2028
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Review Section
      Basic Section 07030:Economic statistics-related
      Basic Section 07060:Money and finance-related
      Sections That Are Subject to Joint Review: Basic Section07030:Economic statistics-related , Basic Section07060:Money and finance-related
    • Research Institution
      Meiji University
  •  New developments in nonlinear econometric models using statistical learning and their applications to risk evaluations

    • Principal Investigator
      大森 裕浩
    • Project Period (FY)
      2024 – 2026
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Review Section
      Medium-sized Section 7:Economics, business administration, and related fields
    • Research Institution
      The University of Tokyo
  •  実現確率的ボラティリティ変動モデルにおける非対称性モデリングPrincipal Investigator

    • Principal Investigator
      山内 雄太
    • Project Period (FY)
      2022 – 2024
    • Research Category
      Grant-in-Aid for Early-Career Scientists
    • Review Section
      Basic Section 07030:Economic statistics-related
    • Research Institution
      Nagoya University
  •  New developments in high dimensional data modeling and statistical risk analysis

    • Principal Investigator
      Omori Yasuhiro
    • Project Period (FY)
      2019 – 2023
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Review Section
      Medium-sized Section 7:Economics, business administration, and related fields
    • Research Institution
      The University of Tokyo

All 2023 2022 2021 2020 2019

All Journal Article Presentation

  • [Journal Article] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2023

    • Author(s)
      Yamauchi Yuta、Omori Yasuhiro
    • Journal Title

      Econometric Reviews

      Volume: 42 Issue: 6 Pages: 513-539

    • DOI

      10.1080/07474938.2023.2209007

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-22K13376, KAKENHI-PROJECT-19H00588, KAKENHI-PROJECT-23H00048
  • [Journal Article] Multivariate stochastic volatility model with realized volatilities and pairwise realized correlations2019

    • Author(s)
      Yuta Yamauchi and Yasuhiro Omori
    • Journal Title

      Journal of Business and Economic Statistics

      Volume: 印刷中 Issue: 4 Pages: 839-855

    • DOI

      10.1080/07350015.2019.1602048

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17J04715, KAKENHI-PROJECT-19H00588
  • [Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2023

    • Author(s)
      山内雄太
    • Organizer
      科研費シンポジウム 「ベイズモデリングの最近の展開」
    • Data Source
      KAKENHI-PROJECT-22K13376
  • [Presentation] Realized stochastic volatility with skewed t distribution2023

    • Author(s)
      高橋 慎・大森 裕浩・渡部 敏明・山内 雄太
    • Organizer
      Webinar of Bayesian Econometrics 2023
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] 条件付き分布のモデリングによる離散データに対するベイズ分位点回帰2023

    • Author(s)
      山内 雄太・小林弦矢・菅澤翔之助
    • Organizer
      統計学・計量経済学の理論とマクロ経済・ファイナンスへの応用
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2022

    • Author(s)
      山内雄太
    • Organizer
      Eastern Asia Chapter of the International Society for Bayesian Analysis
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-22K13376
  • [Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2022

    • Author(s)
      山内雄太・大森裕浩
    • Organizer
      6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA2022)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Realized stochastic volatility with skewed t distribution2022

    • Author(s)
      高橋 慎・大森 裕浩・渡部 敏明・山内 雄太
    • Organizer
      24th International Conference on Computational Statistics
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Realized stochastic volatility with skewed t distribution2022

    • Author(s)
      高橋 慎・大森 裕浩・渡部 敏明・山内 雄太
    • Organizer
      6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA2022)
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Realized stochastic volatility with skewed t distribution2022

    • Author(s)
      高橋 慎・大森 裕浩・渡部 敏明・山内 雄太
    • Organizer
      5th International Conference on Econometrics and Statistics (EcoSta2022)
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2021

    • Author(s)
      Yuta Yamauchi, Yasuhiro Omori
    • Organizer
      NBER-NSF Seminar Seminar on Bayesian Inference in Econometrics and Statistics (SBIES)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2021

    • Author(s)
      山内雄太、大森裕浩
    • Organizer
      2021年度 統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2021

    • Author(s)
      Yuta Yamauchi, Yasuhiro Omori
    • Organizer
      15th International Conference on Computational and Financial Econometrics (CFE2021)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Realized stochastic volatility with skewed t distribution2021

    • Author(s)
      Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe, Yuta Yamauchi
    • Organizer
      15th International Conference on Computational and Financial Econometrics (CFE2021)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Dynamic factor, leverage and realized covariances in multivariate stochastic volatility2020

    • Author(s)
      Yuta Yamauchi, Yasuhiro Omori
    • Organizer
      Webinar of Bayesian Econometrics 2020
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Factor multivariate realized stochastic volatility model2019

    • Author(s)
      山内雄太、大森裕浩
    • Organizer
      13th International Conference on Computational and Financial Econometrics (CFE2019)
    • Invited
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations2019

    • Author(s)
      山内雄太・大森裕浩
    • Organizer
      HSI2019-The 5th Hitotsubashi Summer Institute “Macro- and Financial Econometrics”
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19H00588
  • 1.  Omori Yasuhiro (60251188)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 12 results
  • 2.  黒瀬 雄大 (20713910)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 3.  高橋 慎 (20723852)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 5 results
  • 4.  入江 薫 (20789169)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 5.  國濱 剛 (40779716)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 6.  石原 庸博 (60609072)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 7.  渡部 敏明 (90254135)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 5 results
  • 8.  小林 弦矢 (00725103)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 9.  菅澤 翔之助 (50782380)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 10.  川久保 友超 (80771881)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 11.  城田 慎一郎 (90845918)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results

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