OYA KOSUKE 大屋幸輔

… Alternative Names

OHYA Kousuke 大屋幸輔

大屋幸輔オオヤコウスケ

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Researcher Number	20233281
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Affiliation (Current)	2025: 大阪大学, 大学院経済学研究科, 教授
Affiliation (based on the past Project Information) *help	2025: 大阪大学, 大学院経済学研究科, 教授 2022 – 2023: 大阪大学, 大学院経済学研究科, 教授 2016 – 2021: 大阪大学, 経済学研究科, 教授 2012 – 2016: 大阪大学, 経済学研究科(研究院), 教授 2004 – 2012: 大阪大学, 大学院・経済学研究科, 教授 … More 2006 – 2011: 大阪大学, 経済学研究科, 教授 2006: Osaka University, Graduate School of Economics, Professor, 大学院経済学研究科, 教授 2002 – 2003: 大阪大学, 大学院・経済学研究科, 助教授 2001 – 2002: 大阪大学, 経済学研究科, 助教授 2001: 大阪大学, 大学院経済学研究科(研究院), 助教授 1998 – 2000: 大阪大学, 大学院・経済学研究科, 助教授 1997: 大阪大学, 経済学部, 助教授 1993 – 1994: 大阪大学, 経済学部, 助教授 Less
Review Section/Research Field	Principal Investigator Economic statistics / Economic statistics / Basic Section 07030:Economic statistics-related Except Principal Investigator Economic statistics / Medium-sized Section 7:Economics, business administration, and related fields / Money/ Finance / Public finance/Monetary economics / Business administration / Commerce / Public finance/Monetary economics / Business administration
Keywords	Principal Investigator 計量ファイナンス / パネルデータ / 経済統計学 / Count Data / カウントデータ / 高頻度データ / ボラティリティ / 頑健性 / 構造変化 / 同時方程式 … More / 検定統計量 / リスク回避度 / 経済統計 / 予測モデル / 金融市場 / リスク / Dynamic Model / Panel Data / 動学モデル / Maximum Likelihood Estimation / Endogeniety / Poisson Regression Model / Ordered Categorical Data / Categorical Data / トービットモデル / プロビットモデル / 欠損値 / ポアソン回帰 / 2値変数 / 同時性 / 最尤推定法 / 内生性 / ポアソン回帰モデル / 順序つきカテゴリーデータ / カテゴリーデータ / 市場流動性 / リスク管理 / 金融リスク / 高頻度データ解析 / ノンパラメトリック / アフィリエーション / 確率分布 / ノンパラメトリックモデル / 実験データ / リスク中立性 / ランダム効果 / 欠測値 / mis-specification / microspecification / ブートストラップ / 漸近展開 / 小標本 … More Except Principal Investigator マーケット・マイクロストラクチャー / 不完全データ / リスク尺度 / 信用リスク / 非同時取引 / GARCH / 資産収益率 / Realized Covariance / Realized Volatility / ARFIMA / 高頻度データ / ノンパラメトリック / ミクロ金融市場 / ファクターモデル / 株価指数関連取引 / 価格の情報反映度 / 価格の情報効率性 / 証券取引 / Tobin's Q / 実物投資 / 点確率過程 / 時系列解析 / 計量経済学 / 点過程(ジャンプ過程)と確率過程 / マクロ経済データと金融データ / 統計的時系列分析の理論と応用 / 時系列フィルタリング / 高頻度金融データ / マクロ経済時系列 / 点過程アプローチ / 時系列計量分析 / SIMLフィルタリング / Levy過程 / 高頻度金融時系列 / マクロ時系列 / 点過程 / 非定常時系列 / 時系列分析 / Limited to subregion / Confidentiality of individual information / Time-series cross section / Rotation Sampling / Accuracy Evaluation of Survey / Official Statistics / 調査の制度評価 / 小地域限定 / 個別情報の秘匿 / 時系列断層 / ローテーションサンプリング / 調査の精度評価 / 官庁統計 / Liquidity Risk / Ordered Categorical Variable / Poisson Regression Model / Calibration / Interest Rate Derivatives / Market Microstructure / Risk Measures / Implied Volatility / インパルス制御 / デリバティブズ / ポートファリオ選択 / システミック・リスク / 決済システム / 計数データ / プロスペクト理論 / ブル性・ベア性 / 確率優位 / メタ・ヒューリスティック / 遺伝アルゴリズム / 流動性リスク / 順序付きカテゴリー説明変数 / Poisson回帰モデル / キャリブレーション / 金利デリバティブ / リスク測度 / implied volatility / Incomplete data / Execution probabilities / Default / Impulse control / Optimal stopping problem / Adaptive portfolio / Index funds / Asset pricing / クロスセクション / 時系列 / 資本構成 / 指値注文 / 最適ヘッジ / 転換社債 / 経営科学 / 執行確率 / 債務不履行 / インパルス・コントロール / 最適停止問題 / 適応的ポートフォリオ / インデックス・ファンド / 資産価格理論 / Non-parametric approach / Individual-level viewing data / stochastic frontier / Data envelopment analysis / CM-awareness / Advertising efficiency / Advertising planning / 資源配分 / 媒体計画 / データ包絡 / 確率的フロンティア / ノンパラメトリックアプローチ / 個人視聴率 / データ包絡分析 / CM認知率 / 広告効果 / 広告計画 / 再帰的現象 / 希な現象 / 統計的リスク管理 / 社会・経済リスク / 高頻度金融データの統計学 / 保険の統計学 / 稀な現象と再帰的現象 / 統計学 / 確率過程 / 再起的事象 / 希な事象 / 保険リスク / 金融リスク / 経済リスク / 高頻度金融データの計量理論 / 社債の価格理論 / 統計的強度モデル / 統計的金融リスク管理論 / 高頻度ファイナンス計量分析 / 金融危機 / 長期記徳性 / ARFINA / Realized Vblatility / 構造変化 / マイクロストラクチャ・ノイズ / 非同期取引 / 長期記憶性 / オプション / サプライチェーン・プラットフォーム / 3R / 環境対応型製品開発 / RFIDとSCM / 企業の社会性戦略 / CSR経営 / 環境配慮型製品開発 / 環境マネジメント / 企業社会責任 / 環境対応 / サプライチェーン・マネジメント / 政策研究 / 経営学 / ノンセミパラメトリック局外数 / 二次漸近効率 / ノンセミパラメトリック推定 / セミパラメトリック推定 / 統計数理 / 経済統計 / モーメント条件 / 統計数学 / 経済統計学 / モ-メント条件 / ノンパラメトリック法 / セミパラメトリック法 / Cressie-Read Power Divergence / マイクロストラクチャーノイズ / Cressie-Read power divergence / マイクロストラクチャノイズ / 長記憶 / 漸近理論 / セミパラメトリック / ミクロ計量経済分析 / パネル計量経済モデル / 公益産業 / 開発経済 / 産業組織 / ノンパラメトリック実証分析 / プログラム政策評価 / ミクロ計量経済モデル / (5) パネル・データ分析 / (4) セミ・パラメトリック法 / (3) 政策プログラム評価問題 / (2) ミクロ・データ解析 / (1) ミクロ計量経済学 Less

金融資産市場の質の計測Principal Investigator
- Principal Investigator
  
  大屋幸輔
- Project Period (FY)
  2025 – 2029
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  The University of Osaka
A study of securities trading and corporate investment
- Principal Investigator
  
  Ohta Wataru
- Project Period (FY)
  2021 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  Osaka University
金融資本市場におけるリスク中立確率測度およびリスク回避度に関する統計的推測Principal Investigator
- Principal Investigator
  
  大屋幸輔
- Project Period (FY)
  2021 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Osaka University
A new approach to time-series econometric analysis with point processes
- Principal Investigator
  
  Kunitomo Naoto
- Project Period (FY)
  2017 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Economic statistics
- Research Institution
  Meiji University
Effects of the Asset Purchase Program and the Negative Interest Rate Policy of the Bank of Japan on Securities Markets
- Principal Investigator
  
  Ohta Wataru
- Project Period (FY)
  2017 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Money/ Finance
- Research Institution
  Osaka University
Statistical inference and empirical study on the measurement of risk and its propagationPrincipal Investigator
- Principal Investigator
  
  OYA Kosuke
- Project Period (FY)
  2016 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
New Developments in Statistics of Economic Risk and Financial Risk
- Principal Investigator
  
  naoto kunitomo
- Project Period (FY)
  2013 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Meiji University
  The University of Tokyo
Statistical inference and empirical analysis of high frequency market dataPrincipal Investigator
- Principal Investigator
  
  OYA KOSUKE
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
Issues related to financial risk measurement and its statistical inferencePrincipal Investigator
- 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
New Developments in Financial Econometrics and Financial Markets in Japan
- Principal Investigator
  
  KUNITOMO Naoto
- Project Period (FY)
  2009 – 2011
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
オークション理論における統計的推測と実証分析Principal Investigator
- Principal Investigator
  
  大屋幸輔
- Project Period (FY)
  2007 – 2008
- Research Category
  
  Grant-in-Aid for Exploratory Research
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
New Developments in Microeconometrics : Theories and Applications
- Principal Investigator
  
  KUNITOMO Naoto
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
Semiparametric Econometrics based on moment conditions-theory and applications
- Principal Investigator
  
  NISHIYAMA Yoshihiko (YOSHIHIKO Nishiyama)
- Project Period (FY)
  2006 – 2009
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Kyoto University
Studies for Strategic Environmental Management -Supply Chain Management Approach-
- Principal Investigator
  
  ASADA Takayuki
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Business administration
- Research Institution
  Osaka University
Econometric Analysis of Securities Markets in Japan Using High-frequency Data
- Principal Investigator
  
  WATANABE Toshiaki
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Hitotsubashi University
高頻度データを用いた日本の証券市場の計量分析
- Principal Investigator
  
  渡部敏明
- Project Period (FY)
  2006 – 2008
- Research Institution
  Hitotsubashi University
Research of theoretical problems for collecting, disclosing, and utilizing official statistics
- Principal Investigator
  
  INABA Yoshiyuki, 加納悟
- Project Period (FY)
  2004 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
Econometric Model Analysis with Panel Count DataPrincipal Investigator
- Principal Investigator
  
  OYA Kosuke
- Project Period (FY)
  2004 – 2006
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
TOTAL STUDY ON QUANTIFICATION OF CREDIT RISK AND ITS APPLICATIONS
- Principal Investigator
  
  NISHINA Kazuhiko
- Project Period (FY)
  2001 – 2003
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Osaka University
Statistical Inference of Categorical and Count Data and Its ApplicationPrincipal Investigator
- Principal Investigator
  
  OYA Kosuke
- Project Period (FY)
  2001 – 2003
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
不完全・アンバランス・パネルデータによる統計的推測Principal Investigator
- Principal Investigator
  
  大屋幸輔
- Project Period (FY)
  1999 – 2001
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
Advertising efficiency based on DEA using the individual-level viewing data
- Principal Investigator
  
  NAKAJIMA Nozomi
- Project Period (FY)
  1998 – 2000
- Research Category
  
  Grant-in-Aid for Scientific Research (B).
- Research Field
  
  Commerce
- Research Institution
  Osaka University
Studies on Modeling for of Credit Risk Valuation
- Principal Investigator
  
  NISHINA Kazuhiko
- Project Period (FY)
  1998 – 2000
- Research Category
  
  Grant-in-Aid for Scientific Research (B).
- Research Field
  
  Business administration
- Research Institution
  Osaka University
実証分析における頑健検定統計量の導出Principal Investigator
- Principal Investigator
  
  大屋幸輔
- Project Period (FY)
  1997 – 1998
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
実証分析における非定常データの利用Principal Investigator
- Principal Investigator
  
  大屋幸輔
- Project Period (FY)
  1994
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
経済現象における構造変化の統計的検証Principal Investigator
- Principal Investigator
  
  大屋幸輔
- Project Period (FY)
  1993
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University

[Book] Characterizing Interdependencies of Multiple Time Series: Theory and Applications2017
- Author(s)
  Yuzo Hosoya, Kosuke Oya, Taro Takimoto, Ryo Kinoshita
- Total Pages
  133
- Publisher
  Springer
- ISBN
  9789811064357
- Data Source
  KAKENHI-PROJECT-17H02546
[Book] Characterizing Interdependencies of Multiple Time Series: Theory and Applications2017
- Author(s)
  Yuzo Hosoya, Kosuke Oya, Taro Takimoto, Ryo Kinoshita
- Total Pages
  133
- Publisher
  Springer
- ISBN
  9789811064357
- Data Source
  KAKENHI-PROJECT-16H03605
[Book] Characterizing Interdependencies of Multiple Time Series: Theory and Applications2017
- Author(s)
  Yuzo Hosoya, Kosuke Oya, Taro Takimoto, Ryo Kinoshita
- Total Pages
  133
- Publisher
  Springer
- ISBN
  9789811064357
- Data Source
  KAKENHI-PROJECT-17H02513
[Book] 世界同時不況と景気循環分析2011
- Author(s)
  大屋幸輔(共著)
- Publisher
  東京大学出版会
- Data Source
  KAKENHI-PROJECT-22243021
[Book] 世界同時不況と景気循環分析2011
- Author(s)
  大屋幸輔
- Publisher
  東京大学出版会
- Data Source
  KAKENHI-PROJECT-22243021
[Book] Proceedings of 18th World IMACS Congress and MODSIM09 International Congress on Modelling and Simulation2009
- Author(s)
  K.Oya
- Total Pages
  1589
- Publisher
  MODSIM
- Data Source
  KAKENHI-PROJECT-18203014
[Journal Article] 日次情報による取引コストの計測2024
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 35(6) Pages: 1-6
- Data Source
  KAKENHI-PROJECT-21H04399
[Journal Article] 日次情報による取引コストの計測2023
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 35(6) Pages: 1-6
- Data Source
  KAKENHI-PROJECT-21K01426
[Journal Article] 日経平均株価指数オプションをもとに算出したテールリスク指標について2023
- Author(s)
  脇屋勝・大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 35(12) Pages: 1-6
- Data Source
  KAKENHI-PROJECT-21K01426
[Journal Article] 日経平均株価指数オプションをもとに算出したテールリスク指標について2023
- Author(s)
  脇屋勝・大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 35(12) Pages: 1-6
- Data Source
  KAKENHI-PROJECT-21H04399
[Journal Article] オプション残存期間とボラティリティ・インデックスの算出2022
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 34 Pages: 1-5
- Data Source
  KAKENHI-PROJECT-21H04399
[Journal Article] 日経平均先物市場の市場の質の計測2022
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 34 Pages: 1-5
- Data Source
  KAKENHI-PROJECT-21H04399
[Journal Article] 日経平均先物市場の市場の質の計測2022
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 34(4) Pages: 1-5
- Data Source
  KAKENHI-PROJECT-21K01426
[Journal Article] オプション残存期間とボラティリティ・インデックスの算出2022
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 34(5) Pages: 1-5
- Data Source
  KAKENHI-PROJECT-21K01426
[Journal Article] 市場価格急変予兆の検出について2020
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 32(10) Pages: 1-6
- Data Source
  KAKENHI-PROJECT-16H03605
[Journal Article] 市場価格急変予兆の検出について2020
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 32-10 Pages: 1-6
- Data Source
  KAKENHI-PROJECT-17H02513
[Journal Article] 市場価格急変予兆の検出について：応用編2020
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 32-11 Pages: 1-5
- Data Source
  KAKENHI-PROJECT-17H02513
[Journal Article] 市場価格急変予兆の検出について：応用編2020
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 32(11) Pages: 1-5
- Data Source
  KAKENHI-PROJECT-16H03605
[Journal Article] インプライド・モーメントがもたらす情報：VIXは何を伝えているのか2019
- Author(s)
  大屋幸輔
- Journal Title
  
  日本経済学会編『現代経済学の潮流 2019』第4章，東洋経済新報社（図書所収論文）
  
  Volume: 2019 Pages: 99-125
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16H03605
[Journal Article] 周波数分解された分散リスク・プレミアムの予測力2019
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: Vol.31 No. 1 Pages: 1-5
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-17H02513
[Journal Article] インプライド・モーメントがもたらす情報：VIXは何を伝えているのか2019
- Author(s)
  大屋幸輔
- Journal Title
  
  現代経済学の潮流 2019
  
  Volume: 2019 Pages: 99-125
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H02546
[Journal Article] 周波数分解された分散リスク・プレミアムの予測力2019
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 31 Pages: 1-5
- Data Source
  KAKENHI-PROJECT-16H03605
[Journal Article] インプライド・モーメントがもたらす情報：VIXは何を伝えているのか2019
- Author(s)
  大屋幸輔
- Journal Title
  
  『現代経済学の潮流 2019』，日本経済学会
  
  Volume: 2019 Pages: 99-125
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H02513
[Journal Article] 周波数分解された分散リスク・プレミアムの予測力2019
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 31 Pages: 1-5
- Data Source
  KAKENHI-PROJECT-17H02546
[Journal Article] ボラティリティ・スプレッド2017
- Author(s)
  大屋幸輔
- Journal Title
  
  『先物・オプションレポート』大阪取引所
  
  Volume: 29-12 Pages: 1-5
- Open Access
- Data Source
  KAKENHI-PROJECT-17H02513
[Journal Article] ボラティリティ・スプレッド2017
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 29 Pages: 1-5
- Data Source
  KAKENHI-PROJECT-17H02546
[Journal Article] ボラティリティ・スプレッド2017
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 29 Pages: 1-5
- Open Access
- Data Source
  KAKENHI-PROJECT-16H03605
[Journal Article] 短期的な市場変動予測指標としてのVPINの有効性について2016
- Author(s)
  脇屋　勝・大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 28 Pages: 1-7
- Data Source
  KAKENHI-PROJECT-25245034
[Journal Article] VPINを用いた短期的な市場変動予測－日経225先物及び日経225miniを用いた実証分析－2016
- Author(s)
  脇屋　勝・大屋幸輔
- Journal Title
  
  JPXワーキングペーパー
  
  Volume: 11 Pages: 1-58
- Data Source
  KAKENHI-PROJECT-25245034
[Journal Article] 情報の非対称性のリアルタイム計測としてのVPIN2015
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート
  
  Volume: 27 Pages: 1-6
- Data Source
  KAKENHI-PROJECT-25245034
[Journal Article] 周波数領域における時系列間の因果性の変化の検証に関して2014
- Author(s)
  木下亮，大屋幸輔
- Journal Title
  
  Discussion Papers In Economics And Business, Osaka University
  
  Volume: 14-09
- Data Source
  KAKENHI-PROJECT-25245034
[Journal Article] 周波数領域における時系列間の因果性の変化の検証2014
- Author(s)
  木下　亮, 大屋幸輔
- Journal Title
  
  日本統計学会誌
  
  Volume: 44 Pages: 19-40
- NAID
  110009864634
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-25245034
[Journal Article] 周波数領域における時系列間の因果性の変化の検証2014
- Author(s)
  木下亮, 大屋幸輔
- Journal Title
  
  日本統計学会誌
  
  Volume: 44-1 Pages: 19-40
- NAID
  110009864634
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25245033
[Journal Article] Financial Instability and the Short-Term Dynamics of Volatility Expectations2014
- Author(s)
  Nabil Maghrebi, Mark J. Holmes and Kosuke Oya
- Journal Title
  
  Applied Financial Economics
  
  Volume: Vol. 24, No. 6 Issue: 6 Pages: 377-395
- DOI
  10.1080/09603107.2014.881966
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24330104, KAKENHI-PROJECT-25245034
[Journal Article] 日中データによる情報の非対称性の計測2012
- Author(s)
  大屋幸輔
- Journal Title
  
  先物・オプションレポート, 大阪証券取引所
  
  Volume: 24巻, 7号 Pages: 1-5
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Volatility Forecast Comparison with Biased Proxy2012
- Author(s)
  Nagata, S. and Oya, K.
- Journal Title
  
  Discussion Papers Series CSFI Osaka University
  
  Volume: vol.2012-02 Pages: 1-11
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Volatility Forecast Comparison with Biased Proxy2012
- Author(s)
  Shuichi Nagata and Kosuke Oya
- Journal Title
  
  Discussion Papers Series CSFI, Osaka University
  
  Volume: 2012-02 Pages: 1-11
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Bias Corrected Realized Variance under Dependent Microstructure Noise2011
- Author(s)
  K. Oya
- Journal Title
  
  Mathematics and Computers in Simulation
  
  Volume: 81 Pages: 1290-1298
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243019
[Journal Article] Bias Corrected Realized Variance under Dependent Microstructure Noise2011
- Author(s)
  Oya K
- Journal Title
  
  Mathematics and Computers in Simulation
  
  Volume: vol.81 Pages: 1290-1298
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency SAP 500 and VEX2011
- Author(s)
  Isao Ishida, Michael Mealier and Kotuku Oyo
- Journal Title
  
  Managerial Finance
  
  Volume: 37 Issue: 11 Pages: 1048-1067
- DOI
  10.1108/03074351111167938
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243019, 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] 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] 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] Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX2011
- Author(s)
  Ishida, I., McAleer, M. and Oya, K
- Journal Title
  
  Managerial Finance
  
  Volume: vol.37 Pages: 1048-1067
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Bias Corrected Realized Variance under Dependent Microstructure Noise2011
- Author(s)
  Kosuke Oya
- Journal Title
  
  Mathematics and Computers in Simulation
  
  Volume: 81 Pages: 1290-1298
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX2010
- Author(s)
  Ishida, I., McAleer, M., Oya, K.
- Journal Title
  
  Center for the Study of Finance and Insurance Discussion Papers Series
  
  Volume: Jun-10
- Data Source
  KAKENHI-PROJECT-22243021
[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
  
  ベイズ統計学とファイナンス
  
  Pages: 112-150
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203014
[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
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Estimation and Testing for Dependence in Market Microstructure Noise2009
- Author(s)
  M.Ubukata, K.Oya
- Journal Title
  
  Journal of Financial Econometrics 7
  
  Pages: 106-151
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203014
[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 (印刷中)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[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
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity2009
- Author(s)
  M.Ubukata, K.Oya
- Journal Title
  
  Recent Advances in Financial Engineering
  
  Pages: 201-218
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203014
[Journal Article] Estimation and Testing for Dependence in Market Microstructure Noise2009
- Author(s)
  M. Ubukata and K. Oya
- Journal Title
  
  Journal of Financial Econometrics (印刷中)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Estimation and Testing for Dependence in Market Microstructure Noise2009
- Author(s)
  大屋幸輔
- Journal Title
  
  Journal of Financial Econometrics vol.7
  
  Pages: 106-151
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203025
[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
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Estimation and Testing for Dependence in Market Microstructure Noise2009
- Author(s)
  Ubukata, M. and K. Oya
- Journal Title
  
  Journal of Financial Econometrics
  
  Volume: 7 Pages: 106-151
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243019
[Journal Article] Statistical Properties of Covariance Estimator of Microstructure Noise:Dependence, Rare Jumps and Endogeneity2009
- Author(s)
  M. Ubukata and K. Oya
- Journal Title
  
  ecent Advance in Financial Engineering, Wold Scientific (印刷中)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Estimation and Testing for Dependence in Market Microstructure Noise2009
- Author(s)
  Ubukata, M., K.Oya
- Journal Title
  
  Journal of Financial Econometrics 7
  
  Pages: 106-151
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243019
[Journal Article] Estimation and Testing for Dependence in Market Microstructure Noise2009
- Author(s)
  M. Ubukata, K. Oya
- Journal Title
  
  Journal of Financial Econometrics vol.7,no.2
  
  Pages: 106-151
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203014
[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
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[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)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] A Test for Dependence and Covariance Estimator of Market Microstructure Noise2008
- Author(s)
  Kosuke Oya(with Ubukata 共著)
- Journal Title
  
  Discussion Papers In Economics And Business
- Data Source
  KAKENHI-PROJECT-18203013
[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
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Smoothed versions of statistical functionals from afinite population2008
- Author(s)
  Hitoshi Motoyama and Hajime Takahashi
- Journal Title
  
  Hitoshi Motoyama and Hajime Takahashi Vol.38 No.3
  
  Pages: 475-504
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[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
- Data Source
  KAKENHI-PROJECT-18203901
[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 57-4
- NAID
  120004848741
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] Efficient Estimation and Model Selection for Grouped Data with Local Moments2008
- Author(s)
  Kohtaro Hitomi, Qing-Feng Liu, Yoshihiko Nishiyama, Naoya Sueishi
- Journal Title
  
  Journal of the Japan statistical Society Volume 38, Number 1
  
  Pages: 131-143
- NAID
  10030993639
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203014
[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・4(印刷中)
- NAID
  120004848741
- Data Source
  KAKENHI-PROJECT-18303901
[Journal Article] Smoothed versions of statistical functionals from a finite population2008
- Author(s)
  Hitoshi Motoyama and Hajime Takahashi
- Journal Title
  
  J. Japan Statist. Soc Vol.38 No.3
  
  Pages: 475-504
- NAID
  110007122368
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203013
[Journal Article] "Test of Unbiasendness of the Integrated Covariance Estimation in the Presence of Noise"2007
- Author(s)
  M. Ubukata and K. Oya(共著)
- Journal Title
  
  Discussion Papers, Graduate School of Economics and Osaka School of International public Policy(OSIPP) 07-03
- Data Source
  KAKENHI-PROJECT-18203013
[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
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise2007
- Author(s)
  M.Ubukata, K.Oya
- Journal Title
  
  Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Discussion Papers No. 07-03
- Data Source
  KAKENHI-PROJECT-18203014
[Journal Article] 第一部総括コメント12007
- Author(s)
  大屋幸輔
- Journal Title
  
  『日本経済の構造変化と景気循環』浅子和美・宮川努(編)東京大学出版会
  
  Pages: 78-80
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] 景気転換点の予測2006
- Author(s)
  大屋幸輔
- Journal Title
  
  日経研月報 3月
  
  Pages: 12-17
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] 景気転換時点の予測2006
- Author(s)
  大屋幸輔
- Journal Title
  
  日経研月報 3
  
  Pages: 12-17
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16203014
[Journal Article] Properties of Estimators of Count Data Model with Endogenous Switching2005
- Author(s)
  Oya, K
- Journal Title
  
  Mathematics and Computers in Simulation 68
  
  Pages: 539-547
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-16530140
[Journal Article] Properties of Estimators of Count Data Model with Endogenous Switching2005
- Author(s)
  Kosuke OYA
- Journal Title
  
  Mathematics and Computers in Simulation 68
  
  Pages: 539-547
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-16530140
[Presentation] 低頻度データによる実効コストの推定2023
- Author(s)
  大屋幸輔・太田亘
- Organizer
  ワークショップ「証券市場の諸問題」
- Data Source
  KAKENHI-PROJECT-21K01426
[Presentation] 証券市場における超過共変動と流動性2023
- Author(s)
  太田亘・大屋幸輔
- Organizer
  日本ファイナンス学会第5回秋季研究大会
- Data Source
  KAKENHI-PROJECT-21K01426
[Presentation] Bayesian analysis of price discovery on time-varying partial adjustment model2021
- Author(s)
  畠中賢治・大屋幸輔
- Organizer
  The 4th International Conference on Econometrics and Statistics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21H04399
[Presentation] Bayesian analysis of price discovery on time-varying partial adjustment model2021
- Author(s)
  Kenji Hatakenaka and Kosuke Oya
- Organizer
  The 4th International Conference on Econometrics and Statistics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K01426
[Presentation] Estimation of risk aversion for Japanese stock market using implied moments2019
- Author(s)
  大屋幸輔
- Organizer
  データサイエンス・福島キャンプ2019
- Data Source
  KAKENHI-PROJECT-17H02546
[Presentation] Estimation of smoothly time varying coefficient partial adjustment model2019
- Author(s)
  大屋幸輔
- Organizer
  The 3rd International Conference on Econometrics and Statistics (EcoSta2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Estimation of smoothly time varying coefficient partial adjustment model2019
- Author(s)
  Kosuke Oya
- Organizer
  The 3rd International Conference on Econometrics and Statistics (EcoSta2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H02513
[Presentation] Frequency-wise causality analysis in infinite order vector autoregressive processes2019
- Author(s)
  新谷元嗣, 木下亮, 大屋幸輔
- Organizer
  第26回関西計量経済学研究会
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Estimation of risk aversion for Japanese stock market using implied and realized moments2019
- Author(s)
  大屋幸輔
- Organizer
  VXJ10周年記念ワークショップ
- Data Source
  KAKENHI-PROJECT-17H02546
[Presentation] Frequency-wise causality analysis in infinite order vector autoregressive processes2019
- Author(s)
  新谷元嗣（共著者：木下亮, 大屋幸輔）
- Organizer
  Workshop on Recent Progress in Time Series: in honour of Peter Robinson
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Estimation of smoothly time varying coefficient partial adjustment model2019
- Author(s)
  Kosuke Oya
- Organizer
  The 3rd International Conference on Econometrics and Statistics (EcoSta2019)
- Data Source
  KAKENHI-PROJECT-17H02546
[Presentation] Frequency-wise causality analysis in infinite order vector autoregressive processes2019
- Author(s)
  新谷元嗣（共著者：木下亮, 大屋幸輔）
- Organizer
  2019 Asian Meeting of the Econometric Society
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Frequency-wise causality analysis in infinite order vector autoregressive processes2018
- Author(s)
  大屋幸輔
- Organizer
  東京大学応用統計ワークショップ
- Data Source
  KAKENHI-PROJECT-17H02546
[Presentation] インプライド・モーメントがもたらす情報：VIXは何を伝えているのか2018
- Author(s)
  大屋幸輔
- Organizer
  日本経済学会2018年度秋季大会
- Invited
- Data Source
  KAKENHI-PROJECT-17H02546
[Presentation] 平滑推移するリスクの市場価格をもちいた金利期間構造モデル2018
- Author(s)
  大屋幸輔
- Organizer
  第6回金融シンポジウム「金融が直面する新環境への対応と方法論」
- Data Source
  KAKENHI-PROJECT-17H02546
[Presentation] Frequency-wise causality analysis in infinite order vector autoregressive processes2018
- Author(s)
  Mototsugu Shintani, Ryo Kinoshita and Kosuke Oya
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Estimation of implied risk-aversion for Nikkei 225 on Tokyo stock exchange with variance spread2018
- Author(s)
  Kosuke Oya
- Organizer
  Workshop on ``Financial/Economic Analytics"
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Estimation for affine term structure with smooth transition2018
- Author(s)
  大屋幸輔
- Organizer
  松本・経済統計キャンプ：科研プロジェクト「新しい時系列計量分析の理論と応用」
- Data Source
  KAKENHI-PROJECT-17H02546
[Presentation] Estimation for affine term structure with smooth transition2018
- Author(s)
  Shingo Mukunoki and Kosuke Oya
- Organizer
  The 2nd International Conference on Econometrics and Statistics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] インプライド・モーメントがもたらす情報：VIXは何を伝えているのか2018
- Author(s)
  大屋幸輔
- Organizer
  日本経済学会秋季大会
- Invited
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] インプライド・モーメントがもたらす情報：VIXは何を伝えているのか2018
- Author(s)
  大屋幸輔
- Organizer
  日本経済学会2018年度秋季大会
- Data Source
  KAKENHI-PROJECT-17H02513
[Presentation] Frequency-wise causality analysis with infinite order VAR processes2018
- Author(s)
  Kosuke Oya (Ryo Kinoshita, Mototsugu Shintani)
- Organizer
  一橋大学共同利用・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」
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] 平滑推移するリスクの市場価格をもちいた金利期間構造モデル2018
- Author(s)
  大屋幸輔
- Organizer
  第6回金融シンポジウム「金融が直面する新環境への対応と方法論」
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Estimation for affine term structure with smooth transition2018
- Author(s)
  Shingo Mukunoki and Kosuke Oya
- Organizer
  The 2nd International Conference on Econometrics and Statistics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H02546
[Presentation] Estimation of implied risk-aversion for Nikkei 225 on Tokyo stock exchange with variance spread2018
- Author(s)
  Kosuke Oya
- Organizer
  Workshop on Financial/Economic Analytics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H02546
[Presentation] High-frequency Financial Data and G-Causality Analysis2017
- Author(s)
  Kosuke Oya
- Organizer
  The 1st International Conference on Econometrics and Statistics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H02513
[Presentation] Frequency wise decomposition of variance risk premium2017
- Author(s)
  Kosule Oya
- Organizer
  The 1st International Conference on Econometrics and Statistics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H02546
[Presentation] Evaluating the Role of Part-time Workers in an Estimated New Keynesian Model with Search Frictions2017
- Author(s)
  Mototsugu Shintani (Toshihiko Mukoyama, Kazuhiro Teramoto)
- Organizer
  11th International Conference on Computational and Financial Econometrics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Frequency wise decomposition of variance risk premium2017
- Author(s)
  Kosuke Oya
- Organizer
  The 1st International Conference on Econometrics and Statistics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] 高次VARモデルを用いた周波数別のグレンジャー因果性検定2016
- Author(s)
  木下　亮, 大屋幸輔, 新谷元嗣
- Organizer
  統計関連学会連合大会
- Place of Presentation
  金沢大学（石川県金沢市）
- Year and Date
  2016-09-04
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Simulation Study of Causality Change with Infinite Order Vector Autoregressive Processes2016
- Author(s)
  Ryo Kinoshita, Kosuke Oya, Mototsugu Shintani
- Organizer
  International Conference for JSCS 30th Anniversary
- Place of Presentation
  Seattle Central Library, WA, USA
- Year and Date
  2016-10-16
- Data Source
  KAKENHI-PROJECT-16H03605
[Presentation] Term structure with smooth transition2016
- Author(s)
  椋木伸吾・大屋幸輔
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  慶応義塾大学三田キャンパス（東京都港区）
- Year and Date
  2016-01-24
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] 帰無仮説下における因果性測度の検定統計量の分布に関して2015
- Author(s)
  木下　亮・大屋　幸輔
- Organizer
  2015年度統計関連学会連合大会
- Place of Presentation
  岡山大学津島キャンパス（岡山県岡山市）
- Year and Date
  2015-09-06
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] 帰無仮説下における因果性測度の検定統計量の分布に関して2015
- Author(s)
  木下亮, 大屋幸輔
- 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
  2015-01-22
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Statistical inference for causality measures using second order approximations2015
- Author(s)
  Ryo Kinoshita and Kosuke Oya
- Organizer
  Recent Progress in Time Series and Related Fields
- Place of Presentation
  東北大学川内キャンパス（宮城県仙台市青葉区）
- Year and Date
  2015-12-11
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] 株価指数と先物間の因果関係変化の検証2015
- Author(s)
  大屋幸輔, 木下亮
- Organizer
  ワークショップ「証券市場の諸問題」
- Place of Presentation
  大阪大学中之島センター（大阪府、大阪市）
- Year and Date
  2015-02-24
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Term structure with smooth transition2015
- Author(s)
  Shingo Mukunoki and Kosuke Oya
- Organizer
  Hitotsubashi Summer Institute Workshop “Frontiers in Financial Econometrics”
- Place of Presentation
  一橋大学東キャンパス第三研究館3階会議室（東京都国立市）
- Year and Date
  2015-08-04
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] 帰無仮説下における因果性測度の検定統計量の分布に関して2015
- Author(s)
  木下　亮，大屋幸輔
- Organizer
  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
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Option implied volatility of JGB using American option prices2015
- Author(s)
  Kosuke Oya
- Organizer
  9th International conference on Computational and Financial Econometrics
- Place of Presentation
  The Senate House, University of London (London, UK)
- Year and Date
  2015-12-12
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] 平滑推移するリスクの市場価格を伴う金利期間構造モデル2015
- Author(s)
  椋木伸吾・大屋幸輔
- Organizer
  2015年度統計関連学会連合大会
- Place of Presentation
  岡山大学津島キャンパス（岡山県岡山市）
- Year and Date
  2015-09-06
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] 量的金融緩和が現物市場と先物市場の関係に与えた影響2015
- Author(s)
  大屋幸輔, 木下亮
- 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
  2015-01-22
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] 高頻度取引市場における金融時系列間の因果性検証2014
- Author(s)
  木下　亮, 大屋幸輔
- Organizer
  2014年度統計関連学会連合大会
- Place of Presentation
  東京大学本郷キャンパス（東京都文京区）
- Year and Date
  2014-09-15
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] Measurement of Causality Change between Multiple Time Series2014
- Author(s)
  Ryo Kinoshita and Kosuke Oya
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学経済研究所, 東京都
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] Measurement of causality change between returns of financial assets2014
- Author(s)
  Ryo Kinoshita and Kosuke Oya
- Organizer
  8th International conference on Computational and Financial Econometrics (CFE2014)
- Place of Presentation
  University of Pisa, Italy
- Year and Date
  2014-12-07
- Invited
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] Volatility forecast comparison with biased proxy and related test statistic2013
- Author(s)
  Shuichi Nagata and Kosuke Oya
- Organizer
  7th CSDA International Conference on Computational and Financial Econometrics (CFE'13)
- Place of Presentation
  Senate House, University of London, UK
- Invited
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] JGB volatility index の算出に関して2013
- Author(s)
  深澤正彰，黒瀬雄大，大屋幸輔
- Organizer
  Summer Workshop on Economic Theory
- Place of Presentation
  釧路公立大学
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] 株価収益率の時間変更過程のモーメント推定について2013
- Author(s)
  大屋幸輔, Nattapol TAKKABUTR
- 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] 代理変数を用いたボラティリティ予測評価に関する考察2012
- Author(s)
  永田修一, 大屋幸輔
- Organizer
  日本経済学会2012年秋季大会
- Place of Presentation
  九州産業大学
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Volatility Forecast Comparison with Biased Proxy2012
- Author(s)
  Nagata, S. and Oya, K
- Organizer
  The 2012 ASIAN MEETING of the Econometric Society
- Place of Presentation
  University of Delhi, Delhi, India
- Year and Date
  2012-12-22
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] 株価収益率と経済活動時間の関連2012
- Author(s)
  Takkabutr, N.・大屋幸輔
- Organizer
  2012 年度統計関連学会連合大会
- Place of Presentation
  北海道大学(北海道)
- Year and Date
  2012-09-11
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Volatility forecast comparison with biased proxy2012
- Author(s)
  永田修一, 大屋幸輔
- Organizer
  The 2012 ASIAN MEETING of the Econometric Society
- Place of Presentation
  University of Delhi, Delhi, India
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] 代理変数を用いたボラティリティ予測評価に関する考察2012
- Author(s)
  永田修一, 大屋幸輔
- Organizer
  JAFEE 2012 夏季大会
- Place of Presentation
  成城大学
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Volatility forecast comparison with biased proxy2012
- Author(s)
  永田修一, 大屋幸輔
- 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] Empirical Stochastic Time Change Variable of Equity Returns with High Frequency Data2012
- Author(s)
  Takkabutr, N., Oya, K.
- Organizer
  The 3rd International Conference "High-frequency Data Analysis in Financial Markets"
- Place of Presentation
  広島経済大学(広島)
- Year and Date
  2012-11-18
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] 株価収益率と経済活動時間の関連2012
- Author(s)
  Nattapol TAKKABUTR, 大屋幸輔
- Organizer
  2012年度統計関連学会連合大会
- Place of Presentation
  北海道大学高等教育推進機構
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] 代理変数を用いたボラティリティ予測評価に関する考察2012
- Author(s)
  永田修一・大屋幸輔
- Organizer
  JAFEE 2012 夏季大会
- Place of Presentation
  成城大学(東京)
- Year and Date
  2012-08-03
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Empirical Stochastic Time Change Variable of Equity Returns with High Frequency Data2012
- Author(s)
  Nattapol TAKKABUTR, 大屋幸輔
- 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] Jacobi 型確率レバレッジを持つ拡張 Heston 確率ボラティリティ・モデルの日中高頻度データによる推定2011
- Author(s)
  石田功・大屋幸輔
- Organizer
  2011 年度統計関連学会連合大会
- Place of Presentation
  九州大学伊都キャンパス(福岡)
- Year and Date
  2011-09-06
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Implied moments and the related risk measure2011
- Author(s)
  大屋幸輔
- Organizer
  科学研究費研究集会「ファイナンス時系列における「発展モデル」の開発と統計的推測」
- Place of Presentation
  広島経済大学立町キャンパス
- Year and Date
  2011-12-23
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Estimating the extended Heston stochastic volatility model with Jacobi stochastic leverage for S&P500 and VIX2011
- Author(s)
  I.Ishida, M.McAleer, K.Oya
- Organizer
  5th CSDA International meeting on Computational and Financial Econometrics
- Place of Presentation
  University of London, London (UK)
- Year and Date
  2011-12-19
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Implied moments and the related risk measure2011
- Author(s)
  大屋幸輔
- Organizer
  科学研究費研究集会「ファイナンス時系列における「発展モデル」の開発と統計的推測」,科研費基盤研究(B),代表者:前川功一)
- Place of Presentation
  広島経済大学立町キャンパス
- Year and Date
  2011-12-23
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Estimating Probability of Informed Trading2011
- Author(s)
  Kosuke Oya
- Organizer
  5th Japanese-European Bayesian Econometrics and Statistics Meeting (JEuBES 2011)
- Place of Presentation
  Norges Bank, Oslo (Norway)
- Year and Date
  2011-08-23
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Jacobi型確率レバレッジを持つ拡張Heston確率ボラティリティ・モデルの日中高頻度データによる推定2011
- Author(s)
  石田功, 大屋幸輔
- Organizer
  2011年度統計関連学会連合大会
- Place of Presentation
  九州大学伊都キャンパス(福岡)
- Year and Date
  2011-09-06
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Estimating the extended Heston stochastic volatility model with Jacobi stochastic leverage for S&P500 and VIX2011
- Author(s)
  Ishida, I., McAleer, M. and Oya, K
- Organizer
  5th CSDA International meeting on Computational and Financial Econometrics
- Place of Presentation
  University of London, London(UK)
- Year and Date
  2011-12-19
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Bayesian estimation of probability of informed trading2011
- Author(s)
  大屋幸輔
- Organizer
  科学研究費研究集会「計量ファイナンス2011」
- Place of Presentation
  東京大学学術交流棟(小島ホール)
- Year and Date
  2011-09-29
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Implied moments and the related risk measure2011
- Author(s)
  Kosuke Oya
- Organizer
  2nd International Conference "High-frequency Data Analysis in Financial Markets"
- Place of Presentation
  大阪大学中之島センター(大阪)
- Year and Date
  2011-10-30
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Implied Moments and the Related Risk Measures2011
- Author(s)
  Oya, K
- Organizer
  The 2nd International Conference "High- frequency Data Analysis in Financial Markets"
- Place of Presentation
  大阪大学中ノ島センター(大阪)
- Year and Date
  2011-10-30
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Bayesian estimation of probability of informed trading2011
- Author(s)
  大屋幸輔
- Organizer
  科学研究費研究集会「計量ファイナンス2011」(「ファイナンス計量分析の新展開と日本の金融市場」,科研費基盤研究(A),代表者:国友直人)
- Place of Presentation
  東京大学経済学部小島ホール
- Year and Date
  2011-09-29
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Bayesian estimation of probability of informed trading2010
- Author(s)
  大屋幸輔
- Organizer
  4th CSDA International meeting on Computational and Financial Econometrics
- Place of Presentation
  University of London, UK
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Model-free Implied Volatility : From Surface to Index2010
- Author(s)
  大屋幸輔,深澤正彰,石田功, Nabil Maghrebi,生方雅人,山崎和俊
- Organizer
  Summer Workshop on Economic Theory
- Place of Presentation
  小樽商科大学札幌サテライト
- Year and Date
  2010-08-08
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Bayesian estimation of probability of informed trading2010
- Author(s)
  K.Oya
- Organizer
  4th CSDA International meeting on Computational and FinancialEconometrics
- Place of Presentation
  University of London,(ロンドン、英国)
- Year and Date
  2010-12-11
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Bayesian estimation of probability of informed trading2010
- Author(s)
  Oya, K.
- Organizer
  The 4th CSDA International meeting on Computational and Financial Econometrics
- Place of Presentation
  University of London, UK.
- Year and Date
  2010-12-11
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Model-free Implied Volatility : From Surface to Index2010
- Author(s)
  大屋幸輔
- Organizer
  Summer Workshop on Economic Theory
- Place of Presentation
  小樽商科大学札幌サテライト(北海道)
- Year and Date
  2010-08-08
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Bayesian estimation of probability of informed trading2010
- Author(s)
  K. Oya
- Organizer
  4th CSDA International meeting on Computational and Financial Econometrics
- Place of Presentation
  University of London, UK
- Year and Date
  2010-12-11
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] バリアンス・リスクプレミアムによる景気予測可能性2010
- Author(s)
  大屋幸輔
- Organizer
  景気循環日付研究会嵐山コンファレンス
- Place of Presentation
  公立学校共済組合嵐山保養所花のいえ(京都府)
- Year and Date
  2010-09-10
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] バリアンス・リスクプレミアムによる景気予測可能性2010
- Author(s)
  大屋幸輔
- Organizer
  景気循環日付研究会嵐山コンファレンス
- Place of Presentation
  公立学校共済組合嵐山保養所花のいえ
- Year and Date
  2010-09-10
- Data Source
  KAKENHI-PROJECT-21243019
[Presentation] Bias Corrected Realized Variance with Dependent Microstructure Noise2009
- Author(s)
  Oya, K.
- Organizer
  Modelling and Simulation 2009
- Place of Presentation
  Cairns, Australia
- Data Source
  KAKENHI-PROJECT-18203014
[Presentation] Selection of Two Time Scales for Realized Volatility with Dependet Microstructure Effect2009
- Author(s)
  Oya, K.
- Organizer
  日本経済学会春季大会,
- Place of Presentation
  京都大学
- Year and Date
  2009-06-07
- Data Source
  KAKENHI-PROJECT-18203014
[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
- Data Source
  KAKENHI-PROJECT-18203901
[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
- Data Source
  KAKENHI-PROJECT-18203901
[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
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Bias corrected realized volatility with dependent microstructure noise2008
- Author(s)
  大屋幸輔
- Organizer
  2nd International Workshop on Computational and Financial Econometrics (CFE'08)
- Place of Presentation
  University of Neuchatel, Neuchatel, Switzerland
- Data Source
  KAKENHI-PROJECT-18203013
[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
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Bias corrected realized volatility with dependent microstructure noise2008
- Author(s)
  大屋幸輔
- Organizer
  lnd International Workshop on Computationaland Financial Econometrics (CFE'08)
- Place of Presentation
  University of Neuchatel, Neuchatel, Switzerland
- Data Source
  KAKENHI-PROJECT-18203013
[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
- Data Source
  KAKENHI-PROJECT-18303901
[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
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise,2007
- Author(s)
  Kosuke Oya
- Organizer
  International Workshop on Computational and Financial Econometrics.
- Place of Presentation
  University of Geneva, Switzerland.
- Data Source
  KAKENHI-PROJECT-18203013
[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
- Data Source
  KAKENHI-PROJECT-18203901
[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
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise2007
- Author(s)
  Kosuke Oya
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  University of Geneva
- Year and Date
  2007-04-21
- Data Source
  KAKENHI-PROJECT-18303901
[Presentation] 高頻度取引市場における金融時系列間の因果性検証
- Author(s)
  木下亮, 大屋幸輔
- Organizer
  2014年度統計関連学会連合大会
- Place of Presentation
  東京大学本郷キャンパス（東京都、文京区）
- Year and Date
  2014-09-14 – 2014-09-16
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Measurement of causality change between returns of financial assets
- Author(s)
  R. Kinoshita and K. Oya
- Organizer
  CFE-ERCIM (8th-Computational and Financial Econometrics, 7th-International Conference on Computational and Methodological Statistics)
- Place of Presentation
  University of Pisa, Pisa (Italy)
- Year and Date
  2014-12-06 – 2014-12-08
- Data Source
  KAKENHI-PROJECT-25245033

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OYA KOSUKE 大屋 幸輔

OHYA Kousuke 大屋 幸輔

大屋 幸輔 オオヤ コウスケ

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金融資産市場の質の計測Principal Investigator

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金融資本市場におけるリスク中立確率測度およびリスク回避度に関する統計的推測Principal Investigator

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Statistical inference and empirical study on the measurement of risk and its propagationPrincipal Investigator

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Statistical inference and empirical analysis of high frequency market dataPrincipal Investigator

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Issues related to financial risk measurement and its statistical inferencePrincipal Investigator

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オークション理論における統計的推測と実証分析Principal Investigator

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OYA KOSUKE 大屋幸輔

OHYA Kousuke 大屋幸輔

大屋幸輔オオヤコウスケ