Ishida Isao 石田功

… Alternative Names

ISHIDA Isao 石田功

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Researcher Number	20361579
Other IDs
Affiliation (Current)	2025: 甲南大学, 経済学部, 教授
Affiliation (based on the past Project Information) *help	2013 – 2016: 甲南大学, 経済学部, 教授 2011 – 2012: 大阪大学, 金融保険教育研究センター, 特任講師 2009 – 2010: Osaka University, 金融・保険教育研究センター, 特任講師 2007 – 2008: The University of Tokyo, Graduate School of Economics, Assistant Professor 2006: 東京大学, 大学院経済学研究科, 講師
Review Section/Research Field	Principal Investigator Public finance/Monetary economics / Economic statistics Except Principal Investigator Economic statistics
Keywords	Principal Investigator ARFIMA-GARCH / ボラティリティ / ファイナンス / Multivariate conditional density / Long-memory time series / Realized volatility / Volatility of volatility / Volatility / Financial econometrics / Empirical finance … More / 金融市場 / 多変量条件付密度 / 長期記憶型時系 / 実現ボラティリティ / ボラティリティ・オブ・ボラティリティ / 計量ファイナンス / 実証ファイナンス / 資産価格 / 高頻度データ / 日中季節性 … More Except Principal Investigator 高頻度データ / Ultra high frequency data / Realized Volatjlity / Endogenous switching model / Sample selection model / Latent variable / Stochastic volatility / Bayesian Statistics / Markov chain Monte Carlo / カウントデータ / ボラティリティ変動モデル / マルコフ切替モデル / 確率的フロンティアモデル / サンプル・セレクションモデル / 確率的ボラティリティ / Realized Volatility / 内生的スイッチングモデル / サンプルセレクションモデル / 潜在変数 / 確率的ボラティリティ変動モデル / ベイズ統計学 / マルコフ連鎖モンテカルロ法 / 市場流動性 / ボラティリティ / 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

Statistical inference and empirical analysis of high frequency market data
- 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
Specification and estimation of financial processes in the presence of intraday seasonality using noisy high-frequency dataPrincipal Investigator
- Principal Investigator
  
  Ishida Isao
- Project Period (FY)
  2013 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Konan University
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 empirical study of contrarian and momentum effects in the Japanese stock marketPrincipal Investigator
- Principal Investigator
  
  ISHIDA Isao
- Project Period (FY)
  2008 – 2010
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  The University of Tokyo
Bayesian econometric analysis of semiparametirc model
- Principal Investigator
  
  OMORI Yasuhiro
- Project Period (FY)
  2006 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
An Analysis of the Financial Market Volatility via Nonlinear Time Series ModelsPrincipal Investigator
- Principal Investigator
  
  ISHIDA Isao
- Project Period (FY)
  2006 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  The University of Tokyo

All 2016 2015 2014 2013 2012 2011 2010 2009 2007 2006 Other

All Journal Article Presentation Book

[Book] Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions (published in: Essays in Nonlinear Time Series Econometrics, Festschrift in Honor of Timo Terasvirta)2014
- Author(s)
  Jin Seo Cho, Isao Ishida, Halbert White
- Total Pages
  400
- Publisher
  Oxford University Press
- Data Source
  KAKENHI-PROJECT-25245034
[Book] Essays in Nonlinear Time Series Econometrics （第1章分担）2014
- Author(s)
  Jin Seo Cho, Isao Ishida, Halbert White　（第1章分担）（図書編者： Niels-Haldrup, Mika Meitz, Pentti Saikkonen）
- Publisher
  Oxford University Press
- Data Source
  KAKENHI-PROJECT-25380266
[Journal Article] 実現測度モーメントGMMによる日経平均株価の連続時間確率ボラティリティ・モデルの推定2016
- Author(s)
  石田　功
- Journal Title
  
  甲南大学経済学論集
  
  Volume: 56 Pages: 79-86
- NAID
  120005757255
- Open Access
- Data Source
  KAKENHI-PROJECT-25380266
[Journal Article] 日経平均スポット・ボラティリティ日次パスの関数ARCHモデリング2016
- Author(s)
  石田　功
- Journal Title
  
  先物・オプションレポート
  
  Volume: 28 (7) Pages: 1-7
- Open Access
- Data Source
  KAKENHI-PROJECT-25380266
[Journal Article] 実現測度モーメントGMMによる日経平均株価の連続時間確率ボラティリティ・モデルの推定2016
- Author(s)
  石田　功
- Journal Title
  
  甲南経済学論集
  
  Volume: 印刷中
- NAID
  120005757255
- Data Source
  KAKENHI-PROJECT-25245034
[Journal Article] Modeling autoregressive processes with moving-quantiles-implied nonlinearity2015
- Author(s)
  Isao Ishida and Virmantas Kvedaras
- Journal Title
  
  Econometrics
  
  Volume: 3 Issue: 1 Pages: 2-25
- DOI
  10.3390/econometrics3010002
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25380266
[Journal Article] 実現測度データによるボラティリティ変動モデルの推定2014
- Author(s)
  石田　功
- Journal Title
  
  先物・オプションレポート
  
  Volume: 26 Pages: 1-6
- Open Access
- Data Source
  KAKENHI-PROJECT-25380266
[Journal Article] 実現測度データによるボラティリティ変動モデルの推定2014
- Author(s)
  石田功
- Journal Title
  
  大阪取引所先物・オプション・レポート
  
  Volume: 26 Pages: 1-6
- Data Source
  KAKENHI-PROJECT-25245034
[Journal Article] ボラティリティ・インデックス先物のプライシング2012
- Author(s)
  石田功
- Journal Title
  
  先物・オプションレポート, 大阪証券取引所
  
  Volume: 24巻, 11号 Pages: 1-5
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Testing for the effects of omitted power transformations2012
- Author(s)
  Jin Seo Cho and Isao Ishida
- Journal Title
  
  Economics Letters
  
  Volume: 117 Issue: 1 Pages: 287-290
- DOI
  10.1016/j.econlet.2012.05.029
- 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. 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)
  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] ボラティリティ指数を利用した確率ボラティリティ・モデルの推定2011
- Author(s)
  石田功
- Journal Title
  
  大阪証券取引所『先物オプション・レポート』
  
  Volume: 23巻
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] ボラティリティ指数を利用した確率ボラティリティ・モデルの推定2011
- Author(s)
  石田功
- Journal Title
  
  大阪証券取引所『先物オプション・レポート』
  
  Volume: 23巻10号
- 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] Revisiting Tests for Neglected Nonlinearity Using Artificial Neural Networks2011
- Author(s)
  Jin Seo Cho, Isao Ishida, Halbert White
- Journal Title
  
  Neural Computation Vol.23, No.5
  
  Pages: 1133-1186
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530265
[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] 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] 日本版ボラティリティ・インデックスVXJの時系列特性2010
- Author(s)
  石田功
- Journal Title
  
  大阪証券取引所『先物オプションレポート』
  
  Volume: 22巻6号
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] 日本版ボラティリティ・インデックスVXJ の時系列特性2010
- Author(s)
  石田功
- Journal Title
  
  大阪証券取引所『先物オプションレポート』
  
  Volume: 22巻
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Model-Free Implied Volatility : From Surface to Index
- Author(s)
  Masaaki Fukasawa, Isao Ishida, Nabil Maghrebi, Kosuke Oya, Masato Ubukata, Kazutoshi Yamazaki
- Journal Title
  
  International Journal of Theoretical and Applied Finance (forthcoming)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20530265
[Presentation] Forecasting the daily spot volatility paths of equity indices via functional autoregressive models: An empirical study2016
- Author(s)
  Isao Ishida
- Organizer
  10th Inernational Conference on Computational and Financial Econometrics
- Place of Presentation
  University of Seville, Spain
- Year and Date
  2016-12-11
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25380266
[Presentation] A GMM-RM estimation of the GARCH jump diffusion model2015
- Author(s)
  Isao Ishida and Shuichi Nagata
- 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
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] A GMM-RM estimation of the GARCH jump diffusion model2015
- Author(s)
  Isao Ishida and Shuichi Nagata
- Organizer
  9th International Conference on Computational and Financial Econometrics
- Place of Presentation
  University of London, London, UK
- Year and Date
  2015-12-14
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25380266
[Presentation] 実現ボラティリティのモーメントによる確率ボラティリティ・モデルの推定と日中季節性2014
- Author(s)
  石田　功
- 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-25380266
[Presentation] Moment-based estimation of stochastic volatility models in the presence of intraday seasonality2014
- Author(s)
  Isao Ishida
- Organizer
  8th International Conference on Computational and Financial Econometrics
- Place of Presentation
  University of Pisa, ピサ（イタリア）
- Year and Date
  2014-12-06
- Data Source
  KAKENHI-PROJECT-25380266
[Presentation] 実現ボラティリティのモーメントによる確率ボラティリティ・モデルの推定と日中季節性2014
- Author(s)
  石田功
- 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] Moment-based estimation of stochastic volatility models in the presence of intraday seasonality2014
- Author(s)
  Isao Ishida and Virmantas Kvedaras
- Organizer
  8th International conference on Computational and Financial Econometrics (CFE2014)
- Place of Presentation
  University of Pisa, Italy
- Year and Date
  2014-12-06
- Invited
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] Moment-based Estimation of Stochastic Volatility Models in the Presence of Intraday Seasonality2014
- Author(s)
  Isao Ishida
- 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] On the Moving Quantile Effects in (Financial) Time Series2013
- Author(s)
  Virmantas Kvedaras and Isao Ishida
- Organizer
  7th CSDA International Conference on Computational and Financial Econometrics (CFE'13)
- Place of Presentation
  Senate House, University of London, UK
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] On the moving quantile effects in financial series2012
- Author(s)
  Isao Ishida and Virmantas Kvedaras
- 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] On the Moving Quantile Effects in Financial Series2012
- Author(s)
  Ishida, I. and Kvedaras, V
- Place of Presentation
  University of Delhi, Delhi, India
- Year and Date
  2012-12-21
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] On the moving quantile effects in financial series2012
- Author(s)
  Isao Ishida and Virmantas Kvedaras
- Organizer
  Asian Meeting of the Econometric Society 2012
- Place of Presentation
  University of Delhi, Delhi, India
- 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] Testing for Neglected Nonlinearity in Autoregressive Models of Volatility Indices2011
- Author(s)
  石田功
- Organizer
  第5回日本統計学会春季集会
- Place of Presentation
  立教大学(東京都)
- Year and Date
  2011-03-06
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Estimating the extended Heston stochastic volatility model with Jacobi stochastic leverage for S&P500 and VIX2011
- Author(s)
  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] Testing for Neglected Nonlinearity in Autoregressive Models of Volatility Indices2011
- Author(s)
  石田功
- Organizer
  第5回日本統計学会春季集会
- Place of Presentation
  立教大学池袋キャンパス
- Year and Date
  2011-03-06
- Data Source
  KAKENHI-PROJECT-20530265
[Presentation] Testing for Neglected Nonlinearity in Autoregressive Models of Volatility Indices2011
- Author(s)
  Ishida, I
- Organizer
  日本統計学会春季集会
- Place of Presentation
  立教大学(東京)
- Year and Date
  2011-03-06
- 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 Continuous-Time Stochastic Volatility Models for the S & P 500 Index Using High-Frequency S & P 500 and VIX Data2010
- Author(s)
  石田功
- Organizer
  日本ファイナンス学会第18回大会
- Place of Presentation
  上智大学四谷キャンパス
- Year and Date
  2010-05-23
- Data Source
  KAKENHI-PROJECT-20530265
[Presentation] Estimating Continuous-Time Stochastic Volatility Models for the S&P 500 Index Using High-Frequency S&P 500 and VIX Data2010
- Author(s)
  石田功
- Organizer
  2010年度統計関連学会連合大会
- Place of Presentation
  早稲田大学(東京都)
- Year and Date
  2010-09-08
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Estimating Continuous-Time Stochastic Volatility Models for the S&P 500 Index Using High-Frequency S&P 500 and VIX Data2010
- Author(s)
  石田功
- Organizer
  日本ファイナンス学会
- Place of Presentation
  上智大学(東京都)
- Year and Date
  2010-05-23
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Estimating Continuous-Time Stochastic Volatility Models for the S & P 500 Index Using High-Frequency S & P 500 and VIX Data2010
- Author(s)
  石田功
- Organizer
  2010年度統計関連学会連合大会
- Place of Presentation
  早稲田大学早稲田キャンパス
- Year and Date
  2010-09-08
- Data Source
  KAKENHI-PROJECT-20530265
[Presentation] Estimating Continuous-Time Stochastic Volatility Models for the S&P 500 Index Using High-Frequency S&P 500 and VIX Data2010
- Author(s)
  Ishida, I
- Organizer
  日本ファイナンス学会
- Place of Presentation
  上智大学(東京)
- Year and Date
  2010-05-23
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Forecasting the Nikkei 225 Futures Realized Volatility : Jumps, Leverage, and Spillover Effects from the US Equity Futures Market2009
- Author(s)
  石田功
- Organizer
  日本金融・証券計量・工学学会第32回大会
- Place of Presentation
  明治大学駿河台キャンパス
- Year and Date
  2009-12-24
- Data Source
  KAKENHI-PROJECT-20530265
[Presentation] Heteroskedasticity in the Nikkei 225 log realized volatility2007
- Author(s)
  石田功
- 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
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Heteroskedasticity in the Nikkei 225 log realized volatility2007
- Author(s)
  Ishida, I.
- Organizer
  Annual Meeting of Japanese Federation of Statistical Science Association
- Place of Presentation
  Kobe University
- Year and Date
  2007-09-08
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Heteroskedasticity in the Nikkei 225 Log Realized Volatility2007
- Author(s)
  石田功
- 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
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18530231
[Presentation] Heteroskedasticity in the Nikkei 225 Log Realized Volatility2007
- Author(s)
  Isao Ishida
- Organizer
  The 2007 Japanese Joint Statistical Meeting
- Place of Presentation
  Kobe University
- Year and Date
  2007-09-07
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18530231
[Presentation] Heteroskedasticity in the Nikkei 225 log realized volatility2007
- Author(s)
  石田功
- 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-18530231
[Presentation] Scanning Multivariate Conditional Densities with Probability Integral Transforms, with Application to Volatility Modeling2006
- Author(s)
  石田功
- Organizer
  The 16th New Zealand Econometric Study Group
- Place of Presentation
  Univ. of Otago, Dunedin, New Zealand
- Year and Date
  2006-08-04
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18530231
[Presentation] Scanning Multivariate Conditional Densities with Probability Integral Transforms, with Application to Volatility Modeling2006
- Author(s)
  Isao Ishida
- Organizer
  The Japanese Statistical Society 75th Anniversary Symposium : Recent Advances in Applied Econometrics
- Place of Presentation
  University of Tokyo
- Year and Date
  2006-09-23
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18530231
[Presentation] Scanning Multivariate Conditional Densities with Probability Integral Transforms, with Application to Volatility Modeling2006
- Author(s)
  石田功
- Organizer
  日本統計学会 75th Anniversary Symposium: Recent Advances in Applied Econometrics
- Place of Presentation
  東京大学
- Year and Date
  2006-09-23
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18530231
[Presentation] Scanning Multivariate Conditional Densities with Probability Integral Transforms, with Application to Volatility Modeling2006
- Author(s)
  Isao Ishida
- Organizer
  The 16th New Zealand Econometric Study Group Meeting
- Place of Presentation
  University of Otago, Dunedin, New Zealand
- Year and Date
  2006-08-04
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18530231
[Presentation] Moment-based Estimation of Stochastic Volatility Models in the Presence of Intraday Seasonality
- Author(s)
  石田功
- Organizer
  一橋大学経済研究所共同利用・共同研究プロジェクト研究会 Workshop on High-Frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学
- Data Source
  KAKENHI-PROJECT-25380266

1. WATANABE Toshiaki (90254135)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
2. OYA Kosuke (20233281)

# of Collaborated Projects: 2 results

# of Collaborated Products: 9 results
3. FUKASAWA Masaaki (70506451)

# of Collaborated Projects: 2 results

# of Collaborated Products: 2 results
4. MAGHREBI Nabil (20283947)

# of Collaborated Projects: 1 results

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

# of Collaborated Projects: 1 results

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

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. UBUKATA Masato (00467507)

# of Collaborated Projects: 1 results

# of Collaborated Products: 2 results
8. OHTA Wataru (20293681)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. TAKADA Teruko (30347504)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. UCHIDA Masayuki (70280526)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. KINOSHITA Ryo (10732323)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. OMORI Yasuhiro (60251188)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. WAGO Hajime (00091934)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
14. KOZUMI Hideo (10261273)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
15. OGA Takashi (50326005)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Ishida Isao 石田 功

ISHIDA Isao 石田 功

Research Projects

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Statistical inference and empirical analysis of high frequency market data

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Specification and estimation of financial processes in the presence of intraday seasonality using noisy high-frequency dataPrincipal Investigator

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Issues related to financial risk measurement and its statistical inference

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An empirical study of contrarian and momentum effects in the Japanese stock marketPrincipal Investigator

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Bayesian econometric analysis of semiparametirc model

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An Analysis of the Financial Market Volatility via Nonlinear Time Series ModelsPrincipal Investigator

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[Book] Testing for Neglected Nonlinearity Using Twofold Unidentified Models under the Null and Hexic Expansions (published in: Essays in Nonlinear Time Series Econometrics, Festschrift in Honor of Timo Terasvirta)2014

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[Book] Essays in Nonlinear Time Series Econometrics （第1章分担）2014

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[Journal Article] 実現測度モーメントGMMによる日経平均株価の連続時間確率ボラティリティ・モデルの推定2016

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NAID

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[Journal Article] 日経平均スポット・ボラティリティ日次パスの関数ARCHモデリング2016

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[Journal Article] 実現測度モーメントGMMによる日経平均株価の連続時間確率ボラティリティ・モデルの推定2016

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[Journal Article] Modeling autoregressive processes with moving-quantiles-implied nonlinearity2015

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[Journal Article] 実現測度データによるボラティリティ変動モデルの推定2014

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[Journal Article] 実現測度データによるボラティリティ変動モデルの推定2014

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[Journal Article] ボラティリティ・インデックス先物のプライシング2012

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Ishida Isao 石田功

ISHIDA Isao 石田功