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Kurose Yuta  黒瀬 雄大

ORCIDConnect your ORCID iD *help
Researcher Number 20713910
Other IDs
Affiliation (Current) 2025: 筑波大学, システム情報系, 助教
Affiliation (based on the past Project Information) *help 2018 – 2025: 筑波大学, システム情報系, 助教
2017: 大阪大学, 数理・データ科学教育研究センター, 寄附研究部門助教
2016: 関西学院大学, 理工学部, 助手
2015: 関西学院大学, 理工学部, 契約助手
Review Section/Research Field
Principal Investigator
Basic Section 60030:Statistical science-related
Except Principal Investigator
Medium-sized Section 7:Economics, business administration, and related fields / Economic statistics
Keywords
Principal Investigator
統計科学 / 乱数 / ボラティリティ / 時系列解析 / 状態空間モデル / ベイズ統計学
Except Principal Investigator
確率的ボラティリティ / マルコフ連鎖モンテカルロ法 / 潜在変数 / 確率的ボラティリティ変動モデル … More / 高頻度データ / ボラティリティ / ベイズ統計学 / ポートフォリオ最適化 / 実現ボラティリティ / ベイジアン・アプローチ / 統計的学習 / 非線形計量経済モデル / 統計的リスク / 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 / 因子モデル / ランダム回答法 / 統計的リスク管理 / 長期記憶性 / マルコフスイッチング / 一般化双曲非対称t分布 / ベイズ推定 Less
  • Research Projects

    (5 results)
  • Research Products

    (22 results)
  • Co-Researchers

    (8 People)
  •  非線形・非正規状態空間モデルと多変量・高次元経済金融時系列分析Principal Investigator

    • Principal Investigator
      黒瀬 雄大
    • Project Period (FY)
      2025 – 2028
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 60030:Statistical science-related
    • Research Institution
      University of Tsukuba
  •  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
  •  多変量/高次元の潜在変数をもつ時系列モデルの効率的ベイズ推測Principal Investigator

    • Principal Investigator
      黒瀬 雄大
    • Project Period (FY)
      2020 – 2024
    • Research Category
      Grant-in-Aid for Early-Career Scientists
    • Review Section
      Basic Section 60030:Statistical science-related
    • Research Institution
      University of Tsukuba
  •  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
  •  Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behavior

    • Principal Investigator
      Omori Yasuhiro
    • Project Period (FY)
      2014 – 2018
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Economic statistics
    • Research Institution
      The University of Tokyo

All 2024 2023 2022 2021 2020 2019 2017 2016 2015 2014

All Journal Article Presentation

  • [Journal Article] Simulation of truncated and unimodal gamma distributions2024

    • Author(s)
      Yuta Kurose
    • Journal Title

      Journal of Statistical Computation and Simulation

      Volume: 94 Issue: 5 Pages: 996-1015

    • DOI

      10.1080/00949655.2023.2277339

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-20K19751, KAKENHI-PROJECT-19H00588
  • [Journal Article] Bayesian GARCH modeling for return and range2022

    • Author(s)
      Yuta Kurose
    • Journal Title

      Economics Bulletin

      Volume: 42

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-20K19751
  • [Journal Article] Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity2019

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

      Econometrics and Statistics

      Volume: 印刷中 Pages: 46-68

    • DOI

      10.1016/j.ecosta.2018.03.003

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-15H01943, KAKENHI-PROJECT-17H00985, KAKENHI-PROJECT-26245028, KAKENHI-PROJECT-19H00588, KAKENHI-PROJECT-20H00073
  • [Journal Article] Dynamic Equicorrelation Stochastic Volatility2016

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

      Computational Statistics and Data Analysis

      Volume: 印刷中 Pages: 795-813

    • DOI

      10.1016/j.csda.2015.01.013

    • Peer Reviewed / Acknowledgement Compliant
    • Data Source
      KAKENHI-PROJECT-26245028, KAKENHI-PROJECT-25245035
  • [Presentation] 確率的ボラティリティモデルと価格レンジに基づく補正2023

    • Author(s)
      黒瀬 雄大
    • 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] Stochastic volatility model with range-based correction and leverage2023

    • Author(s)
      Yuta Kurose
    • Organizer
      6th International Conference on Econometrics and Statistics (EcoSta2023)
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Stochastic volatility model with range-based correction and leverage2023

    • Author(s)
      Yuta Kurose
    • Organizer
      6th International Conference on Econometrics and Statistics
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-20K19751
  • [Presentation] 確率的ボラティリティモデルと価格レンジに基づく補正2023

    • Author(s)
      黒瀬 雄大
    • 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-20K19751
  • [Presentation] Simulation of truncated and unimodal gamma distributions2023

    • Author(s)
      黒瀬 雄大
    • Organizer
      2023年度統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Simulation of truncated and unimodal gamma distributions2023

    • Author(s)
      黒瀬 雄大
    • Organizer
      2023年度統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-20K19751
  • [Presentation] Simulation of truncated and unimodal gamma distributions2022

    • Author(s)
      黒瀬雄大
    • Organizer
      統計学の理論と応用のフロンティア
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Simulation of truncated and unimodal gamma distributions2022

    • Author(s)
      黒瀬 雄大
    • Organizer
      統計学の理論と応用のフロンティア
    • Data Source
      KAKENHI-PROJECT-20K19751
  • [Presentation] ボラティリティ推定:収益率と取引価格レンジの同時モデリング2021

    • Author(s)
      黒瀬雄大
    • Organizer
      2021年度 統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] ボラティリティ推定:収益率と取引価格レンジの同時モデリング2021

    • Author(s)
      黒瀬 雄大
    • Organizer
      2021年度統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-20K19751
  • [Presentation] 確率的ボラティリティモデルと価格レンジに基づく補正2020

    • Author(s)
      黒瀬雄大
    • Organizer
      2020年度統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-20K19751
  • [Presentation] 確率的ボラティリティモデルと価格レンジに基づく補正2020

    • Author(s)
      黒瀬雄大
    • Organizer
      2020年度統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] 確率的ボラティリティモデルと価格レンジに基づく補正2019

    • Author(s)
      黒瀬雄大
    • Organizer
      科研費研究集会「ベイズ計量経済学研究集会」
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Stochastic volatility model with range-based correction and leverage2019

    • Author(s)
      黒瀬雄大
    • Organizer
      2019年度統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-19H00588
  • [Presentation] Range-based stochastic volatility model2017

    • Author(s)
      黒瀬雄大
    • Organizer
      2017年度 統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-26245028
  • [Presentation] Dynamic block-equicorrelation, realized stochastic volatility and cross leverage2015

    • Author(s)
      黒瀬雄大・大森裕浩
    • Organizer
      9th International Conference on Computational and Financial Econometrics (CFE2015)
    • Place of Presentation
      ロンドン(英国)
    • Year and Date
      2015-12-13
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-26245028
  • [Presentation] 多変量実現確率的ボラティリティモデルとレバレッジ効果について2015

    • Author(s)
      黒瀬雄大・大森裕浩
    • Organizer
      2015年度 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-26245028
  • [Presentation] 多変量非対称実現確率的ボラティリティ変動モデルとその応用2014

    • Author(s)
      黒瀬雄大・大森裕浩
    • Organizer
      2014年度 統計関連学会連合大会
    • Place of Presentation
      東京大学(東京都文京区)
    • Year and Date
      2014-09-15
    • Data Source
      KAKENHI-PROJECT-26245028
  • 1.  Omori Yasuhiro (60251188)
    # of Collaborated Projects: 3 results
    # of Collaborated Products: 5 results
  • 2.  高橋 慎 (20723852)
    # of Collaborated Projects: 3 results
    # of Collaborated Products: 0 results
  • 3.  國濱 剛 (40779716)
    # of Collaborated Projects: 3 results
    # of Collaborated Products: 0 results
  • 4.  渡部 敏明 (90254135)
    # of Collaborated Projects: 3 results
    # of Collaborated Products: 0 results
  • 5.  石原 庸博 (60609072)
    # of Collaborated Projects: 3 results
    # of Collaborated Products: 0 results
  • 6.  入江 薫 (20789169)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 7.  山内 雄太 (00914160)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 8.  菅原 慎矢 (30711379)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results

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