Kurose Yuta 黒瀬雄大

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 / 時系列解析 / 状態空間モデル / ベイズ統計学 / 乱数 / ボラティリティ 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 / 分位点 / 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

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
9. 粟屋直 (11005240)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Kurose Yuta 黒瀬 雄大

Research Projects

Research Products

Co-Researchers

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

Project Period (FY)

Research Category

Review Section

Research Institution

New developments in nonlinear econometric models using statistical learning and their applications to risk evaluations

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

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

Project Period (FY)

Research Category

Review Section

Research Institution

New developments in high dimensional data modeling and statistical risk analysis

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behavior

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] Simulation of truncated and unimodal gamma distributions2024

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Bayesian GARCH modeling for return and range2022

Author(s)

Journal Title

Data Source

[Journal Article] Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity2019

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Dynamic Equicorrelation Stochastic Volatility2016

Author(s)

Journal Title

DOI

Data Source

[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)

Organizer

Data Source

[Presentation] Stochastic volatility model with range-based correction and leverage2023

Author(s)

Organizer

Data Source

[Presentation] Stochastic volatility model with range-based correction and leverage2023

Author(s)

Organizer

Data Source

[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)

Organizer

Data Source

[Presentation] Simulation of truncated and unimodal gamma distributions2023

Author(s)

Organizer

Data Source

[Presentation] Simulation of truncated and unimodal gamma distributions2023

Author(s)

Organizer

Data Source

[Presentation] Simulation of truncated and unimodal gamma distributions2022

Author(s)

Organizer

Kurose Yuta 黒瀬雄大