Hodoshima Jiro 程島次郎

… Alternative Names

程島次郎ホドシマジロウ

HODOSHIMA Jiro 程島次郎

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Researcher Number	30181514
Other IDs
External Links
Affiliation (Current)	2025: 名古屋商科大学, 経済学部, 教授 2025: 名古屋市立大学, 大学院経済学研究科, 教授
Affiliation (based on the past Project Information) *help	2022 – 2023: 名古屋商科大学, 経済学部, 教授 2016 – 2019: 名古屋商科大学, 経済学部, 教授 2014 – 2015: 名古屋市立大学, 経済学研究科(研究院), 教授 2012: 名古屋市立大学, 経済学研究科(研究院), 教授 2007 – 2012: Nagoya City University, 大学院・経済学研究科, 教授 2002 – 2004: 名古屋市立大学, 大学院・経済学研究科, 教授
Review Section/Research Field	Principal Investigator Economic statistics / Basic Section 07060:Money and finance-related / Economic statistics
Keywords	Principal Investigator 実証研究 / シミュレーション / bootstrap / 計量ファイナンス / Performance measure / Aumann-Serrano index / weak exogeneity / normal mixture / 計量経済学 / 経済統計学 … More / 弱外生性 / 確率過程 / Foster-Hart index / 統計学 / 理論研究 / 期待効用最大化 / プロジェクト評価 / リスク評価 / 数理ファイナンス / GARCH model / 資産価格の評価への応用 / Normal mixture / 期待効用無差別価値 / Aumann-Serrano / 効用無差別価値 / 計量分析 / risk loving / IRRA / 期待効用無差別価格理論 / performance measure / nonnormality / asymptotic covariance matrix / asset pricing model / robustness / elliptical distribution / stochastic regression model / 最小2乗推定量 / 非正規モデル / 楕円分布族 / 非正規分布 / 漸近共分散行列 / 資産価格モデル / ロバストネス / 楕円分布 / 確率的回帰モデル / clustering / 福島原発事故 / heteroskedasticity / ぺネルデータ分析 / 福島原発の影響 / Hetoroskedasticity / Bootstrap / パネルデータ分析 / 統計的推測 / 漸近分散の推定 / 条件付分散 / 条件付き分散 / 漸近分布 / 非正規性 Less

Theory and applications of performance measuresPrincipal Investigator
- Principal Investigator
  
  程島次郎
- Project Period (FY)
  2022 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Nagoya University of Commerce & Business
Construction of a system of evaluating assets based on utility indifference pricingPrincipal Investigator
- Principal Investigator
  
  HODOSHIMA Jiro
- Project Period (FY)
  2017 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Nagoya University of Commerce & Business
Econometrics of asset pricing modelsPrincipal Investigator
- Principal Investigator
  
  Hodoshima Jiro
- Project Period (FY)
  2014 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Nagoya University of Commerce & Business
  Nagoya City University
Stochastic Regression Models and Their ApplicationsPrincipal Investigator
- Principal Investigator
  
  HODOSHIMA Jiro
- Project Period (FY)
  2010 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Nagoya City University
On the inference of stochastic regression modelsPrincipal Investigator
- Principal Investigator
  
  HODOSHIMA Jiro
- Project Period (FY)
  2007 – 2009
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Nagoya City University
Evaluation of the effect of stochastic explanatory variables in regression models when the underlying distribution is in the class of elliptical distributionsPrincipal Investigator
- Principal Investigator
  
  HODOSHIMA Jiro
- Project Period (FY)
  2002 – 2004
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  NAGOYA CITY UNIVERSITY

[Book] 『名市大発　経済学・経営学のエッセンス』2014
- Author(s)
  程島次郎
- Total Pages
  5
- Publisher
  HIME企画
- Data Source
  KAKENHI-PROJECT-26380272
[Book] 経済時系列ハンドブック（分担執筆）2012
- Author(s)
  程島次郎
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-22530210
[Book] 経済時系列ハンドブック(「CAPM とマルチファクターモデルとポートフォリオ」)2012
- Author(s)
  程島次郎
- Publisher
  朝倉書店
- Data Source
  KAKENHI-PROJECT-22530210
[Book] CAPMとマルチファクターモデルとポートフォリオ「経済時系列ハンドブック」(分担執筆)2012
- Author(s)
  程島次郎
- Total Pages
  11
- Publisher
  朝倉書店(発行確定)
- Data Source
  KAKENHI-PROJECT-22530210
[Journal Article] THE AUMANN-SERRANO PERFORMANCE INDEX OF DOW 30 COMPONENTS AND DOW JONES INDUSTRIAL AVERAGE BEFORE AND AFTER THE GLOBAL FINANCIAL CRISIS2024
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Far East Journal of Theoretical Statistics
  
  Volume: 68 Issue: 1 Pages: 53-79
- DOI
  10.17654/0972086324004
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22K01586
[Journal Article] Temporal aggregation of the Aumann-Serrano and Foster-Hart performance indexes2022
- Author(s)
  Hodoshima Jiro、Yamawake Toshiyuki
- Journal Title
  
  International Review of Financial Analysis
  
  Volume: 83 Pages: 1022-1032
- DOI
  10.1016/j.irfa.2022.102232
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22K01586
[Journal Article] Utility indifference pricing and mean-variance approach when the degree of risk aversion is small2022
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Far East Journal of Theoretical Statistics
  
  Volume: 66 Pages: 135-146
- DOI
  10.17654/0972086322016
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22K01586
[Journal Article] Evaluation of Performance of Stock and Real Estate Investment Trust Markets in Japan2020
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Empirical Economics
  
  Volume: - Issue: 1 Pages: 101-120
- DOI
  10.1007/s00181-020-01869-5
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17K03667
[Journal Article] Utility indifference pricing and the Aumann?Serrano performance index2020
- Author(s)
  Hodoshima Jiro、Miyahara Yoshio
- Journal Title
  
  Journal of Mathematical Economics
  
  Volume: 86 Pages: 83-89
- DOI
  10.1016/j.jmateco.2019.12.002
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K03421, KAKENHI-PROJECT-17K03667
[Journal Article] Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility2019
- Author(s)
  Jiro Hodoshima and Toshiyuki Yamawake
- Journal Title
  
  Ｆｉｎａｎｃｅ　Ｒｅｓｅａｒｃｈ　Ｌｅｔｔｅｒｓ
  
  Volume: 28 Pages: 74-81
- DOI
  10.1016/j.frl.2018.04.006
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17K03667
[Journal Article] Stock performance by utility indifference pricing and the Sharpe ratio2019
- Author(s)
  Ｊｉｒｏ　Ｈｏｄｏｓｈｉｍａ
- Journal Title
  
  Ｑｕａｎｔｉｔａｔｉｖｅ　Ｆｉｎａｎｃｅ
  
  Volume: 19 Issue: 2 Pages: 327-338
- DOI
  10.1080/14697688.2018.1478121
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17K03667
[Journal Article] Evaluation by the Aumann and Serrano performance index and Sharpe ratio: Bitcoin performance2019
- Author(s)
  Jiro Hodoshima and Nana Otsuki
- Journal Title
  
  Applied Economics
  
  Volume: 51 Issue: 39 Pages: 4282-4298
- DOI
  10.1080/00036846.2019.1591601
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17K03667
[Journal Article] Stock performance evaluation incorporating high moments and disaster risk: Evidence from Japan2019
- Author(s)
  J. Hodoshima, T. Misawa, and Y. Miyahara
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: - Issue: 2 Pages: 155-174
- DOI
  10.1007/s10690-019-09287-z
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17K03667, KAKENHI-PROJECT-18K03421
[Journal Article] Comparison of utility indifference pricing and mean-variance approach under a normal mixture2018
- Author(s)
  Jiro Hodoshima, Toshiyuki Yamawake
- Journal Title
  
  Nagoya University of Commerce and Business Discussion Paper
  
  Volume: 17301 Pages: 1-26
- Data Source
  KAKENHI-PROJECT-17K03667
[Journal Article] Evaluation of Performance of Stock and REIT Markets in Japan2018
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Nagoya University of Commerce and Business Discussion Paper
  
  Volume: 17302 Pages: 1-31
- Data Source
  KAKENHI-PROJECT-17K03667
[Journal Article] Comparison of utility indifference pricing and mean-variance approach under normal mixture2018
- Author(s)
  Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara
- Journal Title
  
  Finance Research Letters
  
  Volume: 24 Pages: 221-229
- DOI
  10.1016/j.frl.2017.09.008
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-17K03667, KAKENHI-PROJECT-15K04933
[Journal Article] normal mixtureのファイナンスへの応用2017
- Author(s)
  程島次郎
- Journal Title
  
  名古屋市立大学経済学研究科紀要『オイコノミカ』
  
  Volume: 54 Pages: 3-13
- Data Source
  KAKENHI-PROJECT-17K03667
[Journal Article] Evaluation of performance of stocks: Evidence from Japan2017
- Author(s)
  Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara
- Journal Title
  
  Nagoya University of Commerce and Business Discussion Paper
  
  Volume: 8 Pages: 1-22
- Data Source
  KAKENHI-PROJECT-17K03667
[Journal Article] Stock performance by utility indifference pricing2017
- Author(s)
  Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara
- Journal Title
  
  Nagoya University of Commerce and Business Discussion Paper
  
  Volume: 5 Pages: 1-23
- Data Source
  KAKENHI-PROJECT-17K03667
[Journal Article] Normal mixtureのファイナンスへの応用2017
- Author(s)
  程島次郎
- Journal Title
  
  オイコノミカ
  
  Volume: ５４
- Data Source
  KAKENHI-PROJECT-26380272
[Journal Article] 期待効用無差別価格理論に基づくリスク測度のシミュレーション2016
- Author(s)
  程島次郎、三澤哲也、宮原孝夫
- Journal Title
  
  ２０１６年度統計関連学会連合大会講演報告集
  
  Volume: なし Pages: 30-30
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26380272
[Journal Article] Reexamination of the Robustness of the Fama-French Three-Factor Model2016
- Author(s)
  Masayuki Hirukawa and Jiro Hodoshima
- Journal Title
  
  Far East Journal of Theoretical Statistics
  
  Volume: 52 Pages: 215-234
- Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380272
[Journal Article] 福島原発事故の影響を調べてみて2015
- Author(s)
  程島次郎
- Journal Title
  
  「国際地域経済研究」
  
  Volume: 16 Pages: 5-15
- NAID
  40020951601
- Data Source
  KAKENHI-PROJECT-26380272
[Journal Article] A panel data analysis of stock returns of electric power companies in the Fukushima nuclear accident2014
- Author(s)
  Jiro Hodoshima and Yuichi Morita
- Journal Title
  
  Institute of Economic Research Discussion Paper Series, Nagoya City University
  
  Volume: 57 Pages: 1-20
- Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380272
[Journal Article] The effect of the Fukushima nuclear disaster on bond risk premia of electric power companies2014
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Institute of Economic Research Discussion Paper Series, Nagoya City University
  
  Volume: 56 Pages: 1-41
- Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380272
[Journal Article] The effect of estimation of unknown degrees of freedom on estimation of remaining parameters in Spanos'conditional t heteroskedastic model2013
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Communications in Statistics-Simulation and Computation
  
  Volume: Vol. 42 Pages: 1727-1749
- DOI
  10.1080/03610918.2012.675112
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22530210
[Journal Article] 福島原発事故の電力会社とガス会社の株価への影響2013
- Author(s)
  程島次郎
- Journal Title
  
  国際地域経済研究
  
  Volume: 13巻 Pages: 17-25
- NAID
  40020133201
- Data Source
  KAKENHI-PROJECT-22530210
[Journal Article] Finite-sample properties of the conditional maximum likelihood estimator and block-diagonality of the information matrix in Spanos'conditional t heteroskedastic model2012
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Nagoya City University Discussion Papers in Economics
  
  Volume: No. 559 Pages: 1-24
- Data Source
  KAKENHI-PROJECT-22530210
[Journal Article] Reexamination of the robustness of the Fama-French three-factor model2012
- Author(s)
  Masayuki Hirukawa and Jiro Hodoshima
- Journal Title
  
  Nagoya City University Discussion Papers in Economics
  
  Volume: No. 561 Pages: 1-36
- Data Source
  KAKENHI-PROJECT-22530210
[Journal Article] The effect of estimation of unknown degrees of freedom on estimation of remaining parameters in Spanos' conditional t heteroskedastic model2012
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Communications in Statistics-Simulation and Computation
  
  Volume: (掲載確定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22530210
[Journal Article] On the properties of the likelihood function of Spanos' conditional t heteroskedastic model2012
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Communications in Statistics-Theory and Methods
  
  Volume: (掲載確定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22530210
[Journal Article] Finite-sample properties of the conditional maximum likelihood estimator and block-diagonality of the information matrix in Spanos' conditional t heteroskedastic model2012
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Nagoya City University Discussion Papers in Economics
  
  Volume: 559 Pages: 1-24
- Data Source
  KAKENHI-PROJECT-22530210
[Journal Article] The effect of estimation of unknown degrees of freedom on estimation of remaining parameters in Spanos' conditional t heteroskedastic model2011
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion Papers in Economics, Nagoya City University
  
  Volume: 530 Pages: 1-19
- Data Source
  KAKENHI-PROJECT-22530210
[Journal Article] 条件付分散が不均一なモデルにおける相関のスペシフィケーションについて2010
- Author(s)
  程島次郎
- Journal Title
  
  オイコノミカ 46巻,3号
  
  Pages: 113-121
- NAID
  120006682423
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] On the properties of the likelihood function of Spanos' conditional t heteroskedastic model2010
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  mimeograph
  
  Pages: 1-27
- Data Source
  KAKENHI-PROJECT-22530210
[Journal Article] ガソリン、灯油、原油の3つの商品先物の高頻度データによる時系列相関分析2010
- Author(s)
  程島次郎, 森本孝之
- Journal Title
  
  先物取引研究 (掲載予定)
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] 条件付分散が不均-なモデルにおける相関のスペシフィケーションについて2010
- Author(s)
  程島次郎
- Journal Title
  
  オイコノミカ 46
  
  Pages: 113-121
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] Bootstrapping stochastic regression models : wild bootstrap vs. pairs bootstrap2009
- Author(s)
  Jiro Hodoshima, Masakazu Ando
- Journal Title
  
  Journal of statistical computation and simulation Vol.79
  
  Pages: 1-11
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] The robustness of asset pricing models with time varying conditional covariance matrix : coskewness and cokurtosis2009
- Author(s)
  程島次郎
- Journal Title
  
  Discussion papers in Economics, Nagoya City University 506
  
  Pages: 1-13
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] The robustness of asset pricing models with time varying conditional covariance matrix: coskewness and cokurtosis2009
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics(Nagoya City University) No.506
  
  Pages: 1-13
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] Properties of the likelihood function of Spanos' conditional t heteroskedastic model2009
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics(Nagoya City University) No.505
  
  Pages: 1-20
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] The asymptotic covariance matrix of the least squares estimator in the stochastic linear regression model: the case of elliptically symmetric distribution, Communications in Statistics2009
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Theory and Methods Vol.38
  
  Pages: 661-674
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] Bootstrapping stochastic regression models : wild bootstrap vs.pairs bootstrap2009
- Author(s)
  Jiro Hodoshima, Masakazu Ando
- Journal Title
  
  Journal of statistical computation and simulation 79
  
  Pages: 1-11
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] Properties of the likelihood function of Spanos' conditional t heteroskedastic model2009
- Author(s)
  程島次郎
- Journal Title
  
  Discussion papers in Economics, Nagoya City Univarsity 505
  
  Pages: 1-20
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] ガソリン、灯油、原油の3つの商品先物の高頻度データによる時系列相関分析2009
- Author(s)
  程島次郎, 森本孝之
- Journal Title
  
  先物取引研究掲載確定
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] The asymptotic oovariance matrix of the least squares estimator in the stochastic linear regression model : the case of elliptically symmetric distribution2009
- Author(s)
  Tiro Hodoshima
- Journal Title
  
  Communications in Statistics, Theory and Methods 38
  
  Pages: 661-674
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] A simulation study of White's test for heteroskedasticity in fixed and stochastic regression models2008
- Author(s)
  Jiro Hodoshima, Masakazu Ando
- Journal Title
  
  Communications in Statistics, Simulation and Computation Vol.36,No.6
  
  Pages: 897-906
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] Partial weak exogeneity under nonnormality2008
- Author(s)
  Tiro Hodoshima
- Journal Title
  
  Mimeograph
  
  Pages: 1-12
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] The robustness of asset pricing models: Coskewness and cokurtosis II2008
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  mimeograph
  
  Pages: 1-9
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] A simulation study of White's test for heteroskedasticity in fixed and stochastic regression models2008
- Author(s)
  Jiro Hodoshima and Masakazu Ando
- Journal Title
  
  Communications in Statistics-Simulation and Computation 37(未定)
  
  Pages: 897-906
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] The finite-sample performance of White's test for heteroskedasticity under stochastic regressors2007
- Author(s)
  Jiro Hodoshima, Masakazu Ando
- Journal Title
  
  Communications in Statistics, Simulation and Computation Vol.37,No.5
  
  Pages: 1201-1215
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] A note on bootstrapped White's test for heteroskedasticity in regression models2007
- Author(s)
  Masakazu Ando, Jiro Hodoshima
- Journal Title
  
  Economics Letters Vol.97
  
  Pages: 46-51
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] The finite-sample performance of White's test for heteroskedasticity under stochastic regressors2007
- Author(s)
  Jiro Hodoshima and Masakazu Ando
- Journal Title
  
  Communications in Statistics-Simulation and Computation 36
  
  Pages: 1201-1215
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] Bootstrapping stochastic regression models: Wild bootstrap VS. pairs bootstrap2007
- Author(s)
  Jiro Hodoshima and Masakazu Ando
- Journal Title
  
  Discussion Papers in Economics 474
  
  Pages: 1-27
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] A note on bootstrapped White's test for heteroskedasticity in regression models2007
- Author(s)
  Masakazu Ando and Jiro Hodoshima
- Journal Title
  
  Economics Letters 97
  
  Pages: 46-51
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19530184
[Journal Article] Rejoinder to the author's reply2005
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  IEEE Transactions on Automatic Control 50(to appear)(未定)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] Rejoinder to author's reply2005
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  IEEE Transactions on Automatic Control 50.7(to appear)(未定)
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] The effect of non-independence of explanatory variables and error term and heteroskedasticity in stochastic regression models2005
- Author(s)
  Hodoshima, J., Ando, M.
- Journal Title
  
  Discussion papers in Economics, Nagoya City University 399
  
  Pages: 1-43
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] The effect of non-independence of explanatory variables and error term and heteroskedasticity in stochastic regression models2004
- Author(s)
  Hodoshima, J., Ando, M.
- Journal Title
  
  Discussion papers in Economics 399
  
  Pages: 1-31
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] The effect of nonnormality on the inference of expected asset returns in asset pricing models2004
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics 392
  
  Pages: 1-33
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] The effect of nonnormality on the inference of expected asset returns in asset pricing models2004
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics, Nagoya City University 392
  
  Pages: 1-33
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] Weak exogeneity under nonnormality2004
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics, Nagoya City University 380
  
  Pages: 1-9
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] Weak exogeneity under nonnormality2004
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics 380
  
  Pages: 1-9
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] Comparison of the joint and conditional maximum likelihood estimators in the student's t linear heteroskedastic regression model2004
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics, Nagoya City University 386
  
  Pages: 1-23
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] Tail-thickness in terms of cov(Xj^2,Xp^2) in the class of elliptical distributions2004
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Journal of statistical planning and inference 121
  
  Pages: 285-289
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] Comparison of the joint and conditional maximum likelihood estimators in the student's t linear heteroskedastic regression model2004
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics 386
  
  Pages: 1-23
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] Comparison of the joint and conditional maximum likelihood estimators for the student's t linear heteroskedastic regression model2004
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics 386
  
  Pages: 1-21
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] The effect of nonnormality on the stochastic regression model2003
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics, Nagoya City University 342
  
  Pages: 1-23
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] The effect of nonnormality on the stochastic regression model2003
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics 342
  
  Pages: 1-23
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] A finite-sample study of the GMM variance estimators for the stochastic regression model under nonnormality2003
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics 357
  
  Pages: 1-29
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] The effect of nonnormality on the market model: Skewness and kurtosis2003
- Author(s)
  Masakazu Ando, Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics 365
  
  Pages: 1-19
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] A finite-sample study of the GMM variance estimators for the stochastic regression model under nonnormality2003
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics, Nagoya City University 357
  
  Pages: 1-29
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] The effect of nonnormality on the market model : quantitative evaluation2003
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics, Nagoya City University 359
  
  Pages: 1-32
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] The effect of nonnormality on the market model : Skewness and kurtosis2003
- Author(s)
  Masakazu Ando, Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics, Nagoya City University 365
  
  Pages: 1-19
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] The effect of nonnormality on the market model: quantitative evaluation2003
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Discussion papers in Economics 359
  
  Pages: 1-32
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-14530036
[Journal Article] On the properties of the likelihood function of Spanos'conditional t heteroskedastic model
- Author(s)
  Jiro Hodoshima
- Journal Title
  
  Communications in Statistics-Theory and Methods
  
  Volume: (掲載確定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22530210
[Presentation] Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness2023
- Author(s)
  Jiro Hodoshima
- Organizer
  統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-22K01586
[Presentation] Temporal aggregation of the Aumann--Serrano and Foster--Hart performance indexes2022
- Author(s)
  Jiro Hodoshima
- Organizer
  統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-22K01586
[Presentation] Utility indifference pricing and the Aumann-Serrano index2019
- Author(s)
  Jiro Hodoshima and Yoshio Miyahara
- Organizer
  JAFEE
- Data Source
  KAKENHI-PROJECT-17K03667
[Presentation] Evaluation by the Aumann and Serrano Performance Index and Sharpe Ratio: Bitcoin Performance2019
- Author(s)
  Jiro Hodoshima
- Organizer
  ファイナンス研究会（名古屋商科大学）
- Data Source
  KAKENHI-PROJECT-17K03667
[Presentation] Comparison of the risk-sensitive value measure and mean-variance approach under normal mixture2017
- Author(s)
  Jiro Hodoshima
- Organizer
  統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-17K03667
[Presentation] 期待効用無差別価格理論に基づくリスク測度のシミュレーション2016
- Author(s)
  程島次郎
- Organizer
  統計関連学会連合大会
- Place of Presentation
  金沢大学
- Data Source
  KAKENHI-PROJECT-26380272
[Presentation] The effect of the Fukushima nuclear disaster on bond risk premia of electric power companies2015
- Author(s)
  程島次郎
- Organizer
  名古屋市立大学附属経済研究所プロジェクト報告会
- Place of Presentation
  名古屋市立大学経済学部
- Year and Date
  2015-03-20
- Data Source
  KAKENHI-PROJECT-26380272
[Presentation] A panel data analysis of stock returns of electric power companies in the Fukushima nuclear accident2015
- Author(s)
  Jiro Hodoshima
- Organizer
  The eighth international conference of the Thailand econometric society
- Place of Presentation
  Faculty of Economics, Chiang Mai University
- Year and Date
  2015-01-08
- Invited
- Data Source
  KAKENHI-PROJECT-26380272
[Presentation] The effect of the Fukushima nuclear disaster on bond risk premia of electric power companies2014
- Author(s)
  程島次郎
- Organizer
  経済・ファイナンス分析のための統計的方法―刈屋武昭教授古希記念シンポジウムー
- Place of Presentation
  学習院大学
- Year and Date
  2014-09-12
- Invited
- Data Source
  KAKENHI-PROJECT-26380272
[Presentation] The effect of the Fukushima nuclear disaster on bond risk premia of electric power companies2014
- Author(s)
  程島次郎
- Organizer
  ２０１４年度統計関連学会連合大会
- Place of Presentation
  東京大学
- Year and Date
  2014-09-15
- Data Source
  KAKENHI-PROJECT-26380272
[Presentation] The effect of the Fukushima nuclear accident on bond risk premia and stock returns of electric power and gas utilities2013
- Author(s)
  Jiro Hodoshima
- Organizer
  名古屋市立大学経済研究所プロジェクト報告会
- Place of Presentation
  名古屋市立大学滝子キャンパス3号館大学院第4教室
- Year and Date
  2013-03-01
- Data Source
  KAKENHI-PROJECT-22530210
[Presentation] The effect of the Fukushima nuclear accident on bond risk premia and stock returns of electric power and gas utilities2013
- Author(s)
  程島次郎
- Organizer
  名古屋市立大学経済研究所プロジェクト報告会
- Place of Presentation
  名古屋市立大学滝子キャンパス3号館大学院第４教室（愛知県名古屋市）
- Data Source
  KAKENHI-PROJECT-22530210
[Presentation] On the properties of the likelihood function of Spanos' conditional t heteroskedastic model2011
- Author(s)
  Jiro Hodoshima
- Organizer
  4th conference of the Thailand Econometric Society
- Place of Presentation
  Chiang Mai University, Thailand
- Year and Date
  2011-01-13
- Data Source
  KAKENHI-PROJECT-22530210
[Presentation] On the properties of the likelihood function of Spanos'conditional t heteroskedastic model2011
- Author(s)
  Jiro Hodoshima
- Organizer
  4th conference of the Thailand Econometric Society
- Place of Presentation
  Chiang Mai University, Thailand
- Year and Date
  2011-01-13
- Data Source
  KAKENHI-PROJECT-22530210
[Presentation] 確率的回帰モデルの推測について2008
- Author(s)
  程島次郎
- Organizer
  科研費シンポジウム「計量ファイナンスと時系列解析法の新たな展開」
- Place of Presentation
  香川大学
- Year and Date
  2008-01-26
- Data Source
  KAKENHI-PROJECT-19530184
[Presentation] 確率的回帰モデルの推測について」科研費基盤研究(A)「統計科学における数理的手法の理論と応用2008
- Author(s)
  程島次郎
- Organizer
  計量ファイナンスと時系列解析法の新たな展開
- Place of Presentation
  香川大学
- Year and Date
  2008-01-26
- Data Source
  KAKENHI-PROJECT-19530184
[Presentation] On the inference of stochastic regression models2008
- Author(s)
  程島次郎
- Organizer
  Seminar at School of Economics, Singapore Management University
- Place of Presentation
  Singapore Management University
- Year and Date
  2008-03-17
- Data Source
  KAKENHI-PROJECT-19530184
[Presentation] On the inference of stochastic regression models.2008
- Author(s)
  Jiro Hodoshima
- Organizer
  Seminar at School of Economics
- Place of Presentation
  Singapore Management University
- Year and Date
  2008-03-17
- Data Source
  KAKENHI-PROJECT-19530184
[Presentation] 原油、ガソリン, 灯油の3つの商品先物の高頻度データによるクロス相関分析2008
- Author(s)
  程島次郎, 森本孝之
- Organizer
  2008年度統計関連学会連合大会
- Place of Presentation
  慶応大学
- Year and Date
  2008-09-09
- Data Source
  KAKENHI-PROJECT-19530184

1. 三澤哲也 (10190620)

# of Collaborated Projects: 1 results

# of Collaborated Products: 4 results
2. 宮原孝夫 (20106256)

# of Collaborated Projects: 1 results

# of Collaborated Products: 6 results
3. 山分俊幸 (40434592)

# of Collaborated Projects: 1 results

# of Collaborated Products: 1 results

Hodoshima Jiro 程島 次郎

程島 次郎 ホドシマ ジロウ

HODOSHIMA Jiro 程島 次郎

Research Projects

Research Products

Co-Researchers

Theory and applications of performance measuresPrincipal Investigator

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Review Section

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Construction of a system of evaluating assets based on utility indifference pricingPrincipal Investigator

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Econometrics of asset pricing modelsPrincipal Investigator

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Stochastic Regression Models and Their ApplicationsPrincipal Investigator

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On the inference of stochastic regression modelsPrincipal Investigator

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Evaluation of the effect of stochastic explanatory variables in regression models when the underlying distribution is in the class of elliptical distributionsPrincipal Investigator

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[Book] 『名市大発 経済学・経営学のエッセンス』2014

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[Book] 経済時系列ハンドブック（分担執筆）2012

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[Book] 経済時系列ハンドブック(「CAPM とマルチファクターモデルとポートフォリオ」)2012

Author(s)

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[Book] CAPMとマルチファクターモデルとポートフォリオ「経済時系列ハンドブック」(分担執筆)2012

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[Journal Article] THE AUMANN-SERRANO PERFORMANCE INDEX OF DOW 30 COMPONENTS AND DOW JONES INDUSTRIAL AVERAGE BEFORE AND AFTER THE GLOBAL FINANCIAL CRISIS2024

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[Journal Article] Temporal aggregation of the Aumann-Serrano and Foster-Hart performance indexes2022

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[Journal Article] Utility indifference pricing and mean-variance approach when the degree of risk aversion is small2022

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[Journal Article] Evaluation of Performance of Stock and Real Estate Investment Trust Markets in Japan2020

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Hodoshima Jiro 程島次郎

程島次郎ホドシマジロウ

HODOSHIMA Jiro 程島次郎

[Book] 『名市大発　経済学・経営学のエッセンス』2014