KOBAYASHI MASAHITO 小林正人

… Alternative Names

小林正人コバヤシマサヒト

KOBAYASHI Masato 小林正人

KOBAYASHI Masahito 小林正人

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Researcher Number	60170354
Other IDs
Affiliation (Current)	2025: 明治学院大学, 経済学部, 教授
Affiliation (based on the past Project Information) *help	2021 – 2023: 明治学院大学, 経済学部, 教授 2020: 横浜国立大学, 大学院国際社会科学研究院, 教授 2016 – 2017: 横浜国立大学, 大学院国際社会科学研究院, 教授 2013 – 2015: 横浜国立大学, 国際社会科学研究院, 教授 2011 – 2012: 横浜国立大学, 国際社会科学研究科, 教授 … More 2010: 国立大学法人横浜国立大学, 国際社会科学研究科, 教授 2009: Yokohama National University, 国際社会科学研究科, 教授 2006 – 2008: 横浜国立大学, 経済学部, 教授 2007: 横浜国立大学, 大学院・国際社会科学研究科, 教授 2005: 横浜国立大学, 大学院・国際社会科学研究科, 教授 2003 – 2004: 横浜国立大学, 大学院・経済学研究科, 教授 1999 – 2000: 横浜国立大学, 経済学部, 教授 1998: 横浜国立大学, 経済学部, 助教授 1994: 横浜国立大学, 経済学部, 助教授 1990 – 1992: 横浜国立大学, 経済学部, 助教授 Less
Review Section/Research Field	Principal Investigator Economic statistics / Basic Section 07030:Economic statistics-related / 経済政策(含経済事情) / Economic statistics Except Principal Investigator Public finance/Monetary economics / Economic statistics / 一般理論 / Economic statistics
Keywords	Principal Investigator copula / 粒子フィルター / ラグランジュ乗数検定 / 状態空間モデル / モンテカルロ実験 / カルマンフィルター / ファイナンス / EU危機 / EU金融危機 / split-normal 分布 … More / 資本移動 / 国際決済銀行 / split normal / Lagrange 乗数検定 / 非線形カルマンフィルター / Stochastic Volatility / 分布の退化の検定 / Stochastic volatility / 非対称性 / 最尤推定 / maximum likelihood / particle filter / state space model / stochastic volatility / fertilizer / agricultural finance / Laos / 農家 / マイクロデータ / 政策金融 / 肥料 / 農業金融 / ラオス / local government / probit model / overseas trainees / 質的選択モデル / 海外技術研修生 / 技術移転 / 仮説検定 / 競合リスクモデル / 非線形モデル / 生存分析 / 裾依存性 / Gaussian copula / Expected Shortfall / Value at Risk / 柔軟性 / 定常過程 / stochastic volatility model / Stochastic volatility model / シミュレーション / 線形状態空間モデル / volatility / 株価指数 / 計量経済学 / 回帰モデル / パトナイク近似 … More Except Principal Investigator GARCH / 非同時取引 / 資産収益率 / Realized Covariance / Realized Volatility / ARFIMA / 高頻度データ / Portfolio / behavioral finance / Interest rates / EGARCH / Stochastic Volatility / ジャンプ / カルマンフィルター / 債券価格 / dynamic factor model / ポートフォリオ / 行動ファイナンス / 金利 / Asymptotic Theory / Asymptotic Expansions / Small Sample Properties / Limited Information Maximum Likelihood Method / Empirical Likelihood Method / Generalized Method of Moments / Micro-econometrics / 制限情報最尤法 / 小標本・大標本理論 / マルコフ連鎖モンテカルロ法 / 制限情報尤法 / 一般化モーメント法 / 経験尤度法 / セミ・パラメトリック法 / ミクロ計量経済分析 / OLG model / asset price / 1and price / micro-foundation of macroeconomics / policy coordination / U.S. economy / Japanese economy / business cycle / 景気循環の実証分析 / ミクロ的基礎 / 景気循環の理論 / マクロ経済学のミクロ的基礎づけ / 重世代モデル / 資産価格 / 土地価格 / マクロ経済学のミクロ的基礎 / 政策協調 / アメリカ経済 / 日本経済 / 景気循環 / 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 / モンテカルロ積分 / カルマンフィルタ- / マルチファクタ-モデル / 単位根の検定 / 資本資産評価モデル(CAPM) / 現代投資理論 Less

相関反転可能で非対称なsplit-normalコピュラと金融危機・バブルの分析Principal Investigator
- Principal Investigator
  
  小林正人
- Project Period (FY)
  2020 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Meiji Gakuin University
  Yokohama National University
Testing for the dimension of the nonlinear state space model using particle filterPrincipal Investigator
- Principal Investigator
  
  Kobayashi Masahito
- Project Period (FY)
  2015 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Yokohama National University
New copula modesl for survival and ordered dataPrincipal Investigator
- Principal Investigator
  
  KOBAYASHI Masahito
- Project Period (FY)
  2012 – 2014
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Yokohama National University
Hypothesis testing of the dimension of state variables in the state space modelPrincipal Investigator
- Principal Investigator
  
  KOBAYASHI Masahito
- Project Period (FY)
  2009 – 2011
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Yokohama National 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
data collection and analysis of the effect of agricultural loan for poor farmers in Lao sPrincipal Investigator
- Principal Investigator
  
  KOBAYASHI Masahito
- Project Period (FY)
  2005 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Yokohama National University
Statistical Analysis and Modeling of the Characteristics of the Term Structure and Interest Rates.
- Principal Investigator
  
  KURASAWA Motonari
- Project Period (FY)
  2005 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Yokohama National University
Theory and Applications of Micro-econometrics
- Principal Investigator
  
  KUNITOMO Naoto
- Project Period (FY)
  2003 – 2004
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
Effect of Overseas Trainees on Technology TransferPrincipal Investigator
- Principal Investigator
  
  KOBAYASHI Masahito
- Project Period (FY)
  1998 – 2000
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  経済政策(含経済事情)
- Research Institution
  Yokohama National University
カルマンフィルターの計量経済分析への応用Principal Investigator
- Principal Investigator
  
  小林正人
- Project Period (FY)
  1993 – 1994
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Economic statistics
- Research Institution
  Yokohama National University
Theoretical and Empirical Analysis of Business Cycles in Japanese and U.S. Economies
- Principal Investigator
  
  KODA Keiichi
- Project Period (FY)
  1991 – 1992
- Research Category
  
  Grant-in-Aid for General Scientific Research (B)
- Research Field
  
  一般理論
- Research Institution
  Yokohama National University
株式・債券市場における計量経済学的分析
- Principal Investigator
  
  和合肇
- Project Period (FY)
  1990
- Research Category
  
  Grant-in-Aid for Co-operative Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  University of Toyama

All 2022 2017 2009 2007 2006 2005 Other

All Journal Article Presentation

[Journal Article] Analyzing the EU sovereign debt crisis by a new asymmetric copula with reversible correlations2022
- Author(s)
  Kobayashi Masahito、Chen Jinghui
- Journal Title
  
  Applied Economics
  
  Volume: 54 Issue: 56 Pages: 6497-6509
- DOI
  10.1080/00036846.2022.2069672
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K01588
[Journal Article] Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models,2017
- Author(s)
  Chen, J., Kobayashi, M. and McAleer, M.
- Journal Title
  
  Journal of the Japan Statistical Socienty
  
  Volume: 47 Pages: 13-36
- NAID
  130006292364
- Peer Reviewed / Acknowledgement Compliant / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03394
[Journal Article] Testing the Sequential Logit Model Against the Nested Logit Model2009
- Author(s)
  Daisuke Nagakura, Masahito Kobayashi
- Journal Title
  
  Japanese Economic Review (近刊)(in press)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Testing for Volatility Jumps in the Stochastic Volatility Process2006
- Author(s)
  Masahito Kobayashi
- Journal Title
  
  Asia-Pacific Financial Markets 12
  
  Pages: 143-157
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17530239
[Journal Article] Testing for Volatility Jumps in the Stochastic Volatility process2006
- Author(s)
  Masahito, Kobayashi
- Journal Title
  
  Asia-Pacific Financial Markets(peer reviewed) Vol.12
  
  Pages: 143-157
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17530239
[Journal Article] Testing for Volatility Jumps in the Stochastic Volatility Process2006
- Author(s)
  Masahito Kobayashi
- Journal Title
  
  Asia-Pacific Financial Markets Vol.12, No.2
  
  Pages: 143-157
- Data Source
  KAKENHI-PROJECT-17530239
[Journal Article] Dirac's Delta Function and Tests for Jumps in Returns and Volatility of Stochastic Volatility Models2005
- Author(s)
  Masahito Kobayashi
- Journal Title
  
  (京都の経済学会で発表予定)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Dirac's Delta Function and Tests for Jumps in Returns and Volatility of Stochastic Volatility Models2005
- Author(s)
  Masahito Kobayashi
- Journal Title
  
  (Unpublished Manuscript)
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Testing for GARCH against Jump-GARCH Models2005
- Author(s)
  Xiuhong Shi, Masahito Kobayashi
- Journal Title
  
  (京都の経済学会で発表予定)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Testing for EGARCH Against Stochastic Volatility Models2005
- Author(s)
  Masahito, Kobayashi
- Journal Title
  
  Journal of Time Series Analysis(peer reviewed) Vol.26
  
  Pages: 135-150
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17530239
[Journal Article] Testing for EGARCH Against Stochastic Volatility Models2005
- Author(s)
  Masahito Kobayashi
- Journal Title
  
  Journal of Time Series Analysis 26
  
  Pages: 135-150
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17530239
[Journal Article] Testing for GARCH against Jump-GARCH Models2005
- Author(s)
  Xiuhong Shi, Masahito Kobayashi
- Journal Title
  
  Unpublished Manuscript
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Dirac's Delta Function and Tests for Jumps in Returns and Volatility of Stochastic Volatility Models2005
- Author(s)
  Masahito Kobayashi
- Journal Title
  
  京都の経済学会で発表予定 (発表予定)
- Data Source
  KAKENHI-PROJECT-15530138
[Journal Article] Testing for GARCH against Jump-GARCH Models2005
- Author(s)
  Xiuhong Shi, Masahito Kobayashi
- Journal Title
  
  京都の経済学会で発表予定 (発表予定)
- Data Source
  KAKENHI-PROJECT-15530138
[Presentation] Testing for a Dynamic Single-Factor Model2007
- Author(s)
  小林正人
- Organizer
  International Congress on Modelling and Simulation
- Place of Presentation
  University of Canterbury (ニュージーランド)
- Year and Date
  2007-12-12
- Data Source
  KAKENHI-PROJECT-17530239
[Presentation] Testing for Jumps in the EGARCH Process2007
- Author(s)
  小林正人
- Organizer
  the International Workshop on Quantitative Finance and Risk
- Place of Presentation
  中興大学(台湾)
- Year and Date
  2007-07-15
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17530239
[Presentation] Testing for jumps in the EGARCH process2007
- Author(s)
  Masahito Kobayashi
- Organizer
  the International Workshop on Quantitative Finance and Risk
- Place of Presentation
  中興大学
- Year and Date
  2007-07-15
- Data Source
  KAKENHI-PROJECT-18303901
[Presentation] Testing for a Dynamic Single-Factor Model2007
- Author(s)
  M, Kobayashi
- Organizer
  International Congress on Modelling and Simulation
- Place of Presentation
  University of Canterbury(Christchurch)
- Year and Date
  2007-12-12
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17530239
[Presentation] Testing for a Dynamic Single-Factor Model2007
- Author(s)
  Masahito Kobayashi
- Organizer
  International Congress on Modelling and Simulation
- Place of Presentation
  University of Canterbury
- Year and Date
  2007-12-12
- Data Source
  KAKENHI-PROJECT-18303901
[Presentation] Testing for Jumps in the EGARCH Process2007
- Author(s)
  M, Kobayashi
- Organizer
  The International Workshop on Quantitative Finance and Risk
- Place of Presentation
  Zhongxin University
- Year and Date
  2007-07-15
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17530239
[Presentation] :Testing for jumps in the EGARCH process2007
- Author(s)
  小林正人
- Organizer
  the International Workshop on Quantitative Finance and Risk
- Place of Presentation
  中興大学(台湾)
- Year and Date
  2007-07-15
- Data Source
  KAKENHI-PROJECT-17530239
[Presentation] Testing for a Dynamic Single-Factor Model2007
- Author(s)
  小林正人
- Organizer
  International Congress on Modelling and Simulation
- Place of Presentation
  University of Canterbury(ニュージーランド)
- Year and Date
  2007-12-12
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17530239
[Presentation] Testing for the Single Risk against Dependent Competing Risk Duration Model under the Proportional Hazard Assumption
- Author(s)
  小林正人
- Organizer
  関西計量経済学研究会
- Place of Presentation
  一橋大学
- Data Source
  KAKENHI-PROJECT-24530227

1. OMORI Yasuhiro (60251188)

# of Collaborated Projects: 4 results

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

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
3. SATOYOSHI Kiyotaka (10366510)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
4. KANOH Satoru (50114971)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
5. WATANABE Toshiaki (90254135)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
6. 和合肇 (00091934)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. 斯波恒正 (90187386)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
8. 米澤康博 (40175005)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. 内田善彦 (10403023)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. KODA Keiichi (60186616)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. FUKUDA Shin-ichi (00221531)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. AKIYAMA Taro (40167854)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. ASAKO Kazumi (60134194)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
14. OYA Nami (40305876)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
15. KUNITOMO Naoto (10153313)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
16. KURATA Hiroshi (50284237)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
17. YAMAZAKI Keiichi (10282948)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
18. KURASAWA Motonari (40018057)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
19. MORITA Hiroshi (70239664)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

KOBAYASHI MASAHITO 小林 正人

小林 正人 コバヤシ マサヒト

KOBAYASHI Masato 小林 正人

KOBAYASHI Masahito 小林 正人

Research Projects

Research Products

Co-Researchers

相関反転可能で非対称なsplit-normalコピュラと金融危機・バブルの分析Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Testing for the dimension of the nonlinear state space model using particle filterPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

New copula modesl for survival and ordered dataPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Hypothesis testing of the dimension of state variables in the state space modelPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Econometric Analysis of Securities Markets in Japan Using High-frequency Data

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

高頻度データを用いた日本の証券市場の計量分析

Principal Investigator

Project Period (FY)

Research Institution

data collection and analysis of the effect of agricultural loan for poor farmers in Lao sPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Statistical Analysis and Modeling of the Characteristics of the Term Structure and Interest Rates.

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Theory and Applications of Micro-econometrics

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Effect of Overseas Trainees on Technology TransferPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

カルマンフィルターの計量経済分析への応用Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Theoretical and Empirical Analysis of Business Cycles in Japanese and U.S. Economies

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

株式・債券市場における計量経済学的分析

Principal Investigator

Project Period (FY)

KOBAYASHI MASAHITO 小林正人

小林正人コバヤシマサヒト

KOBAYASHI Masato 小林正人

KOBAYASHI Masahito 小林正人