ISHIHARA Tsunehiro 石原庸博

… Alternative Names

Ishihara Tsunehiro 石原庸博

Less

Researcher Number	60609072
Other IDs
Affiliation (Current)	2025: 高崎経済大学, 経済学部, 准教授
Affiliation (based on the past Project Information) *help	2020 – 2024: 高崎経済大学, 経済学部, 准教授 2018 – 2021: 大阪経済大学, 経営学部, 講師 2017: 大阪大学, 金融保険センター, 講師 2015: 大阪大学, 数理・データ科学教育研究センター, 特任講師(常勤) 2015: 大阪大学, 金融・保険教育研究センター, 講師 … More 2015: 大阪大学, 金融保険センター, 講師 2015: 大阪大学, データ科学教育研究センター, 特任講師 2013 – 2014: 一橋大学, 経済学研究科(研究院), 講師 2012 – 2014: 一橋大学, 大学院経済学研究科, 講師 Less
Review Section/Research Field	Principal Investigator Economic statistics Except Principal Investigator Economic statistics / Medium-sized Section 7:Economics, business administration, and related fields / Basic Section 07050:Public economics and labor economics-related
Keywords	Principal Investigator ボラティリティモデル / ベイズ統計分析 / ボラティリティ変動モデル / 実現ボラティリティ / 構造変化 / 確率的ボラティリティ変動モデル / ベイズデータ解析 / 計量ファイナンス Except Principal Investigator マルコフ連鎖モンテカルロ法 / 確率的ボラティリティ … More / ベイズ統計学 / 高頻度データ / 潜在変数 / 確率的ボラティリティ変動モデル / ボラティリティ / 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 / ベイズ推定 / 高次元データ / 統計的学習 / 非線形計量経済モデル / 介護保険制度 / 介護現場 / 介護サービスの供給 / 就業形態 / コロナ禍 / 効率性 / 介護施設 / 介護保険 / 介護サービスの供給構造 / 家庭内介護 / 公的介護保険 / 介護従事者 / 介護サービス / 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 / 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 / 統計数学 / 経済統計学 / ベイズ統計 / 倒産確率 / 時系列 / ﾌﾗｸｼｮﾅﾙ・ﾌﾞﾗｳﾝ運動 / フラクショナル・ブラウン運動 / 統合リスク管理 / 統合的リスク管理（ERM） / 総合的リスク管理(ERM) / ビッグデータ / 構造変化 / コピュラ / 計量的リスク管理 / 統合的リスク管理 / 計量経済学 / 金融工学 Less

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
Research on the Supply Structure of Long-Term Care Service under the Long-Term Care Insurance System
- Principal Investigator
  
  NAKAMURA Jiro
- Project Period (FY)
  2020 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07050:Public economics and labor economics-related
- Research Institution
  Nihon University
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
A study on the volatility dynamics and trading system structural changes using high frequency data.Principal Investigator
- Principal Investigator
  
  Ishihara Tsunehiro
- Project Period (FY)
  2014 – 2015
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
  Hitotsubashi University
Bayesian econometric analysis of high-dimensional data
- Principal Investigator
  
  KOZUMI Hideo
- Project Period (FY)
  2013 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Kwansei Gakuin University
  Kobe University
Financial Engineering to ERM: Theoretical and Empirical Investigation
- Principal Investigator
  
  SHIBA Tsunemasa
- Project Period (FY)
  2012 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University

All 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014 2013 Other

All Journal Article Presentation

[Journal Article] A panel vector autoregression analysis for the dynamics of medical and long‐term care expenditures2023
- Author(s)
  Sugawara Shinya、Ishihara Tsunehiro、Kunisawa Susumu、Goto Etsu、Imanaka Yuichi
- Journal Title
  
  Health Economics
  
  Volume: 33 Issue: 4 Pages: 748-763
- DOI
  10.1002/hec.4794
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21K01548, KAKENHI-PROJECT-19H00588, KAKENHI-PROJECT-23H00448
[Journal Article] Realized Matrix Exponential Stochastic Volatility Model: Application to Market, Size, and Value Factor Realized Covariance2021
- Author(s)
  石原庸博
- Journal Title
  
  Journal of the Japan Statistical Society, Japanese Issue
  
  Volume: 51 Issue: 1 Pages: 1-39
- DOI
  10.11329/jjssj.51.1
- NAID
  130008088091
- ISSN
  0389-5602, 2189-1478
- Year and Date
  2021-09-15
- Language
  Japanese
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19H00588
[Journal Article] Portfolio optimization using dynamic factor and stochastic volatility: Evidence on fat-tailed error and leverage2017
- Author(s)
  Tsunehiro Ishihara and Yasuhiro Omori
- Journal Title
  
  Japanese Economic Review
  
  Volume: 68 Issue: 1 Pages: 63-94
- DOI
  10.1111/jere.12114
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028
[Journal Article] 景気循環の計量分析：サーベイと日本の景気動向指数への応用2016
- Author(s)
  石原庸博, 渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 154-158
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26780134
[Journal Article] 一般化したRealized Stochastic Volatility モデルの推定－Nikkei 225収益率・実現ボラティリティの暦効果への応用―2015
- Author(s)
  石原庸博
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 1-18
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245035
[Journal Article] 景気循環の計量分析：サーベイと日本の景気動向指数への応用2015
- Author(s)
  石原庸博, 渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 145-168
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] 景気循環の計量分析―サーベイと日本の景気動向指数への応用―2015
- Author(s)
  石原庸博　渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 1-27
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245035
[Journal Article] 一般化したRealized Stochastic Volatility モデルの推定－Nikkei 225収益率・実現ボラティリティの暦効果への応用―2015
- Author(s)
  石原庸博
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 1-18
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] 一般化したRealized Stochastic Volatility モデルの推定－Nikkei 225収益率・実現ボラティリティの暦効果への応用―2015
- Author(s)
  石原庸博
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 1-18
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-26780134
[Journal Article] 景気循環の計量分析―サーベイと日本の景気動向指数への応用―2015
- Author(s)
  石原庸博,　渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 145-168
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] 景気循環の計量分析―サーベイと日本の景気動向指数への応用―2015
- Author(s)
  石原庸博, 渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 145-168
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-26780134
[Journal Article] Matrix exponential stochastic volatility with cross leverage2015
- Author(s)
  Tsunehiro Ishihara, Yasuhiro Omori and Manabu Asai
- Journal Title
  
  Computational Statistics & Data Analysis
  
  Volume: 印刷中 Pages: 331-350
- DOI
  10.1016/j.csda.2014.10.012
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-24243031, KAKENHI-PROJECT-26780134, KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028
[Journal Article] 一般化したRealized Stochastic Volatility モデルの推定－Nikkei 225収益率・実現ボラティリティの暦効果への応用―2015
- Author(s)
  石原庸博
- Journal Title
  
  経済研究
  
  Volume: 66(1) Pages: 1-18
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] 景気循環の計量分析：サーベイと日本の景気動向指数への応用2015
- Author(s)
  石原庸博・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 145-158
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25245035
[Journal Article] 景気循環の計量分析―サーベイと日本の景気動向指数への応用―2015
- Author(s)
  石原庸博・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] 景気循環の計量分析：サーベイと日本の景気動向指数への応用2015
- Author(s)
  石原庸博・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 145-158
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] Matrix Exponential Stochastic Volatility with Cross Leverage2013
- Author(s)
  Tsunehiro Ishihara, Yasuhiro Omori, and Manabu Asai
- Journal Title
  
  Discussion paper series, CIRJE-F-904, Faculty of Economics, University of Tokyo
  
  Volume: -
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] A realized multi-factor regression model using multivariate realized stochastic volatility2023
- Author(s)
  Tsunehiro Ishihara
- Organizer
  17th International Conference on Computational and Financial Econometrics (CFE 2023)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] A realized multi-factor regression using a multivariate realized stochastic volatility model2023
- Author(s)
  Tsunehiro Ishihara
- Organizer
  Webinar of Bayesian Econometrics 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] A realized multi-factor regression using a multivariate realized stochastic volatility model2022
- Author(s)
  Tsunehiro Ishihara
- Organizer
  The 5th International Conference on Econometrics and Statistics (EcoSta 2022)
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] 実現共分散を組み込んだ行列指数多変量確率的ボラティリティ変動モデルのベイズ推定: マーケット・サイズ・バリューファクターへの応用2020
- Author(s)
  石原庸博
- Organizer
  慶應義塾大学　経済研究所　計量経済学ワークショップ
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized Stochastic Volatility Model with Multiple Different Realized Measurements2019
- Author(s)
  石原庸博
- 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] 内生変数のある確率的オフセット計数回帰モデル：入院総日数への応用2018
- Author(s)
  石原庸博
- Organizer
  2018年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized Stochastic Volatility Model with Multiple Different Realized Measures2016
- Author(s)
  Tsunehiro Ishihara
- Organizer
  4th Symposium on 'Financial Engineering and ERM'/ CFEE
- Place of Presentation
  一橋大学(東京都国立市)
- Year and Date
  2016-03-08
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26780134
[Presentation] Realized stochastic volatility model with multiple different realized measures2016
- Author(s)
  石原庸博
- Organizer
  4th Symposium on 'Financial Engineering and ERM'
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2016-03-08
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Realized Stochastic Volatility Model with Multiple Different Realized Measures2016
- Author(s)
  石原庸博
- Organizer
  4th Symposium on 'Financial Engineering and ERM'/ CFEE
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2016-03-08
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized Stochastic Volatility Model with Multiple Different Realized Measures2016
- Author(s)
  Tsunehiro Ishihara
- Organizer
  4th Symposium on 'Financial Engineering and ERM'
- Place of Presentation
  一橋大学(東京都国立市)
- Year and Date
  2016-03-08
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] A multivate realized stochastic volatility model: A matrix exponential specification2015
- Author(s)
  石原庸博
- Organizer
  Recent Developments on Bayesian Econometric Methods and Applications
- Place of Presentation
  東京大学(東京都文京区)
- Year and Date
  2015-02-08
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Realized stochastic volatility model with multiple different realized measures2015
- Author(s)
  石原庸博
- 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-25245035
[Presentation] Matrix exponential realized stochastic volatility model2015
- Author(s)
  石原庸博・大森裕浩
- Organizer
  Hitotsubashi Summer Institute Workshop “Frontiers in Financial Econometrics”
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2015-08-05
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Matrix Exponential Realized Stochastic Volatility Model2015
- Author(s)
  Tsunehiro Ishihara
- Organizer
  HSI Workshop “Frontiers in Financial Econometrics”
- Place of Presentation
  一橋大学(東京都国立市)
- Year and Date
  2015-08-05
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Realized Stochastic Volatility Model with Multiple Realized Measures2015
- Author(s)
  Tsunehiro Ishihara
- Organizer
  9th International Conference on Computational and Financial Econometrics (CFE 2015)
- Place of Presentation
  ロンドン(イギリス)
- Year and Date
  2015-12-13
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Multivariate realized stochastic volatility model with leverage effects2015
- Author(s)
  石原庸博・大森裕浩
- Organizer
  一橋大学金融工学教育センター第3回研究集会「金融工学からERMへ」
- Place of Presentation
  一橋大学(東京都国立市)
- Year and Date
  2015-03-05
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Matrix exponential realized stochastic volatility model2015
- Author(s)
  石原庸博・大森裕浩
- Organizer
  Hitotsubashi Summer Institute Workshop “Frontiers in Financial Econometrics”
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2015-08-05
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized Stochastic Volatility Model with Multiple Different Realized Measures2015
- Author(s)
  Tsunehiro Ishihara
- Organizer
  9th International Conference on Computational and Financial Econometrics (CFE 2015)
- Place of Presentation
  ロンドン大学(イギリス)
- Year and Date
  2015-12-13
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26780134
[Presentation] Multivariate realized stochastic volatility model with leverage effects2015
- Author(s)
  石原庸博・大森裕浩
- Organizer
  Recent Developments on Bayesian Econometric Methods and Applications
- Place of Presentation
  慶応大学（東京都港区）
- Year and Date
  2015-02-08
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Realized Stochastic Volatility モデルの多変量への拡張2015
- Author(s)
  石原庸博
- Organizer
  大規模統計モデリングと計算統計II
- Place of Presentation
  東京大学駒場キャンパス(東京都目黒区)
- Year and Date
  2015-09-25
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] A multivariate realized stochastic volatility model: A matrix exponential specification2015
- Author(s)
  Tsunehiro Ishihara
- Organizer
  Recent Developments on Bayesian Econometric Methods and Applications
- Place of Presentation
  慶應義塾大学(東京都港区)
- Year and Date
  2015-02-08
- Data Source
  KAKENHI-PROJECT-26780134
[Presentation] Multivariate realized stochastic volatility model: A matrix exponential specification2015
- Author(s)
  石原庸博・大森裕浩
- Organizer
  Recent Developments on Bayesian Econometric Methods and Applications
- Place of Presentation
  慶応大学（東京都港区）
- Year and Date
  2015-02-08
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] A multivariate realized stochastic volatility model with leverage effects2015
- Author(s)
  Tsunehiro Ishihara
- Organizer
  第3回研究集会「金融工学からERMへ」
- Place of Presentation
  一橋大学(東京都国立市)
- Year and Date
  2015-03-04
- Data Source
  KAKENHI-PROJECT-26780134
[Presentation] Multivariate realized stochastic volatility model with leverage effects2015
- Author(s)
  石原庸博・大森裕浩
- Organizer
  一橋大学金融工学教育センター第3回研究集会「金融工学からERMへ」
- Place of Presentation
  一橋大学(東京都国立市)
- Year and Date
  2015-03-04
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] A multivariate realized stochastic volatility model with leverage effects2015
- Author(s)
  Tsunehiro Ishihara
- Organizer
  3rd Symposium on 'Financial Engineering and ERM'
- Place of Presentation
  一橋大学(東京都国立市)
- Year and Date
  2015-03-04
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] A multivariate realized stochastic volatility model: A matrix exponential specification2015
- Author(s)
  Tsunehiro Ishihara
- Organizer
  Recent Developments on Bayesian Econometric Methods and Applications
- Place of Presentation
  慶應義塾大学(東京都港区)
- Year and Date
  2015-02-08
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Realized Stochastic Volatility モデルの多変量への拡張2015
- Author(s)
  石原庸博
- Organizer
  大規模統計モデリングと計算統計II
- Place of Presentation
  東京大学(東京都目黒区)
- Year and Date
  2015-09-25
- Data Source
  KAKENHI-PROJECT-26780134
[Presentation] Realized stochastic volatility モデルの多変量への拡張2015
- Author(s)
  石原庸博
- Organizer
  研究集会「大規模統計モデリングと計算統計II」
- Place of Presentation
  東京大学駒場キャンパス（東京都目黒区）
- Year and Date
  2015-09-25
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Realized Stochastic Volatility モデルの多変量への拡張2015
- Author(s)
  石原庸博，大森裕浩
- Organizer
  大規模統計モデリングと計算統計II
- Place of Presentation
  東京大学(東京都目黒区)
- Year and Date
  2015-09-25
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Matrix Exponential Realized Stochastic Volatility Model2015
- Author(s)
  Tsunehiro Ishihara
- Organizer
  HSI Workshop “Frontiers in Financial Econometrics”(国際学会)
- Place of Presentation
  一橋大学(東京都国立市)
- Year and Date
  2015-08-05
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26780134
[Presentation] 一般化Realized Stochastic Volatility モデルの推定と応用2014
- Author(s)
  石原庸博
- Organizer
  日本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-26780134
[Presentation] 一般化Realized Stochastic Volatility モデルの推定と応用,2014
- Author(s)
  石原庸博
- 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-25245035
[Presentation] Portfolio Optimization using Dynamic Factor and Stochastic Volatility: Evidence on Fat-tailed Error and Leverage2014
- Author(s)
  Tsunehiro Ishihara
- Organizer
  ISBA2014 world meeting
- Place of Presentation
  Cancun Convention Center (Cancun, Mexico)
- Year and Date
  2014-07-16
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Portfolio Optimization Using Dynamic Factor and Stochastic Volatility: Evidence on Fat-tailed Error and Leverage2014
- Author(s)
  Tsunehiro Ishihara, Yasuhiro Omori, Siddhartha Chib
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Portfolio optimization using dynamic factor and stochastic volatility: Evidence on fat-tailed error and leverage2014
- Author(s)
  石原庸博・大森裕浩・Siddartha Chib
- Organizer
  研究集会「第14回ノンパラメトリック統計解析とベイズ統計」
- Place of Presentation
  慶応大学（東京都港区）
- Year and Date
  2014-03-20
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] 一般化Realized Stochastic Volatility モデルの推定と応用2014
- Author(s)
  石原庸博
- 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-24243031
[Presentation] 一般化Realized Stochastic Volatility モデルの推定と応用2014
- Author(s)
  石原庸博
- 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
[Presentation] Portfolio Optimization Using Dynamic Factor and Stochastic Volatility: Evidence on Fat-tailed Error and Leverage2014
- Author(s)
  Tsunehiro Ishihara, Yasuhiro Omori, Siddhartha Chib
- Organizer
  第14 回ノンパラメトリック統計解析とベイズ統計
- Place of Presentation
  慶應義塾大学
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Portfolio Optimization using Dynamic Factor and Stochastic Volatility: Evidence on Fat-tailed Error and Leverage2014
- Author(s)
  石原庸博・大森裕浩・S. Chib
- Organizer
  ISBA 2014 World Meeting
- Place of Presentation
  Cancun center（カンクン・メキシコ）
- Year and Date
  2014-07-18
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] Portfolio Optimization using Dynamic Factor and Stochastic Volatility: Evidence on Fat-tailed Error and Leverage2014
- Author(s)
  Tsunehiro Ishihara
- Organizer
  ISBA2014 world meeting
- Place of Presentation
  Cancun Convention Center カンクン(メキシコ)
- Year and Date
  2014-07-16
- Data Source
  KAKENHI-PROJECT-26780134
[Presentation] Multivariate Realized Stochastic Volatility Model with Leverage2013
- Author(s)
  石原庸博, 大森裕浩
- Organizer
  計量経済分析の最近の展開
- Place of Presentation
  長崎県立大学佐世保校
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Multivariate Realized Stochastic Volatility Model with Leverage2013
- Author(s)
  石原庸博, 大森裕浩
- Organizer
  日本統計関連学会連合大会
- Place of Presentation
  大阪大学
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] A dynamic factor stochastic volatility model with leverage effect and its application2013
- Author(s)
  石原庸博・大森裕浩
- Organizer
  7th International Conference on Computational and Financial Econometrics (CFE2013)
- Place of Presentation
  Senate House, University of London（ロンドン・英国）
- Year and Date
  2013-12-15
- Data Source
  KAKENHI-PROJECT-25245035
[Presentation] A dynamic factor stochastic volatility model with leverage effect and its application2013
- Author(s)
  Tsunehiro Ishihara, Yasuhiro Omori
- Organizer
  The 7th International Conference on Computational and Financial Econometrics (CFE 2013)
- Place of Presentation
  London University, UK
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Portfolio Optimization using Dynamic Factor and Stochastic Volatility: Evidence on Fat-tailed Error and Leverage
- Author(s)
  Tsunehiro Ishihara, Yasuhiro Omori, and, Siddhartha Chib
- Organizer
  国際ベイズ分析学会世界大会（ISBA2014 world meeting）
- Place of Presentation
  Cancun center、カンクン、メキシコ
- Year and Date
  2014-07-14 – 2014-07-18
- Data Source
  KAKENHI-PROJECT-26245028

1. WATANABE Toshiaki (90254135)

# of Collaborated Projects: 4 results

# of Collaborated Products: 4 results
2. Omori Yasuhiro (60251188)

# of Collaborated Projects: 4 results

# of Collaborated Products: 11 results
3. 黒瀬雄大 (20713910)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
4. 高橋慎 (20723852)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
5. 國濱剛 (40779716)

# 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. 菅原慎矢 (30711379)

# of Collaborated Projects: 2 results

# of Collaborated Products: 1 results
8. 山内雄太 (00914160)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
9. SHIBA Tsunemasa (90187386)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. TANAKA Katsuto (40126595)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. ISHIMURA Naoyuki (80212934)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. HONDA Toshio (30261754)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. KUROZUMI Eiji (00332643)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
14. YAMAMOTO Yohei (80633916)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
15. YAMADA Masahiro (60732435)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
16. YAMADA Toshiro (50754701)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
17. SHIMOTSU Katsumi (50547510)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
18. TAKAHASHI Hajime (70154838)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
19. KARIYA Takeaki (70092624)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
20. FUJITA Takahiko (50144316)

# of Collaborated Projects: 1 results

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

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
22. NAKAMURA Jiro (30127112)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
23. 照井伸彦 (50207495)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
24. 各務和彦 (00456005)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
25. 宮脇幸治 (40550249)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
26. 筒井孝子 (20300923)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
27. 高橋雅生 (20864599)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
28. 神林龍 (40326004)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

ISHIHARA Tsunehiro 石原 庸博

Ishihara Tsunehiro 石原 庸博

Research Projects

Research Products

Co-Researchers

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

Research on the Supply Structure of Long-Term Care Service under the Long-Term Care Insurance System

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

A study on the volatility dynamics and trading system structural changes using high frequency data.Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Bayesian econometric analysis of high-dimensional data

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Financial Engineering to ERM: Theoretical and Empirical Investigation

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] A panel vector autoregression analysis for the dynamics of medical and long‐term care expenditures2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Realized Matrix Exponential Stochastic Volatility Model: Application to Market, Size, and Value Factor Realized Covariance2021

Author(s)

Journal Title

DOI

NAID

ISSN

Year and Date

Language

Data Source

[Journal Article] Portfolio optimization using dynamic factor and stochastic volatility: Evidence on fat-tailed error and leverage2017

Author(s)

Journal Title

DOI

Data Source

[Journal Article] 景気循環の計量分析：サーベイと日本の景気動向指数への応用2016

Author(s)

Journal Title

Data Source

[Journal Article] 一般化したRealized Stochastic Volatility モデルの推定－Nikkei 225収益率・実現ボラティリティの暦効果への応用―2015

Author(s)

Journal Title

Data Source

[Journal Article] 景気循環の計量分析：サーベイと日本の景気動向指数への応用2015

Author(s)

Journal Title

Data Source

[Journal Article] 景気循環の計量分析―サーベイと日本の景気動向指数への応用―2015

Author(s)

ISHIHARA Tsunehiro 石原庸博

Ishihara Tsunehiro 石原庸博