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Koike Yuta  小池 祐太

ORCIDConnect your ORCID iD *help
Researcher Number 80745290
Affiliation (Current) 2020: 東京大学, 大学院数理科学研究科, 准教授
Affiliation (based on the past Project Information) *help 2017 – 2020: 東京大学, 大学院数理科学研究科, 准教授
2016 – 2017: 首都大学東京, 社会科学研究科, 助教
Review Section/Research Field
Principal Investigator
Economic statistics / Basic Section 07030:Economic statistics-related
Except Principal Investigator
Foundations of mathematics/Applied mathematics / Basic Section 07030:Economic statistics-related
Keywords
Principal Investigator
高頻度データ / リード・ラグ効果 / マーケット・マイクロストラクチャー / 漸近理論 / 非同期観測 / マイクロストラクチャーノイズ / 経済統計学 / リード・ラグ / 高次元共分散推定 / Malliavin解析 … More / graphical Lasso / 高次元データ / スマートベータ / 共分散行列推定 … More
Except Principal Investigator
高頻度データ / 保険数理 / 統計数学 / 確率過程 / 計算統計 / 数理統計学 / 先行遅行分析 / ウェーブレット解析 / ある点過程の周辺尤度解析とモデル選択 / 確率微分方程式による死亡率予測モデリング / 高次元共分散推定 / ジャンプ型拡散過程 / 初期到達分布 / 漸近理論 / ジャンプ型確率過程 / 経済統計学 / 計量ファイナンス / リスク管理 / バックテスト / 接合関数 Less
  • Research Projects

    (4 results)
  • Research Products

    (81 results)
  • Co-Researchers

    (5 People)
  •  Statistical analysis of high-dimensional high-frequency dataPrincipal InvestigatorOngoing

    • Principal Investigator
      小池 祐太
    • Project Period (FY)
      2019 – 2021
    • Research Category
      Grant-in-Aid for Early-Career Scientists
    • Review Section
      Basic Section 07030:Economic statistics-related
    • Research Institution
      The University of Tokyo
  •  New developments of statistical methods for risk management in finance and insuranceOngoing

    • Principal Investigator
      塚原 英敦
    • Project Period (FY)
      2018 – 2020
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Review Section
      Basic Section 07030:Economic statistics-related
    • Research Institution
      Seijo University
  •  確率微分方程式モデルに基づく数理・データ科学とシミュレーション科学の融合的研究Ongoing

    • Principal Investigator
      内田 雅之
    • Project Period (FY)
      2017 – 2021
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Foundations of mathematics/Applied mathematics
    • Research Institution
      Osaka University
  •  Statistical analysis of price discovery: a stochastic process approachPrincipal Investigator

    • Principal Investigator
      Koike Yuta
    • Project Period (FY)
      2016 – 2018
    • Research Category
      Grant-in-Aid for Young Scientists (B)
    • Research Field
      Economic statistics
    • Research Institution
      The University of Tokyo
      Tokyo Metropolitan University

All 2020 2019 2018 2017 2016

All Journal Article Presentation

  • [Journal Article] De-biased graphical Lasso for high-frequency data2020

    • Author(s)
      Yuta Koike
    • Journal Title

      Entropy

      Volume: 22 Pages: 1-38

    • DOI

      10.3390/e22040456

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-19K13668, KAKENHI-PROJECT-17H01100
  • [Journal Article] No arbitrage and lead-lag relationships2019

    • Author(s)
      Takaki Hayashi and Yuta Koike
    • Journal Title

      Statistics & Probability Letters

      Volume: 154 Pages: 108530-108530

    • DOI

      10.1016/j.spl.2019.06.006

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-16K03601
  • [Journal Article] Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data2019

    • Author(s)
      Yuta Koike
    • Journal Title

      The Annals of Statistics

      Volume: 4 Pages: 1663-1687

    • DOI

      10.1214/18-aos1731

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-16K17105
  • [Journal Article] Mixed-normal limit theorems for multiple Skorohod integrals in high-dimensions, with application to realized covariance2019

    • Author(s)
      Yuta Koike
    • Journal Title

      Electronic Journal of Statistics

      Volume: 13 Pages: 1443-1522

    • DOI

      10.1214/19-ejs1553

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-16K17105, KAKENHI-PROJECT-18H00836
  • [Journal Article] Wavelet-based methods for high-frequency lead-lag analysis2018

    • Author(s)
      Takaki Hayashi and Yuta Koike
    • Journal Title

      SIAM Journal on Financial Mathematics

      Volume: 9 Pages: 1208-1248

    • Peer Reviewed / Open Access
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Journal Article] Asymptotic properties of the realized skewness and related statistics2018

    • Author(s)
      Koike Yuta、Liu Zhi
    • Journal Title

      Annals of the Institute of Statistical Mathematics

      Volume: 印刷中

    • DOI

      10.1007/s10463-018-0659-8

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105, KAKENHI-PROJECT-17H01100
  • [Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

    • Author(s)
      Yuta Koike
    • Organizer
      62nd ISI World Statistics Congress
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] 高次元共分散行列推定に基づく最小分散ポートフォリオのパフォーマンス比較2019

    • Author(s)
      小池祐太
    • Organizer
      科研費 計量ファイナンス研究集会
    • Invited
    • Data Source
      KAKENHI-PROJECT-19K13668
  • [Presentation] De-biased graphical Lasso for high-frequency data2019

    • Author(s)
      Yuta Koike
    • Organizer
      CMStatistics 2019
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

    • Author(s)
      Yuta Koike
    • Organizer
      The 62nd ISI World Statistics Congress 2019 (ISI-WSC 2019)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K13668
  • [Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

    • Author(s)
      Yuta Koike
    • Organizer
      The 11th ICSA International Conference
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K13668
  • [Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

    • Author(s)
      Yuta Koike
    • Organizer
      The 3rd KAFE-JAFEE International Conference on Financial Engineering
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] High-dimensional covariance estimation in YUIMA package2019

    • Author(s)
      Yuta Koike
    • Organizer
      The 2nd YUIMA Conference
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

    • Author(s)
      Yuta Koike
    • Organizer
      The 3rd KAFE-JAFEE International Conference on Financial Engineering
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K13668
  • [Presentation] 高頻度データにおける高次元共分散行列の統計推測2019

    • Author(s)
      小池祐太
    • Organizer
      データサイエンス・福島キャンプ2019
    • Invited
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

    • Author(s)
      Yuta Koike
    • Organizer
      The 3rd KAFE-JAFEE International Conference on Financial Engineering
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] 高頻度データにおける高次元共分散行列の統計推測2019

    • Author(s)
      小池祐太
    • Organizer
      データサイエンス・福島キャンプ2019
    • Invited
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

    • Author(s)
      Yuta Koike
    • Organizer
      The 11th ICSA International Conference
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

    • Author(s)
      Yuta Koike
    • Organizer
      The 11th ICSA International Conference
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] De-biasing the graphical Lasso in high-frequency data2019

    • Author(s)
      Yuta Koike
    • Organizer
      ASC 2018: Asymptotic Statistics and Computations
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] De-biasing the graphical Lasso in high-frequency data2019

    • Author(s)
      Yuta Koike
    • Organizer
      ASC 2018: Asymptotic Statistics and Computations
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] De-biased graphical Lasso for high-frequency data2019

    • Author(s)
      Yuta Koike
    • Organizer
      12th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2019)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] De-biased graphical Lasso for high-frequency data2019

    • Author(s)
      Yuta Koike
    • Organizer
      CMStatistics 2019
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-19K13668
  • [Presentation] On implementation of high-dimensional covariance estimation in YUIMA package2019

    • Author(s)
      Yuta Koike
    • Organizer
      4th Yuima Users Workshop
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

    • Author(s)
      Yuta Koike
    • Organizer
      The 62nd ISI World Statistics Congress 2019 (ISI-WSC 2019)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] 高次元共分散行列推定に基づく最小分散ポートフォリオのパフォーマンス比較2019

    • Author(s)
      小池祐太
    • Organizer
      科研費計量ファイナンス研究集会
    • Invited
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data2018

    • Author(s)
      Yuta Koike
    • Organizer
      10th World Congress of the Bachelier Finance Society
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] 高次元高頻度データにおける共分散行列の統計推測2018

    • Author(s)
      小池祐太
    • Organizer
      第六回数理ファイナンス合宿型セミナー
    • Invited
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data2018

    • Author(s)
      Yuta Koike
    • Organizer
      10th World Congress of the Bachelier Finance Society
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] 高頻度金融市場におけるリード・ラグ関係の多時間スケール解析2018

    • Author(s)
      小池祐太
    • Organizer
      2018 年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題2018」
    • Invited
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] 高次元高頻度データを用いた最小分散ポートフォリオの推定2018

    • Author(s)
      小池祐太
    • Organizer
      統計数理研究所リスク解析戦略研究センター第6 回金融シンポジウム「金融が直面する新環境への対 応と方法論」
    • Invited
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Testing the absence of lead-lag effects in high-frequency data2018

    • Author(s)
      Yuta Koike
    • Organizer
      EcoSta 2018
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2018

    • Author(s)
      Yuta Koike
    • Organizer
      IMS-APRM 2018
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] On the asymptotic structure of Brownian motions with a small lead-lag effect2018

    • Author(s)
      小池祐太
    • Organizer
      2018 年度統計関連学会連合大会
    • Invited
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data2018

    • Author(s)
      Yuta Koike
    • Organizer
      2018 Kagawa International Symposium “Recent Developments in Statistics and Econometrics”
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] 高頻度金融市場におけるリード・ラグ関係の多時間スケール解析2018

    • Author(s)
      小池祐太
    • Organizer
      2018 年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題2018」
    • Invited
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] 高頻度金融市場におけるリード・ラグ関係の多時間スケール解析2018

    • Author(s)
      小池祐太
    • Organizer
      2018年度中之島ワークショップ
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] 高次元高頻度データを用いた最小分散ポートフォリオの推定2018

    • Author(s)
      小池祐太
    • Organizer
      統計数理研究所リスク解析戦略研究センター第6回金融シンポジウム「金融が直面する新環境への対応と方法論」
    • Invited
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2018

    • Author(s)
      小池祐太
    • Organizer
      2018 年度統計関連学会連合大会
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Testing the residual sparsity of a high-dimensional continuous-time factor model2018

    • Author(s)
      Yuta Koike
    • Organizer
      CEQURA Conference 2018 on Advances in Financial and Insurance Risk Management
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] Testing the absence of lead-lag effects in high-frequency data2018

    • Author(s)
      Yuta Koike
    • Organizer
      EcoSta 2018
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Multi-scale analysis of lead-lag relationships in high-frequency financial markets2018

    • Author(s)
      Yuta Koike
    • Organizer
      ASC 2018: Asymptotic Statistics and Computations
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Lead-lag Analysis in YUIMA package2018

    • Author(s)
      Yuta Koike
    • Organizer
      Computational Aspects of Simulation and Inference for Stochastic Processes and the YUIMA Project
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2018

    • Author(s)
      Yuta Koike
    • Organizer
      IMS-APRM 2018
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] Testing the residual sparsity of a high-dimensional continuous-time factor model2018

    • Author(s)
      Yuta Koike
    • Organizer
      CEQURA Conference 2018
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Testing the residual sparsity of a high-dimensional continuous-time factor model2018

    • Author(s)
      Yuta Koike
    • Organizer
      11th International Conference of the ERCIM WG on CMStatistics 2018
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] On the asymptotic structure of Brownian motions with a small lead-lag effect2018

    • Author(s)
      小池祐太
    • Organizer
      2018 年度統計関連学会連合大会
    • Invited
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] Testing the absence of lead-lag effects in high-frequency data2018

    • Author(s)
      Yuta Koike
    • Organizer
      EcoSta 2018
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Testing the residual sparsity of a high-dimensional continuous-time factor model2018

    • Author(s)
      Yuta Koike
    • Organizer
      CMStatistics 2018
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] On the asymptotic structure of Brownian motions with a small lead-lag effect2018

    • Author(s)
      小池祐太
    • Organizer
      2018年度統計関連学会連合大会
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data2018

    • Author(s)
      Yuta Koike
    • Organizer
      10th World Congress of the Bachelier Finance Society
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18H00836
  • [Presentation] 高頻度データ解析に現れる最大値統計量の分布のGauss 型近似について2017

    • Author(s)
      小池祐太
    • Organizer
      大規模統計モデリングと計算統計IV
    • Invited
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Lead-lag analysis of non-synchronously observed time series with R2017

    • Author(s)
      Yuta Koike
    • Organizer
      CMStatistics 2017
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Webデータと高頻度データ解析2017

    • Author(s)
      小池祐太
    • Organizer
      統計サマーセミナー2017
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Capturing heterogeneous lead-lag relationships from ultra high frequency data2017

    • Author(s)
      Yuta Koike
    • Organizer
      EcoSta 2017
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Capturing heterogeneous lead-lag relationships from ultra high frequency data (ポスター)2017

    • Author(s)
      Yuta Koike
    • Organizer
      SoFiE 2017
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] On the asymptotic structure of Brownian motions with a small lead-lag effect2017

    • Author(s)
      Yuta Koike
    • Organizer
      Asymptotic Statistics of Stochastic Processes and Applications XI
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] 高頻度データにおけるリード・ラグ効果のウェーブレット解析2017

    • Author(s)
      小池祐太
    • Organizer
      応用統計ワークショップ
    • Place of Presentation
      東京大学本郷キャンパス
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Lead-lag analysis of non-synchronously observed time series with R2017

    • Author(s)
      小池祐太
    • Organizer
      2017 年度統計関連学会連合大会
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Lead-lag analysis of non-synchronously observed time series with R2017

    • Author(s)
      小池祐太
    • Organizer
      2017 年度統計関連学会連合大会(英語セッション)
    • Invited
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Wavelet-based methods for high-frequency lead-lag analysis2017

    • Author(s)
      Yuta Koike
    • Organizer
      IAAE 2017
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Wiener 汎関数べクトルの最大値のGauss 型近似とその高頻度データ解析への応用2017

    • Author(s)
      小池祐太
    • Organizer
      大阪大学確率論セミナー
    • Invited
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Capturing heterogeneous lead-lag effects from ultra high frequency data2017

    • Author(s)
      Yuta Koike
    • Organizer
      ASC2017
    • Place of Presentation
      東京大学駒場キャンパス
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Lead-lag analysis of non-synchronously observed time series with R2017

    • Author(s)
      Yuta Koike
    • Organizer
      CMStatistics 2017
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Capturing heterogeneous lead-lag relationships from ultra high frequency data2017

    • Author(s)
      Yuta Koike
    • Organizer
      EcoSta 2017
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Capturing heterogeneous lead-lag relationships from ultra high frequency data2017

    • Author(s)
      Yuta Koike
    • Organizer
      SoFiE 2017
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Wavelet-based methods for high-frequency lead-lag analysis2017

    • Author(s)
      Yuta Koike
    • Organizer
      IAAE 2017
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Testing the absence of lead-lag effects in high-frequency data2017

    • Author(s)
      Yuta Koike
    • Organizer
      TMU Workshop on Finance 2017
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-17H01100
  • [Presentation] Web データと高頻度データ解析2017

    • Author(s)
      小池祐太
    • Organizer
      統計サマーセミナー 2017
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] On the asymptotic structure of Brownian motions with a small lead-lag effect2017

    • Author(s)
      Yuta Koike
    • Organizer
      Asymptotic Statistics of Stochastic Processes and Applications XI
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Inference for time-varying lead-lag relationships from ultra high frequency data2017

    • Author(s)
      Yuta Koike
    • Organizer
      FST seminar
    • Place of Presentation
      University of Macau
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Statistical analysis of price discovery: a stochastic process approach2016

    • Author(s)
      Yuta Koike
    • Organizer
      IMS-APRM2016
    • Place of Presentation
      The Chinese University of Hong Kong
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Statistical lead-lag effects2016

    • Author(s)
      Yuta Koike
    • Organizer
      TMU Workshop on Financial Mathematics and Statistics 2016
    • Place of Presentation
      Tokyo Metropolitan University
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Time varying lead-lag effect2016

    • Author(s)
      Yuta Koike
    • Organizer
      CFE-CMStatistics 2016
    • Place of Presentation
      University of Seville
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Wavelet-based methods for high-frequency lead-lag analysis2016

    • Author(s)
      Yuta Koike
    • Organizer
      Stochastic Analysis and Statistics 4
    • Place of Presentation
      東京大学駒場キャンパス
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] 超高頻度データに対するリード・ラグ効果の推定について2016

    • Author(s)
      小池祐太
    • Organizer
      慶應義塾大学経済研究所計量経済学ワークショップ
    • Place of Presentation
      慶應義塾大学三田キャンパス
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] リードラグ効果のウェーブレット解析2016

    • Author(s)
      小池祐太
    • Organizer
      大規模統計モデリングと計算統計III
    • Place of Presentation
      東京大学駒場キャンパス
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] 高頻度時系列データに対するリード・ラグ効果の統計解析2016

    • Author(s)
      小池祐太
    • Organizer
      2016年度統計関連学会連合大会
    • Place of Presentation
      金沢大学角間キャンパス
    • Invited
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] 統計的リード・ラグ効果2016

    • Author(s)
      小池祐太
    • Organizer
      高精度情報抽出のための統計理論・方法論とその応用
    • Place of Presentation
      九州大学伊都キャンパス
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Quadratic Variation Estimation of an Irregularly Observed Semimartingale with Jumps and Noise2016

    • Author(s)
      Yuta Koike
    • Organizer
      Wakimoto Memorial Session 2016
    • Place of Presentation
      Statistical training center
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • [Presentation] Statistical lead-lag effects2016

    • Author(s)
      Yuta Koike
    • Organizer
      Portfolio dynamics and limit order books
    • Place of Presentation
      Ecole CentraleSupelec
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-16K17105
  • 1.  清水 泰隆 (70423085)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 2.  内田 雅之 (70280526)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 3.  林 高樹 (80420826)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 2 results
  • 4.  塚原 英敦 (10282550)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 5.  川崎 能典 (70249910)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results

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