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SHIBA Tsunemasa  斯波 恒正

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… Alternative Names

斯波 恒正  シバ ツネマサ

斬波 恒正  シバ ツネマサ

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Researcher Number 90187386
Other IDs
External Links
Affiliation (based on the past Project Information) *help 2012 – 2015: 一橋大学, 大学院経済学研究科, 特任教授
2007 – 2008: Hitotsubashi University, 大学院・経済学研究科, 教授
2002 – 2004: 一橋大学, 大学院・経済学研究科, 教授
1996: 筑波大学, 社会工学系, 教授
1992 – 1993: 筑波大学, 社会工学系, 助教授
1990: University of Tsukuba, Institute of Socio-Economic Planning, Associate Professor, 社会工学系, 助教授
1987 – 1989: 富山大学, 経済学部, 助教授
Review Section/Research Field
Principal Investigator
Economic statistics / Economic statistics
Except Principal Investigator
Economic statistics / 統計学 / 林学
Keywords
Principal Investigator
計量経済学 / HJMモデル / ARIMAモデル / GARCHモデル / VARモデル / 金利モデル / ベイズ / マルコフ連鎖モンテカルロ法 / 分散不均一性 / MCMC … More / ホワイトのHCCM / 分散構造未知 / ベイズ計量経済学 / 分散推定 / 直交回帰説明変数 / 事前情報 / 収益率分散 / 金融工学 / 統合的リスク管理 / 計量的リスク管理 / コピュラ / 高頻度データ / 構造変化 / ビッグデータ / 総合的リスク管理(ERM) / 統合的リスク管理(ERM) / 統合リスク管理 / フラクショナル・ブラウン運動 / フラクショナル・ブラウン運動 / 時系列 / 倒産確率 … More
Except Principal Investigator
時系列分析 / 金融市場 / 日本経済 / ファイナンス / 非定常性 / Econometric Analysis / Finance / Time Series Analysis / 金融時系列 / 計量モデル / 時系列モデル / 計量経済モデル / 構造変化 / 現代投資理論 / 資本資産評価モデル(CAPM) / 単位根の検定 / マルチファクタ-モデル / カルマンフィルタ- / モンテカルロ積分 / 計量分析 / 株式収益率 / 因子モデル / カルマン・フィルタ- / 確率過程 / 時系列 / 非正規性 / Financial Market / Japanese Economy / Stock Returns / Factor Models / Kalman Filter / 計量経済分析 / 共和分関係 / 単位根検定 / スワップ契約 / 資産価格 / 資本市場 / 拡散過程 / 長記憶時系列 / フィルター理論 / オプション理論 / Non-stationarity / Co-integration / Unit Root Tests / Financial Time Series / Swap Contracts / Asset Prices / 森林経済学 / 木材貿易 / 環境政策 / 木材加工 / 日本市場 / 熱帯林経営 / 市場均衡モデル / 森林資源 / ラジアタパイン / ユ-カリ / 造林費 / 伐出費 / Forest Economics / Timber Trade / Environmental Policy / Lumber Processing / Japanese Market / Tropical Forests / Market Equilibrium Model / Econometric Model / 統計理論 / 数理ファイナンス / ウェーブレット / シミュレーション / 共和分 / 非定常VARモデル / MCMC手法 / 信用スプレッド / バリュー・アット・リスク / デリバティブ / Wald検定 / 裁定価格理論 / バリアー・オプション / 権利行使価格 / 漸近展開 / 長期因果性 / ワルド検定 / Time series analysis / Statistical theory / Mathematical finance / Structural change / Wavelet / Financial series / Simulation / 計量経済学 / 期待 / Econometrics / Structural Change / Econometric Theory / Expectation Less
  • Research Projects

    (9 results)
  • Research Products

    (14 results)
  • Co-Researchers

    (40 People)
  •  Financial Engineering to ERM: Theoretical and Empirical InvestigationPrincipal Investigator

    • 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
  •  Bayesian Estimation of Unknown Regression Error HeteroscedasticityPrincipal Investigator

    • Principal Investigator
      SHIBA Tsunemasa
    • Project Period (FY)
      2007 – 2008
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Economic statistics
    • Research Institution
      Hitotsubashi University
  •  Research on Statistical Theory and Time Series Analysis for Mathematical Finance

    • Principal Investigator
      YAMAMOTO Taku
    • Project Period (FY)
      2002 – 2004
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Economic statistics
    • Research Institution
      Hitotsubashi University
  •  HJMモデルなどによる金利の期間構造の推定Principal Investigator

    • Principal Investigator
      斯波 恒正
    • Project Period (FY)
      1996
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Economic statistics
    • Research Institution
      University of Tsukuba
  •  QUANTITATIVE ANALYSIS OF TIMBER TRADE AND FOREST PROTECTION

    • Principal Investigator
      YUKUTAKE Kiyoshi
    • Project Period (FY)
      1996 – 1998
    • Research Category
      Grant-in-Aid for international Scientific Research
    • Research Field
      林学
    • Research Institution
      Miyazaki University
  •  Econometric Methods for Financial Markets and Its Applications to Japanese Economy

    • Principal Investigator
      KUNITOMO Naoto
    • Project Period (FY)
      1992 – 1993
    • Research Category
      Grant-in-Aid for Co-operative Research (A)
    • Research Field
      Economic statistics
    • Research Institution
      Faculty of Economics, University of Tokyo
  •  株式・債券市場における計量経済学的分析

    • Principal Investigator
      WAGO Hajime
    • Project Period (FY)
      1990
    • Research Category
      Grant-in-Aid for Co-operative Research (A)
    • Research Field
      Economic statistics
    • Research Institution
      University of Toyama
  •  New Econometric Methods and Their Applications to Japanese Financial Markets

    • Principal Investigator
      KUNITOMO Naoto
    • Project Period (FY)
      1989 – 1990
    • Research Category
      Grant-in-Aid for Co-operative Research (A)
    • Research Field
      統計学
    • Research Institution
      University of Tokyo
  •  Theory of Structural Change and Japanese Economy

    • Principal Investigator
      YAMAMOTO Taku
    • Project Period (FY)
      1987 – 1988
    • Research Category
      Grant-in-Aid for Co-operative Research (A)
    • Research Field
      統計学
    • Research Institution
      University of Tsukuba
      Yokohama National University

All 2016 2015 2014 2012 2009 2008 2007 2006

All Journal Article Presentation Book

  • [Book] 『MBA・金融プロフェッショナルのためのファイナンスハンドブック』早稲田大学大学院ファイナンス研究科・早稲田大学ビジネススクール編2016

    • Author(s)
      蟻川靖浩,池田昌幸,宇野淳,大村敬一,川口有一郎,川本裕子,岸田雅雄,斯波恒正,柴崎暁,清水信匡,鈴木一功,首藤惠,竹原均,中里大輔,森平爽一郎,四塚利樹,米澤康博,渡辺裕泰
    • Total Pages
      212
    • Publisher
      中央経済社
    • Data Source
      KAKENHI-PROJECT-24243031
  • [Journal Article] DIRICHLET PRIOR FOR ESTIMATING UNKNOWN REGRESSION ERROR HETEROSKEDASTICITY2015

    • Author(s)
      Hiroaki Chigira and Tsunemasa Shiba
    • Journal Title

      Center for Financial Engineering Education Discussion Paper (Graduate School of Economics, Hitotsubashi University)

      Volume: - Pages: 1-17

    • NAID

      120006314390

    • Data Source
      KAKENHI-PROJECT-24243031
  • [Journal Article] ガウシアンコピュラの信用リスク管理への1応用について2014

    • Author(s)
      斯波恒正
    • Journal Title

      証券アナリストジャーナル

      Volume: 52 Pages: 10-22

    • Data Source
      KAKENHI-PROJECT-24243031
  • [Journal Article] Dirichlet Prior for Estimating Unknown Regression Error Heteroscedasticity2012

    • Author(s)
      Tsunemasa Shiba
    • Journal Title

      Global COE Hi-Stat Discussion Paper Series

      Volume: 248巻

    • Data Source
      KAKENHI-PROJECT-24243031
  • [Journal Article] Bayesian Estimation of Unknown Regression Error Hetero scedasticity2009

    • Author(s)
      Hiroaki Chigira, Tsunemasa Shiba
    • Journal Title

      CFEE Discussion Paper Series #2008-2

      Pages: 1-27

    • Data Source
      KAKENHI-PROJECT-19530178
  • [Journal Article] Bayesian Estimation of Unknown Regression Error Heteroscedasticity2009

    • Author(s)
      Hiroaki Chigira and Tsunemasa Shiba
    • Journal Title

      Institute of Economic Research, Hitotsubashi University #51

    • Data Source
      KAKENHI-PROJECT-19530178
  • [Journal Article] Bayesian Estimation of Unknown Regression Error Hetero scedasticity2009

    • Author(s)
      Hiroaki Chigira, Tsunemasa Shiba
    • Journal Title

      Global COE Hi-Stat Discussion Paper Series #051

      Pages: 1-27

    • Data Source
      KAKENHI-PROJECT-19530178
  • [Journal Article] Bayesian Estimation of Unknown Regression Error Heteroscedasticity2007

    • Author(s)
      Hiroaki Chigira and Tsunemasa Shiba
    • Journal Title

      Hi-Stat Discussion Paper #221

      Pages: 1-20

    • Data Source
      KAKENHI-PROJECT-19530178
  • [Journal Article] Bayesian Estimation of Unknown Regression Error Heteroscedasticity2007

    • Author(s)
      Hiroaki Chigira and Tsunemasa Shiba
    • Journal Title

      Institute of Economic Research, Hitotsubashi University No.221

    • Data Source
      KAKENHI-PROJECT-19530178
  • [Journal Article] Bayesian Estimation of Unknown Heteroscedastic Variances2006

    • Author(s)
      Hiroaki Chigira and Tsunemasa Shiba
    • Journal Title

      Institute of Economic Research, Hitotsubashi University No.185

    • Data Source
      KAKENHI-PROJECT-19530178
  • [Journal Article] 構造を仮定しない不均一分散の推定(注 : 創刊号の巻頭論文)2006

    • Author(s)
      千木良 弘朗, 斯波 恒正
    • Journal Title

      一橋経済学 1

      Pages: 1-13

    • Data Source
      KAKENHI-PROJECT-19530178
  • [Journal Article] 構造を仮定しない不均一分散の推定2006

    • Author(s)
      千木良弘, 朗斯波恒正
    • Journal Title

      一橋経済学 第1巻,第1号

      Pages: 1-13

    • NAID

      110007622480

    • Data Source
      KAKENHI-PROJECT-19530178
  • [Presentation] Bayesian Estimation of Unknown Regression Error Heteroscedasticity2008

    • Author(s)
      Tsunemasa Shiba
    • Organizer
      Far Eastern and South Asian Meeting of the Econometric Society
    • Place of Presentation
      Singapore Management University
    • Year and Date
      2008-07-17
    • Data Source
      KAKENHI-PROJECT-19530178
  • [Presentation] Far Eastern Econometric Society Meeting2008

    • Author(s)
      Hiroaki Chigira and Tsunemasa Shiba
    • Organizer
      Singapore Management University
    • Place of Presentation
      Singapore
    • Year and Date
      2008-07-17
    • Data Source
      KAKENHI-PROJECT-19530178
  • 1.  YAMAMOTO Taku (50104716)
    # of Collaborated Projects: 4 results
    # of Collaborated Products: 0 results
  • 2.  WAGO Hajime (00091934)
    # of Collaborated Projects: 4 results
    # of Collaborated Products: 0 results
  • 3.  KUNITOMO Naoto (10153313)
    # of Collaborated Projects: 3 results
    # of Collaborated Products: 0 results
  • 4.  TSUKUDA Yoshihiko (10091836)
    # of Collaborated Projects: 3 results
    # of Collaborated Products: 0 results
  • 5.  MORIMUNE Kimio (20109078)
    # of Collaborated Projects: 3 results
    # of Collaborated Products: 0 results
  • 6.  TANAKA Katsuto (40126595)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 7.  KUROZUMI Eiji (00332643)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 8.  TAKAHASHI Hajime (70154838)
    # of Collaborated Projects: 2 results
    # of Collaborated Products: 0 results
  • 9.  CHIGIRA Hiroaki (30447122)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 9 results
  • 10.  ISHIMURA Naoyuki (80212934)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 11.  HONDA Toshio (30261754)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 12.  YAMAMOTO Yohei (80633916)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 13.  ISHIHARA Tsunehiro (60609072)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 14.  YAMADA Masahiro (60732435)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 15.  YAMADA Toshiro (50754701)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 16.  SHIMOTSU Katsumi (50547510)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 17.  WATANABE Toshiaki (90254135)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 18.  KARIYA Takeaki (70092624)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 19.  FUJITA Takahiko (50144316)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 20.  YUKUTAKE Kiyoshi (30174832)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 21.  YOSHIMOTO Atsushi (10264350)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 22.  TERAOKA Yukio (40264105)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 23.  OZAKI Tohru (00000208)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 24.  HAYAKAWA Takeshi (00000183)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 25.  KUWANA Yoichi (30272769)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 26.  小林 正人 (60170354)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 27.  加納 悟 (50114971)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 28.  米澤 康博 (40175005)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 29.  伊藤 哲 (00231150)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 30.  庄司 功 (20282329)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 31.  KATO Takashi
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 32.  HAVNES R.
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 33.  HAYNES Richard
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 34.  TORRES Juan
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 35.  EVISON David
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 36.  CERDA Arcadi
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 37.  PAREDES Gonz
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 38.  BROOKS David
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 39.  HAYNES Richa
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 40.  古井戸 宏通
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results

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