NAKAMURA Nobuhiro 中村信弘

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NOBUHIRO Nakamura 中村信弘

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Researcher Number	90323899
Other IDs
Affiliation (Current)	2025: 一橋大学, 大学院経営管理研究科, 特任教授
Affiliation (based on the past Project Information) *help	2022 – 2024: 一橋大学, 大学院経営管理研究科, 特任教授 2018 – 2022: 一橋大学, 大学院経営管理研究科, 教授 2011 – 2017: 一橋大学, 大学院国際企業戦略研究科, 教授 2007 – 2008: Hitotsubashi University, 大学院・国際企業戦略研究科, 教授 2006: Hitotsubashi University, Graduate School of International Corporate Strategy, Associate Professor, 大学院国際企業戦略研究科, 助教授 2005: 一橋大学, 大学院・国際企業戦略研究科, 助教授 2001 – 2002: 一橋大学, 大学院・国際企業戦略研究科, 助教授
Review Section/Research Field	Principal Investigator Economic statistics / Basic Section 07030:Economic statistics-related / Statistical science Except Principal Investigator Basic Section 07060:Money and finance-related / Sections That Are Subject to Joint Review: Basic Section07030:Economic statistics-related , Basic Section07060:Money and finance-related / Basic Section 07030:Economic statistics-related / Economic theory / Statistical science / Public finance/Monetary economics
Keywords	Principal Investigator ベイズ推定 / 分散リスクプレミアム / バリアンス・スワップ / モデルフリーインプライドボラティリティ / 確率的ヴァインコピュラ / investment / asset pricing / mutual excitation / self excitation / cointegration … More / 共和分金利期間構造 / VIX / 確率分散 / ジャンプの自己・相互励起性 / 共和分構造 / オプション評価 / 統計的学習理論 / ベータ変動リスクプレミアム / 金利期間構造推定 / ジャンプモデル / 信用デリバティブ / VIX、VVIX / 2次拡散確率ボラティリティ / FBSDE / SKEW指数 / VIX指数 / 確率分散ジャンプモデル / ハザードレートモデル / 自己励起・相互励起過程 / Hamiltonian Monte Carlo / 自己・相互励起ジャンプ / 確率分散・確率相関 / クレジット・デフォルト・スワップ / 自己励起的ジャンプ / 確率的分散 / 歪度リスクプレミアム / ハミルトンニアン・モンテ・カルロ / 信用デフォルト・スワップ / 低ベータ・アノマリー / 動的投資戦略 / 動的資産価格理論 / 高頻度データ分析 / 自己・相互励起過程 / 非アファインモデル / ハミルトニアン・モンテ・カルロ法 / 自己・相互励起ジャンプ過程 / リターン予測可能性 / 確率ボラティリティモデル / ヴァイン・コピュラ / GRASモデル / HEAVY　CAPM / 下方リスク / リスク・バジェット / リスク・パリティ / 確率的共分散モデル / 動的誤差修正モデル / 高頻度データ解析 / GH-skewed t分布 / 確率的裾依存コピュラ / Hamiltonian Monte-Carlo / 共和分投資 / 確率ボラティリティ / ジャンプ拡散過程 / 実現尺度 / 自己励起過程 / 誤差修正モデル / 共和分 / 確率的ボラティリティ / 確率的コピュラ / MCMC / 多変量ファクター確率ボラティリティ / ボラティリティ・パズル / 動的条件付きコピュラ / テールリスク・パリティ / レバレッジ付き確率ボラティリティ / CVaR最小化 / 粒子フィルター法 / 確率的裾依存性コピュラ / 部分情報下の動学 / 名目・実質金利期間構造モデル / 前進・後退確率微分方程式 / 連続時間動学的最適化 / 相対エントロピー / プリンシパルーエージェント理論 / 探索・交渉理論 / 流動性リスク / 確率微分効用 / コンバージェンス取引 / モデルの不確実性 / ロバスト・ポートフォリオ / ファイナンス / 確率論 / 統計数学 … More Except Principal Investigator 最適ポートフォリオ / ボラティリティ・リスクプレミアム / 曖昧さ回避 / ボラティリティ / Stochastic Differential Utility / 確率微分効用 / Asymmetric Information / 情報の非対称性 / 天候デリバティブ / 資産価格 / 高次モーメントリスク / 階層的構造 / 低ベータ・アノマリー / 確率ボラティリティ / 歪度リスクプレミアム（SRP） / 分散リスクプレミアム（VRP） / 低リスク・アノマリー / 共分散回帰 / ボラティリティ・リスク・プレミアム / 共歪度 / パラメータ推定誤差 / 2次確率分散モデル / 自己・相互励起ジャンプ / 分散リスクプレミアム / VVIX / VIX / 階層的ボラティリティ / 高次モ―メント / バリアンス・スワップ / 分散の分散リスクプレミアム / 曖昧さ / リスク・プレミアム / 高次モーメント / ボラティリティのボラティリティ / 確率ボラティリティモデル / アノマリー / レバレッジパラメータ / リターン予測可能性 / 曖昧さプレミアム / 相互依存構造 / 予測可能性 / 資産収益率 / VRP / リスクプレミアム / Benchmark / Weather Derivative / Forward-Backward SDE / Optimal contract / Security Design / ファンド運用 / インセンティブ / プリンシパル・エージェント / 前向き-後向き確率微分方 / ベンチマーク / 前向き-後向き確率微分方程式 / 最適契約 / 証券デザイン / Forward backward stochastic differential equation / Black-Scholes Model / Vega Hedge / Corridor Options / Rank Statistics / Portfolio / 動的ポートフォリオ問題 / 後向き確率微分方程式 / 確率微分効用理論 / 確率的ポートフォリオ / 前向き後向き確率微分方 / 順位統計量 / ベガヘッジ / Black-Sholesモデル / 前向き後向き確率微分方程式 / コリドーオプション / 順位統計表 / ポートフォリオ / Risk Management / Incomplete Markets / Jump Process / Edokko Options / Insurance / Electricity / Weather Derivatives / 最適化 / jump-diffusion process / α-percentile barrier option / MBS / ジャンプ / リアルオプション / Good deal bounds / Edokko option / リスク管理 / 非完備市場 / ジャンプ過程 / Eddoko Option / 保険 / 電力 Less

ボラティリティの階層的構造、および高次モーメントリスクと資産価格理論
- Principal Investigator
  
  大橋和彦
- Project Period (FY)
  2024 – 2026
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07060:Money and finance-related
  Basic Section 07030:Economic statistics-related
  Sections That Are Subject to Joint Review: Basic Section07030:Economic statistics-related , Basic Section07060:Money and finance-related
- Research Institution
  Hitotsubashi University
Cointegration, Self- and Mutual- Excitation and Applications to Asset Pricing and Investment TheoriesPrincipal Investigator
- Principal Investigator
  
  中村信弘
- Project Period (FY)
  2023 – 2025
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Hitotsubashi University
Analysis of the impact of hierarchical volatility, coskewness, and covariance on asset prices
- Principal Investigator
  
  OHASHI Kazuhiko
- Project Period (FY)
  2021 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Hitotsubashi University
Asset Prices and Investment Theories Based on Statistical LearningPrincipal Investigator
- Principal Investigator
  
  NAKAMURA Nobuhiro
- Project Period (FY)
  2020 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Hitotsubashi University
Asset Pricing and Portfolio Management Using Higher-Order Moment (Volatility and Skewness)
- Principal Investigator
  
  OHASHI Kazuhiko
- Project Period (FY)
  2018 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Hitotsubashi University
Asset pricing and investment theories based on high frequency and option dataPrincipal Investigator
- Principal Investigator
  
  Nakamura Nobuhiro
- Project Period (FY)
  2017 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
Risk Management and Optimal Asset Allocation by Stochastic Copula ModelPrincipal Investigator
- Principal Investigator
  
  Nakamura Nobuhiro
- Project Period (FY)
  2014 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
Statistical Inference of Stochastic Copulas and Their Application to FinancePrincipal Investigator
- Principal Investigator
  
  NOBUHIRO Nakamura
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
Robust Portfolio and Its Risk MeasurementPrincipal Investigator
- Principal Investigator
  
  NAKAMURA Nobuhiro
- Project Period (FY)
  2007 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Statistical science
- Research Institution
  Hitotsubashi University
Theoretical Research on the problem of dynamic portfolio selection based on new approaches and Its Application
- Principal Investigator
  
  MIURA Ryozo
- Project Period (FY)
  2005 – 2006
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Statistical science
- Research Institution
  Hitotsubashi University, Graduate School of International Corporate Strategy
On optimal security design and financial contract
- Principal Investigator
  
  OHASHI Kazuhiko
- Project Period (FY)
  2005 – 2006
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Economic theory
- Research Institution
  Hitotsubashi University
Managing new type of risks - Electricity, weather, and insurance risks and their derivatives-
- Principal Investigator
  
  MIURA Ryozo
- Project Period (FY)
  2001 – 2002
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Hitotsubashi University

[Book] ＭＢＡチャレンジ　金融・財務2017
- Author(s)
  佐山展生、伊藤彰敏、野間幹晴、横内大介、宮川大介、中村信弘、鈴木健嗣、大橋和彦
- Total Pages
  231
- Publisher
  中央経済社
- Data Source
  KAKENHI-PROJECT-26380268
[Journal Article] Dynamic Relationship between Volatility Risk Premia of Stock and Oil Returns2023
- Author(s)
  Nobuhiro Nakamura, Kazuhiko Ohashi, and Daisuke Yokouchi
- Journal Title
  
  Journal of Risk and Financial Management
  
  Volume: 16 Issue: 3 Pages: 173-173
- DOI
  10.3390/jrfm16030173
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21H00727, KAKENHI-PROJECT-20K01587, KAKENHI-PROJECT-23K01332
[Journal Article] Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy2023
- Author(s)
  Kensuke Kato, and Nobuhiro Nakamura
- Journal Title
  
  Physica A: Statistical Mechanics and its Applications
  
  Volume: 612 Pages: 128489-128489
- DOI
  10.1016/j.physa.2023.128489
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21H00727, KAKENHI-PROJECT-20K01587, KAKENHI-PROJECT-23K01332
[Journal Article] PDE-Based Bayesian Inference of CEV Dynamics for Credit Risk in Stock Prices2023
- Author(s)
  Kato Kensuke、Nakamura Nobuhiro
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: - Issue: 2 Pages: 389-421
- DOI
  10.1007/s10690-023-09420-z
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23K01332, KAKENHI-PROJECT-21H00727
[Journal Article] Modeling Self And Mutual Excitations in Credit Default Swaps:Bayesian Statistical Inference2022
- Author(s)
  中村信弘
- Journal Title
  
  Proceedings of the 56-th JAFEE meeting, (2021:Winter)
  
  Volume: 56 Pages: 57-68
- Data Source
  KAKENHI-PROJECT-20K01587
[Journal Article] Variance and Skewness Risk Premia: The Impact of State Dependent Self-Exciting Jumps2021
- Author(s)
  中村信弘
- Journal Title
  
  Proceedings of the 55-th JAFEE meeting, (2021:Summer)
  
  Volume: 55 Pages: 53-64
- Data Source
  KAKENHI-PROJECT-20K01587
[Journal Article] IPDE-Based Bayesian Statistical Inference for CIR Interest Rate Model with Poisson Jump2021
- Author(s)
  Takuya Kitabayashi and Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 54-th JAFEE meeting
  
  Volume: 54 Pages: 24-35
- Data Source
  KAKENHI-PROJECT-20K01587
[Journal Article] 確率的依存構造をもつコピュラモデルー統計的推定方法と計量ファイナンスへの応用ー2020
- Author(s)
  野澤勇樹,中村信弘
- Journal Title
  
  統計数理
  
  Volume: 68 Pages: 87-106
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18H00872
[Journal Article] 確率的依存構造をもつコピュラモデルー統計的推定方法と計量ファイナンスへの応用ー2020
- Author(s)
  野澤勇樹, 中村信弘
- Journal Title
  
  統計数理
  
  Volume: 60 Pages: 1-20
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-17K03654
[Journal Article] PDE-Based Bayesian Inference: Some Applications to FBSDEs in Finance2020
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 53-th JAFEE meeting
  
  Volume: 53 Pages: 120-131
- Data Source
  KAKENHI-PROJECT-20K01587
[Journal Article] Variance Risk Premium: Theoretical and Empirical Evidence of Return Predictability2019
- Author(s)
  Yusuke Tomishima　and Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 52-th JAFEE meeting
  
  Volume: 冬季 Pages: 127-138
- Data Source
  KAKENHI-PROJECT-17K03654
[Journal Article] ダイナミック非対称tコピュラを用いた新興国国債市場の相互依存構造に関する研究2019
- Author(s)
  夷藤翔, 中村信弘
- Journal Title
  
  JAFEE Journal
  
  Volume: 17 Issue: 0 Pages: 45-66
- DOI
  10.32212/jafee.17.0_45
- NAID
  130007634171
- ISSN
  2434-4702
- Language
  Japanese
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17K03654
[Journal Article] ダイナミック非対称 t コピュラを用いた新興国国債市場の相互依存構造に関する研究2019
- Author(s)
  夷藤翔、中村信弘
- Journal Title
  
  ジャフィー・ジャーナル
  
  Volume: 17 Pages: 45-66
- NAID
  130007634171
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18H00872
[Journal Article] ODE-Based Bayesian Inference ofVIX Dynamics Adapted to VIX Futures,VVIXs, and VIX Options2019
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 51-th JAFEE meeting
  
  Volume: 夏季
- Data Source
  KAKENHI-PROJECT-17K03654
[Journal Article] Return Predictability and Variance Risk Premia in Stochastic Volatility Model with Self-Exciting Jumps2019
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 52-th JAFEE meeting
  
  Volume: 冬季 Pages: 139-150
- Data Source
  KAKENHI-PROJECT-17K03654
[Journal Article] Asset Return Predictability and Dynamics of Return and Variance Risk Premia2017
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 48-th JAFEE meeting
  
  Volume: 2017:Winter Pages: 24-35
- Data Source
  KAKENHI-PROJECT-17K03654
[Journal Article] Term Structure Model of Volatilities and Variance-of-Variance Risk Premium2017
- Author(s)
  Yusuke Sekiguchi and Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 48-th JAFEE meeting
  
  Volume: 2017:Winter Pages: 36-47
- Data Source
  KAKENHI-PROJECT-17K03654
[Journal Article] Asset Return Predictability and Dynamics of Variance Risk Premia2017
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 47-th JAFEE meeting
  
  Volume: 2017:Summer Pages: 138-149
- Data Source
  KAKENHI-PROJECT-17K03654
[Journal Article] The Term Structure of Variance Swap Rates:Self-Exciting Jump Diffusion Modeling2016
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 46-th JAFEE meeting
  
  Volume: Winter Pages: 165-176
- Data Source
  KAKENHI-PROJECT-26380268
[Journal Article] Dynamic Trading of Cointegrated Assets: Partial Information, Model Uncertainty Cases2016
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 45-th JAFEE meeting
  
  Volume: Summer Pages: 13-24
- Data Source
  KAKENHI-PROJECT-26380268
[Journal Article] Stochastic Volatility Models with Stochastic Skewness and Kurtosis2016
- Author(s)
  Yuki Nozawa and Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 45-th JAFEE meeting
  
  Volume: Summer Pages: 29-38
- Data Source
  KAKENHI-PROJECT-26380268
[Journal Article] Dynamic Hedging Strategy Using Stochastic Vine Copulas2015
- Author(s)
  Nozawa,Y. and N.Nakamura
- Journal Title
  
  Proceedings of the 43-th JAFEE meeting
  
  Volume: Summer Pages: 168-179
- Data Source
  KAKENHI-PROJECT-26380268
[Journal Article] Dynamic Trading with Multiple Cointegrating Relationships2015
- Author(s)
  N. Nakamura
- Journal Title
  
  Proceedings of the 44-th JAFEE meeting
  
  Volume: Winter Pages: 109-120
- Data Source
  KAKENHI-PROJECT-26380268
[Journal Article] Estimation of Stochastic Dependence Structures between Equity Markets and Volatility Indices using Stochastic Copulas2015
- Author(s)
  Nozawa,Y. and N.Nakamura
- Journal Title
  
  Proceedings of the 44-th JAFEE meeting
  
  Volume: Winter Pages: 228-238
- Data Source
  KAKENHI-PROJECT-26380268
[Journal Article] Dynamic Error Correction Model for Co-Integrated Stocks using High-Frequency Data2015
- Author(s)
  Napoleon,N. and N. Nakamura
- Journal Title
  
  Proceedings of the 43-th JAFEE meeting
  
  Volume: Summer Pages: 192-203
- Data Source
  KAKENHI-PROJECT-26380268
[Journal Article] Factor Based Tail Risk Parity/Budgeting Investment2014
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 41-th JAFEE meeting
  
  Volume: 2014：夏季 Pages: 182-193
- Data Source
  KAKENHI-PROJECT-26380268
[Journal Article] Tail Risk Parity/Budgeting Investment: Copula Approach to Tail Dependence Structure2014
- Author(s)
  中村信弘
- Journal Title
  
  Proceedings of the 40-th JAFEE meeting
  
  Volume: 2013:Winter Pages: 43-54
- Data Source
  KAKENHI-PROJECT-23530250
[Journal Article] HEAVY GRAS Vine Copula Models2014
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 42-th JAFEE meeting
  
  Volume: 2014：冬季 Pages: 157-168
- Data Source
  KAKENHI-PROJECT-26380268
[Journal Article] Tail Risk Parity/Budgeting Investment : Copula Approach to Tail Dependence Structure2013
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 40-th JAFEE meeting
  
  Volume: Winter Pages: 43-54
- Data Source
  KAKENHI-PROJECT-23530250
[Journal Article] Dynamic Conditional Copula with Marginal Volatility Dependence2013
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 39-th JAFEE meeting
  
  Volume: Summer Pages: 41-52
- Data Source
  KAKENHI-PROJECT-23530250
[Journal Article] Dynamic Conditional Copula with Marginal Volatility Dependence2013
- Author(s)
  中村信弘
- Journal Title
  
  Proceedings of the 39-th JAFEE meeting
  
  Volume: 2013:Summer Pages: 41-52
- Data Source
  KAKENHI-PROJECT-23530250
[Journal Article] Stochastic Vine Copula -Particle Filtering Approach-2012
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 38-th JAFEE meeting
  
  Volume: Winter Pages: 100-111
- Data Source
  KAKENHI-PROJECT-23530250
[Journal Article] Modeling and Estimation of Pairs Trading Dynamics using Stochastic Volatility Model and Bayesian Inference2012
- Author(s)
  Nazir Napoleon and Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 37-th JAFEE meeting
  
  Volume: Summer Pages: 194-205
- Data Source
  KAKENHI-PROJECT-23530250
[Journal Article] Stochastic Vine Copula -Particle Filtering Approach-2012
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 37-th JAFEE meeting
  
  Volume: Winter Pages: 100-111
- Data Source
  KAKENHI-PROJECT-23530250
[Journal Article] Modeling and Estimation of Pairs Trading Dynamics using Stochastic Volatility Model and Bayesian Inference2012
- Author(s)
  Nazir Napoleon and Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 36-th JAFEE meeting
  
  Volume: Summer Pages: 194-205
- Data Source
  KAKENHI-PROJECT-23530250
[Journal Article] Dynamic Factor Stochastic Volatility Models with Idiosyncratic Stochastic Volatilities -Particle Filtering Approach-2011
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 36-th JAFEE meeting
  
  Volume: Winter Pages: 59-70
- Data Source
  KAKENHI-PROJECT-23530250
[Journal Article] Dynamic Investment Strategies to Reaction-Diffusion Systems Based uponStochastic Differential Utilities2011
- Author(s)
  Kashiwabara,Akira and Nobuhiro Nakamura
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: 18-2 Issue: 2 Pages: 131-150
- DOI
  10.1007/s10690-010-9127-z
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23530250
[Journal Article] Copula-Based Asymmetric Leverage in Stochastic Volatility Models - Particle Filtering Approach -2011
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 35-th JAFEE meeting
  
  Volume: Summer Pages: 241-252
- Data Source
  KAKENHI-PROJECT-23530250
[Journal Article] 拡張Mertonモデルとその応用2008
- Author(s)
  中村信弘
- Journal Title
  
  ジャフィー・ジャーナル(金融工学と市場計量分析)
  
  Pages: 213-235
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19500234
[Journal Article] Robust Delegated Portfolio Management with Model Uncertainty2008
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 30-th JAFEE meeting Winter
  
  Pages: 273-291
- Data Source
  KAKENHI-PROJECT-19500234
[Journal Article] 拡張Mertonモデルとその応用」、日本金融・証券計量・工学学会JAFEE)学会誌2008
- Author(s)
  中村信弘
- Journal Title
  
  ジャフィー・ジャーナル|金融工学と市場計量分析 ; 非流動性資産の価格付けとリアルオプション(津田博史, 中妻照雄, 山田雄二)(朝倉書店)
  
  Pages: 213-235
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19500234
[Journal Article] Robust Yie ld Curve Arbitrage in Hedge Funds under Model Uncertainty2008
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 29-th JAFEE meeting
  
  Pages: 169-183
- Data Source
  KAKENHI-PROJECT-19500234
[Journal Article] Robust Yield Curve Arbitrage in Hedge Funds under Model Uncertainty2008
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 29-th JAFEE meeting Summer
  
  Pages: 169-183
- Data Source
  KAKENHI-PROJECT-19500234
[Journal Article] Robust Del egated Portfolio Management with Model Uncertainty2008
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 30-th JAFEE meeting
  
  Pages: 273-291
- Data Source
  KAKENHI-PROJECT-19500234
[Journal Article] Robust Convergence Trading of Hedge Funds with Model Uncertainty under Partial Information2007
- Author(s)
  中村信弘
- Journal Title
  
  Proceedings of the 28-th JAFEE meeting (2007: Winter)
  
  Pages: 277-296
- Data Source
  KAKENHI-PROJECT-19500234
[Journal Article] Robust Convergence Trading of Hedge Funds with Event and Model Risks2007
- Author(s)
  中村信弘
- Journal Title
  
  Proceedings of the 27-th JAFEE meeting (2007: Summer)
  
  Pages: 123-141
- Data Source
  KAKENHI-PROJECT-19500234
[Journal Article] Robust Convergence Trading of Hedge Funds with Event and Model Risks2007
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 27-th JAFEE meeting
  
  Pages: 123-141
- Data Source
  KAKENHI-PROJECT-19500234
[Journal Article] Robust Dynamic Asset Allocation under Inflation Risk2007
- Author(s)
  中村信弘
- Journal Title
  
  Proceedings of the 15th NFA meeting
  
  Pages: 268-277
- Data Source
  KAKENHI-PROJECT-19500234
[Journal Article] Robust Dynamic Asset Allocation under Inflation Risk2007
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 15th NFA meeting
  
  Pages: 268-277
- Data Source
  KAKENHI-PROJECT-19500234
[Journal Article] Robust Con vergence Trading of Hedge Funds with Model Uncertainty under Partial Information2007
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 28-th JAFEE meeting
  
  Pages: 277-296
- Data Source
  KAKENHI-PROJECT-19500234
[Journal Article] Robust Utility Maximization in Jump-Diffusion Factor Models2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 25-th JAFEE meeting 2006 Summer
  
  Pages: 155-172
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Numerical Approach to Asset Pricing Models with Stochastic Differential Utility2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Asia-Pacific Financial Markets 2005年号(forthcoming)(未定)
- Data Source
  KAKENHI-PROJECT-17330041
[Journal Article] Numerical Approach to Asset Pricing Models with Stochastic Differential Utility2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Asia-Pacific Financial Markets 11・3
  
  Pages: 267-300
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17330041
[Journal Article] Robust Utility Maximization in Jump-Diffusion Factor Models2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 25-th JAFE meeting 2006: Summer
  
  Pages: 155-172
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Robust Utility Maximization in Jump-Diffusion Factor Models.2006
- Author(s)
  Nobuhiro Nakamura.
- Journal Title
  
  Proceedings of the 25-th JAFEE meeting
  
  Pages: 155-172
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Optimal Consumption and Investment Strategies Based upon Stochastic Differential Utilities with Uncertain Time-Horizon2006
- Author(s)
  Nobuhiro Nakamura.
- Journal Title
  
  Proceedings of the 14th Nippon Finance Association Meeting
  
  Pages: 24-33
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Robust Utility Maximization in Jump-Diffusion Factor Models2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 25-th JAFEE meeting 2006(Summer)
  
  Pages: 155-172
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17330041
[Journal Article] Optimal Consumption and Investment Strategies Based upon Stochastic Differential Utilities with Uncertain Time-Horizon2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 14th Nippon Finance Association Meeting
  
  Pages: 24-33
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Robust Utility Maximization in Jump-Diffusion Factor Models2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 25-th JAFEE meeting
  
  Pages: 155-172
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17330041
[Journal Article] Optimal Risk Transfer and Investment Policies Based uponStochastic Differential Utilities2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Asia-Pacific Financial Markets 12・4
  
  Pages: 375-403
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17330041
[Journal Article] Numerical Approach to Asset Pricing Models with Stochastic Differential Utility2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Asia-Pacific Financial Markets Vol.11, No.3
  
  Pages: 267-300
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17330041
[Journal Article] Optimal risk transfer and investment policies based upon stochastic differential utilities.2006
- Author(s)
  Nobuhiro Nakamura.
- Journal Title
  
  sia-Pacific Financial Markets 12
  
  Pages: 375-403
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Optimal Consumption and Investment Strategies Based Upon Stochastic Differential Utilities with Uncertain Time-Horizon2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 14th Nippon Finance Association Meeting
  
  Pages: 24-33
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Numerical Approach to Asset Pricing Models with Stochastic Differential Utility2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Asia-Pacific Financial Markets 2005年号(forthcoming)(未定)
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Optimal Consumption and Investment Strategies Based upon Stochastic Differential Utilities with Uncertain Time-Horizon2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 14th Nippon Finance Association Meeting
  
  Pages: 24-33
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17330041
[Journal Article] Robust Utility Max mization in Jump-Diffusion Factor Models2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 25-th JAFEE meeting 2006(Summer)
  
  Pages: 155-172
- Data Source
  KAKENHI-PROJECT-17330041
[Journal Article] Optimal Risk Transfer and Investment Policies Based upon Stochastic Differential Utilities2006
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Asia-Pacific Financial Markets Vol.12, No.4
  
  Pages: 375-403
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-17330041
[Journal Article] Dynamic Investment Strategies to Reaction-Diffusion Systems Based upon Stochastic Differential Utilities2005
- Author(s)
  Akira Kashiwabara, Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 24th JAFEE conference
  
  Pages: 17-34
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Dynamic Investment Models with Downside Risk Control Based upon Stochastic Differential Utilities2005
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 23th JAFEE conference
  
  Pages: 278-294
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Optimal Risk Transfer and Investment Policies Based upon Stochastic Differential Utilities2005
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 7-th JAFEE International Conference
  
  Pages: 113-131
- Data Source
  KAKENHI-PROJECT-17330041
[Journal Article] Optimal Risk Transfer and Investment Policies Based upon Stochastic Differential Utilities2005
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 7th JAFEE International Conference
  
  Pages: 113-131
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Optimal risk transfer and investment policies based upon stochastic differential utilities2005
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Asia-Pacific Financial Markets 12
  
  Pages: 375-403
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Dynamic Principal-Agent Problem Based upon the Stochastic Differential Utility2005
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 13th Nipppon Finance Association Meeting
  
  Pages: 689-703
- NAID
  130004603540
- Data Source
  KAKENHI-PROJECT-17300087
[Journal Article] Dynamic Principal-Agent Problem Based upon the Stochastic Differential Utility2005
- Author(s)
  Nobuhiro Nakamura
- Journal Title
  
  Proceedings of the 13th Nippon Finance Association Meeting
  
  Pages: 689-703
- NAID
  130004603540
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-17330041
[Presentation] Self-Exciting Jump, Inflation, and Cointegration in Arbitrage-Free Term Structure Models of Interest Rates2024
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-23K01332
[Presentation] Self-Exciting Jump, Inflation, and Cointegration in Arbitrage-Free Term Structure Models of Interest Rates2024
- Author(s)
  Noburiro Nakamura
- Organizer
  日本金融・証券計量・工学学会　第60回冬季大会
- Data Source
  KAKENHI-PROJECT-21H00727
[Presentation] PDE-Based Bayesian Inference of Quadratic Variance Model for Pricing VIX and VVIX2023
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会　第59回夏季大会
- Data Source
  KAKENHI-PROJECT-21H00727
[Presentation] Arbitrage-Free Co-Integrated Term Structure Model of Interest Rates towards Yield Curve Arbitrage2023
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本ファイナンス学会　第31回大会
- Data Source
  KAKENHI-PROJECT-21H00727
[Presentation] 確率的レバレッジ効果がオプション市場のインプライド・スキューに与える影響：自己励起型ジャンプモデルとの比較2023
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-21H00727
[Presentation] Exploring Cointegrated Asset Dynamics: The Impact of Stochastic Variances and Mutually Exciting Jumps2023
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-21H00727
[Presentation] Exploring Cointegrated Asset Dynamics:The Impact of Stochastic Variances and Mutually Exciting Jumps2023
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-20K01587
[Presentation] PDE-Based Bayesian Inference of Quadratic Variance Model for Pricing VIX and VVIX2023
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-23K01332
[Presentation] 確率的レバレッジ効果がオプション市場のインプライド・スキューに与える影響：自己励起型ジャンプモデルとの比較2023
- Author(s)
  渡邉裕也, 中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-20K01587
[Presentation] Arbitrage-Free Co-Integrated Term Structure Model of Interest Rates towards Yield Curve Arbitrage2023
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-23K01332
[Presentation] Modeling Self And Mutual Excitations in Credit Default Swaps:Bayesian Statistical Inference2022
- Author(s)
  中村信弘
- Organizer
  第56回日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-20K01587
[Presentation] Modeling Self And Mutual Excitations in Credit Default Swaps: Bayesian Statistical Inference2022
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会第30回大会
- Data Source
  KAKENHI-PROJECT-21H00727
[Presentation] Arbitrage-Free Co-Integrated Term Structure Model of Interest Rates towards Yield Curve Arbitrage2022
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-20K01587
[Presentation] Arbitrage-Free Co-Integrated Term Structure Model of Interest Rates towards Yield Curve Arbitrage2022
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-21H00727
[Presentation] Modeling Self And Mutual Excitations in Credit Default Swaps:Bayesian Statistical Inference2022
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-20K01587
[Presentation] Modeling Self And Mutual Excitations in Credit Default Swaps: Bayesian Statistical Inference2022
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-21H00727
[Presentation] Variance and Skewness Risk Premia: The Impact of State Dependent Self-Exciting Jumps2021
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会第29回大会
- Data Source
  KAKENHI-PROJECT-21H00727
[Presentation] Variance and Skewness Risk Premia: The Impact of State Dependent Self Exciting Jumps2021
- Author(s)
  中村信弘
- Organizer
  第29回日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-20K01587
[Presentation] IPDE-Based Bayesian Statistical Inference for CIR Interest Rate Model with Poisson Jump2021
- Author(s)
  Takuya Kitabayashi and Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-20K01587
[Presentation] Variance and Skewness Risk Premia: The Impact of State Dependent Self-Exciting Jumps2021
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-21H00727
[Presentation] IPDE-Based Bayesian Statistical Inference for CIR Interest Rate Model with Poisson Jump2021
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会第54回大会
- Data Source
  KAKENHI-PROJECT-18H00872
[Presentation] Variance and Skewness Risk Premia: The Impact of State Dependent Self-Exciting Jumps2021
- Author(s)
  中村信弘
- Organizer
  第55回日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-20K01587
[Presentation] Variance Risk Premium and Predictability of Returns: Quadratic Variance, Self-Exciting Jump Models2020
- Author(s)
  Nobuhiro Nakamura and Kazuhiko Ohashi
- Organizer
  日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-17K03654
[Presentation] Return Predictability and Variance Risk Premia in Stochastic Volatility Model with Self-Exciting Jumps2020
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-17K03654
[Presentation] Variance Risk Premium and Predictability of Returns: Quadratic Variance, Self-Exciting Jump Models2020
- Author(s)
  中村信弘
- Organizer
  2020年　第28回日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-18H00872
[Presentation] Variance Risk Premium and Predictability of Returns: Quadratic Variance, Self-Exciting Jump Models2020
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本ファイナンス学会第28回大会
- Data Source
  KAKENHI-PROJECT-18H00872
[Presentation] PDE-Based Bayesian Inference: Some Applications to FBSDEs in Finance2020
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会第53回大会
- Data Source
  KAKENHI-PROJECT-18H00872
[Presentation] PDE-Based Bayesian Inference: Some Applications to FBSDEs in Finance2020
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-20K01587
[Presentation] Variance Risk Premium and Predictability of Returns: Quadratic Variance, Self-Exciting Jump Models2020
- Author(s)
  Nobuhiro Nakamura and Kazuhiko Ohashi
- Organizer
  日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-20K01587
[Presentation] Variance Risk Premium: Theoretical and Empirical Evidence of Return Predictability2020
- Author(s)
  Yusuke Tomishima and Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-17K03654
[Presentation] Variance Risk Premium: Theoretical and Empirical Evidence of Return Predictability2019
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会2019年冬季大会
- Data Source
  KAKENHI-PROJECT-18H00872
[Presentation] ODE-Based Bayesian Inference ofVIX Dynamics Adapted to VIX Futures,VVIXs, and VIX Options2019
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-17K03654
[Presentation] Non-Affine and Non-Reduced Form Approach To Pricing of VIX and VVIX: Quadratic Diffusion Model2019
- Author(s)
  Nobuhiro Nakamura and Kazuhiko Ohashi
- Organizer
  Asian Finance Association Annual Meeting
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17K03654
[Presentation] Non-Affine and Non-Reduced Form Approach to Pricing of VIX and VVIX:Quadratic Diffusion Model2019
- Author(s)
  Nobuhiro Nakamura and Kazuhiko Ohashi
- Organizer
  日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-17K03654
[Presentation] Non-Affine and Non-Reduced Form Approach to Pricing of VIX and VVIX:Quadratic Diffusion Model2019
- Author(s)
  中村信弘
- Organizer
  2019年　第27回日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-18H00872
[Presentation] ODE-Based Bayesian Inference of VIX Dynamics Adapted to VIX Futures,VVIXs, and VIX Options2019
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会2019年夏季大会
- Data Source
  KAKENHI-PROJECT-18H00872
[Presentation] Return Predictability and Variance Risk Premia in Stochastic Volatility Model with Self-Exciting Jumps2019
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会2019年冬季大会
- Data Source
  KAKENHI-PROJECT-18H00872
[Presentation] Asset Return Predictability and Dynamics of Return and Variance Risk Premia2018
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-18H00872
[Presentation] Non-Affine and Non-Reduced Form Approach to Pricing of VIX and VVIX:Quadratic Diffusion Model2018
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-17K03654
[Presentation] Non-Affine and Non-Reduced Form Approach to Pricing of VIX and VVIX:Quadratic Diffusion Model2018
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会（JAFEE）
- Data Source
  KAKENHI-PROJECT-18H00872
[Presentation] Asset Return Predictability and Dynamics of Return and Variance Risk Premia2018
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-17K03654
[Presentation] Option Pricing Models Driven by Self- and Mutually-Exciting Jump Diffusion Processes2018
- Author(s)
  矢田明（中村信弘との共著）
- Organizer
  日本金融・証券計量・工学学会（JAFEE）
- Data Source
  KAKENHI-PROJECT-18H00872
[Presentation] Asset Return Predictability and Dynamics of Return and Variance Risk Premia2017
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-17K03654
[Presentation] Term Structure Model of Volatilities and Variance-of-Variance Risk Premium2017
- Author(s)
  関口雄介, 中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-17K03654
[Presentation] Asset Return Predictability and Dynamics of Variance Risk Premia2017
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Data Source
  KAKENHI-PROJECT-17K03654
[Presentation] The Term Structure of Variance Swap Rates:Self-Exciting Jump Diffusion Modeling2017
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-17K03654
[Presentation] The Term Structure of Variance Swap Rates:Self-Exciting Jump Diffusion Modeling2017
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  武蔵大学（東京都・練馬区）
- Year and Date
  2017-02-18
- Data Source
  KAKENHI-PROJECT-26380268
[Presentation] Dynamic Trading with Multiple Cointegrating Relationships2016
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  慶應大学(東京都・港区)
- Year and Date
  2016-01-24
- Data Source
  KAKENHI-PROJECT-26380268
[Presentation] Dynamic Trading with Multiple Cointegrating Relationships2016
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本ファイナンス学会
- Place of Presentation
  横浜国立大学(神奈川県・横浜市)
- Year and Date
  2016-05-22
- Data Source
  KAKENHI-PROJECT-26380268
[Presentation] Asset Allocation with Multivariate Factor Stochastic Volatility Model with Realized Measure2016
- Author(s)
  Ryuji Nakamura
- Organizer
  日本ファイナンス学会
- Place of Presentation
  横浜国立大学(神奈川県・横浜市)
- Year and Date
  2016-05-22
- Data Source
  KAKENHI-PROJECT-26380268
[Presentation] Asset Allocation with Multivariate Factor Stochastic Volatility Model with Realized Measure2016
- Author(s)
  中村竜二
- Organizer
  日本ファイナンス学会
- Place of Presentation
  横浜国立大学（神奈川県・横浜市）
- Year and Date
  2016-05-22
- Data Source
  KAKENHI-PROJECT-26380268
[Presentation] Dynamic Trading of Cointegrated Assets: Partial Information, Model Uncertainty Cases2016
- Author(s)
  Nobuhiro Nakamura
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  成城大学（東京都・世田谷区）
- Year and Date
  2016-08-08
- Data Source
  KAKENHI-PROJECT-26380268
[Presentation] Dynamic Trading with Multiple Cointegrating Relationships2016
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会
- Place of Presentation
  横浜国立大学（神奈川県・横浜市）
- Year and Date
  2016-05-22
- Data Source
  KAKENHI-PROJECT-26380268
[Presentation] HEAVY GRAS Vine Copula Models2015
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会第２３回大会
- Place of Presentation
  東京大学（本郷キャンパス）
- Year and Date
  2015-06-07
- Data Source
  KAKENHI-PROJECT-26380268
[Presentation] HEAVY GRAS Vine Copula Models2015
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会２０１４年度冬季大会
- Place of Presentation
  筑波大学（東京キャンパス）
- Year and Date
  2015-01-23
- Data Source
  KAKENHI-PROJECT-26380268
[Presentation] Factor Based Tail Risk Parity/Budgeting Investment2014
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会２０１４年度夏季大会
- Place of Presentation
  成城大学
- Year and Date
  2014-08-02
- Data Source
  KAKENHI-PROJECT-26380268
[Presentation] Tail Risk Parity/Budgeting Investment : Copula Approach to Tail Dependence Structure2014
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  慶応大学三田キャンパス(東京都)
- Year and Date
  2014-01-10
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Tail Risk Parity/Budgeting Investment: Copula Approach to Tail Dependence Structure2014
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会第２２回大会
- Place of Presentation
  中央大学多摩キャンパス
- Year and Date
  2014-05-31
- Data Source
  KAKENHI-PROJECT-26380268
[Presentation] Dynamic Conditional Copula with Marginal Volatility Dependence2013
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  明治大学駿河台キャンパス(東京都)
- Year and Date
  2013-08-04
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Stochastic Vine Copula -Particle Filtering Approach-2013
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  筑波大学東京キャンパス(東京都)
- Year and Date
  2013-01-25
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Dynamic Factor Stochastic Volatility Models with Idiosyncratic Stochastic Volatilities -Particle Filtering Approach-2013
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会
- Place of Presentation
  武蔵大学江古田キャンパス(東京都)
- Year and Date
  2013-06-02
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Dynamic Factor Stochastic Volatility Models with Idiosyncratic Stochastic Volatilities -Particle Filtering Approach-2012
- Author(s)
  Nakamura,Nobuhiro
- Organizer
  日本金融・証券計量・工学学会（JAFEE）
- Place of Presentation
  筑波大学(東京キャンパス)
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Dynamic Factor Stochastic Volatility Models with Idiosyncratic Stochastic Volatilities -Particle Filtering Approach-2012
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  筑波大学東京キャンパス(東京都)
- Year and Date
  2012-03-12
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Modeling and Estimation of Pairs Trading Dynamics using Stochastic Volatility Model and Bayesian Inference2012
- Author(s)
  Nazir Napoleon,中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  成城大学(東京都)
- Year and Date
  2012-08-04
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Interacting Copulas via Stochastic Tail Dependence Bayesian Inference Based on a Multi-Move Sampler-2011
- Author(s)
  野澤勇樹,中村信弘
- Organizer
  日本ファイナンス学会
- Place of Presentation
  早稲田大学早稲田キャンパス(東京都)
- Year and Date
  2011-05-14
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Copula-Based Asymmetric Leverage in Stochastic Volatility Models Particle Filtering Approach -2011
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  慶応大学三田キャンパス(東京都)
- Year and Date
  2011-10-15
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Copula-Based Asymmetric Leverage in Stochastic Volatility Models - Particle Filtering Approach -2011
- Author(s)
  Nakamura,Nobuhiro
- Organizer
  日本金融・証券計量・工学学会（JAFEE）
- Place of Presentation
  慶応義塾大学
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Robust Delegated Portfolio Management with Model Uncertainty2009
- Author(s)
  Nobuhiro Nakamura
- Organizer
  JAFEE
- Place of Presentation
  筑波大学(東京キャンパス)
- Year and Date
  2009-01-30
- Data Source
  KAKENHI-PROJECT-19500234
[Presentation] Robust Yield Curve Arbitrage in Hedge Funds under Model Uncertainty2008
- Author(s)
  Nobuhiro Nakamura
- Organizer
  JAFEE
- Place of Presentation
  成城大学
- Year and Date
  2008-08-02
- Data Source
  KAKENHI-PROJECT-19500234
[Presentation] Robust Yield Curve Arbitrage in Hedge Funds under Model Uncertainty2008
- Author(s)
  Nobuhiro Nakamura
- Organizer
  第29回JAFEE大会
- Place of Presentation
  成城大学
- Year and Date
  2008-08-02
- Data Source
  KAKENHI-PROJECT-19500234
[Presentation] Robust Delegated Portfolio Management with Model Uncertainty2008
- Author(s)
  Nobuhiro Nakamura
- Organizer
  第30回JAFEE大会
- Place of Presentation
  筑波大学(東京キャンパス)
- Year and Date
  2008-01-30
- Data Source
  KAKENHI-PROJECT-19500234
[Presentation] Search-Bas ed Liquidity Premium with Model Uncertainty, Asian Finance Association -Nippon Finance Association 20082008
- Author(s)
  Shun Kobayashi, Nobuhiro Nak amura, Kazuhiko Ohashi
- Organizer
  International Conference
- Place of Presentation
  Pacifico Yokohama Conference Center
- Year and Date
  2008-07-08
- Data Source
  KAKENHI-PROJECT-19500234
[Presentation] Robust Dynamic Asset Allocation under Inflation Risk2007
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会
- Place of Presentation
  慶應義塾大学
- Year and Date
  2007-06-16
- Data Source
  KAKENHI-PROJECT-19500234
[Presentation] Robust Convergence Trading of Hedge Funds with Model Uncertainty under Partial Information2007
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  中央大学
- Year and Date
  2007-12-22
- Data Source
  KAKENHI-PROJECT-19500234
[Presentation] Robust Convergence Trading of Hedge Funds with Event and Model Risks2007
- Author(s)
  Nobuhiro Nakamura
- Organizer
  the 27-th JAFEE meeting, 第27回JAFEE大会
- Place of Presentation
  明治大学(駿河台キャンパス)
- Year and Date
  2007-08-02
- Data Source
  KAKENHI-PROJECT-19500234
[Presentation] Robust Convergence Trading of Hedge Funds with Model Uncertainty under Partial Information2007
- Author(s)
  Nobuhiro Nakamura
- Organizer
  第28回JAFEE大会
- Place of Presentation
  中央大学(駿河台記念館)
- Year and Date
  2007-12-22
- Data Source
  KAKENHI-PROJECT-19500234
[Presentation] Robust Dynamic Asset Allocation under Inflation Risk2007
- Author(s)
  Nobuhiro Nakamura
- Organizer
  第15回日本ファイナンス学会
- Place of Presentation
  慶応大学(三田キャンパス)
- Year and Date
  2007-06-16
- Data Source
  KAKENHI-PROJECT-19500234
[Presentation] Robust Convergence Trading of Hedge Funds with Event and Model Risks,2007
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  明治大学
- Year and Date
  2007-08-02
- Data Source
  KAKENHI-PROJECT-19500234
[Presentation] Copula-Based Asymmetric Leverage in Stochastic Volatility Models - Particle Filtering Approach -
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会
- Place of Presentation
  一橋大学ICS(東京都)
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Dynamic Conditional Copula with Marginal Volatility Dependence
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  明治大学駿河台キャンパス（東京都千代田区）
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Dynamic Factor Stochastic Volatility Models with Idiosyncratic Stochastic Volatilities -Particle Filtering Approach-
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会
- Place of Presentation
  武蔵大学（東京都練馬区）
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Tail Risk Parity/Budgeting Investment: Copula Approach to Tail Dependence Structure
- Author(s)
  中村信弘
- Organizer
  日本金融・証券計量・工学学会
- Place of Presentation
  慶応大学三田キャンパス（東京都港区）
- Data Source
  KAKENHI-PROJECT-23530250
[Presentation] Dynamic Factor Stochastic Volatility Models with Idiosyncratic Stochastic Volatilities -Particle Filtering Approach-
- Author(s)
  中村信弘
- Organizer
  日本ファイナンス学会
- Place of Presentation
  武蔵大学(東京都)
- Data Source
  KAKENHI-PROJECT-23530250

1. HONDA Toshiki (70303063)

# of Collaborated Projects: 5 results

# of Collaborated Products: 0 results
2. OHASHI Kazuhiko (50261780)

# of Collaborated Projects: 5 results

# of Collaborated Products: 1 results
3. KAMIMURA Shoji (50323902)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
4. MIURA Ryozo (30107081)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
5. NAGAYAMA Izumi (50334595)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
6. SAITO Makoto (10273426)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. ISAKA Naoto (00434192)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

NAKAMURA Nobuhiro 中村 信弘

NOBUHIRO Nakamura 中村 信弘

Research Projects

Research Products

Co-Researchers

ボラティリティの階層的構造、および高次モーメントリスクと資産価格理論

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Cointegration, Self- and Mutual- Excitation and Applications to Asset Pricing and Investment TheoriesPrincipal Investigator

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Analysis of the impact of hierarchical volatility, coskewness, and covariance on asset prices

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Asset Prices and Investment Theories Based on Statistical LearningPrincipal Investigator

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Asset Pricing and Portfolio Management Using Higher-Order Moment (Volatility and Skewness)

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Asset pricing and investment theories based on high frequency and option dataPrincipal Investigator

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Risk Management and Optimal Asset Allocation by Stochastic Copula ModelPrincipal Investigator

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Statistical Inference of Stochastic Copulas and Their Application to FinancePrincipal Investigator

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Robust Portfolio and Its Risk MeasurementPrincipal Investigator

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Theoretical Research on the problem of dynamic portfolio selection based on new approaches and Its Application

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On optimal security design and financial contract

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Managing new type of risks - Electricity, weather, and insurance risks and their derivatives-

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[Book] ＭＢＡチャレンジ 金融・財務2017

Author(s)

Total Pages

NAKAMURA Nobuhiro 中村信弘

NOBUHIRO Nakamura 中村信弘

[Book] ＭＢＡチャレンジ　金融・財務2017

[Journal Article] 確率的依存構造をもつコピュラモデルー統計的推定方法と計量ファイナンスへの応用ー2020

[Journal Article] 確率的依存構造をもつコピュラモデルー統計的推定方法と計量ファイナンスへの応用ー2020