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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
  • Research Projects

    (12 results)
  • Research Products

    (157 results)
  • Co-Researchers

    (7 People)
  •  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

All 2024 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2009 2008 2007 2006 2005 Other

All Journal Article Presentation Book

  • [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

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