Chiba Masaru 千葉賢

… Alternative Names

CHIBA Masaru 千葉賢

Less

Researcher Number	00586472
Other IDs
Affiliation (Current)	2026: 愛知学院大学, 経営学部, 准教授
Affiliation (based on the past Project Information) *help	2020 – 2024: 愛知学院大学, 経営学部, 准教授 2018 – 2019: 福井工業大学, 環境情報学部, 准教授 2011 – 2013: 福井工業大学, 工学部, 講師
Review Section/Research Field	Principal Investigator Basic Section 07030:Economic statistics-related / Economic statistics
Keywords	Principal Investigator LM検定 / 時系列分析 / カルマンフィルタ / 状態空間モデル / 計量経済学 / 混合頻度 / レジーム転換 / ベクトル自己回帰モデル / マルコフ連鎖 / 景気循環 … More / 景気循環分析 / マルコフ転換モデル / 国際情報交流 / 国際情報交換 / 識別性 / デルタ関数 / 確率ボラティリティモデル / 動学的因子モデル Less

Research Projects
(3 results)
Research Products
(17 results)

Testing and prediction for mixed-frequency dynamic factor modelsPrincipal Investigator
- Principal Investigator
  
  CHIBA Masaru
- Project Period (FY)
  2021 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Aichi Gakuin University
Testing the Number of Regimes in Markov-switching autoregressive models with jumpsPrincipal Investigator
- Principal Investigator
  
  CHIBA Masaru
- Project Period (FY)
  2018 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Aichi Gakuin University
  Fukui University of Technology
Specification testing in the state space model and its identification conditionPrincipal Investigator
- Principal Investigator
  
  CHIBA Masaru
- Project Period (FY)
  2011 – 2013
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  Fukui University of Technology

All 2024 2023 2022 2021 2019 2018 2013 2012 Other

All Journal Article Presentation

[Journal Article] クリーンサープラス関係を利用した状態空間形式に基づく現在価値モデルの開発2023
- Author(s)
  千葉賢
- Journal Title
  
  経営財務研究
  
  Volume: 43 Pages: 25-47
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21K01430
[Journal Article] Robust and efficient specification tests in Markov-switching autoregressive models2022
- Author(s)
  Masaru Chiba
- Journal Title
  
  Statistical Inference for Stochastic Processes
  
  Volume: 26 Issue: 1 Pages: 99-137
- DOI
  10.1007/s11203-022-09277-5
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21K01430
[Journal Article] Tracking the Business Cycle of Thailand using the Stacking Approach2019
- Author(s)
  Masaru CHIBA
- Journal Title
  
  International Journal of Trend in Research and Development
  
  Volume: 2 Pages: 24-24
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01550
[Journal Article] レジーム転換を考慮した価格調整過程の分析2019
- Author(s)
  千葉賢
- Journal Title
  
  経営財務研究
  
  Volume: 39 Pages: 6485-6485
- NAID
  40022099819
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-18K01550
[Journal Article] Likelihood-based specification tests for dynamic factor models2013
- Author(s)
  Masaru Chiba
- Journal Title
  
  Journal of the Japan Statistical Society
  
  Volume: 43 Pages: 91-125
- NAID
  130004696121
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730219
[Journal Article] Testing for a Single-Factor Stochastic Volatility in Bivariate Series2013
- Author(s)
  Chiba Masaru and Kobayashi Masahito
- Journal Title
  
  Journal of Risk and Financial Management
  
  Volume: Vol.6, No.1 Issue: 1 Pages: 31-61
- DOI
  10.3390/jrfm6010031
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730219
[Journal Article] Likelihood-based specification tests for dynamic factor models2013
- Author(s)
  Chiba Masaru
- Journal Title
  
  Journal of the Japan Statistical Society
  
  Volume: Vol.43. No.2 Pages: 91-125
- NAID
  130004696121
- URL
  http://www.terrapub.co.jp/journals/jjss/frame/43.html
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730219
[Presentation] Granger Causality Test in Bivariate Markov-Switching Autoregressive Models2024
- Author(s)
  千葉　賢
- Organizer
  2024年度統計関連学会連合大会(日本統計学会第92回大会)
- Data Source
  KAKENHI-PROJECT-21K01430
[Presentation] 状態空間形式に基づく現在価値モデルの統計的推測2021
- Author(s)
  千葉賢
- Organizer
  日本経営財務研究学会
- Data Source
  KAKENHI-PROJECT-21K01430
[Presentation] 状態空間形式に基づく現在価値モデルの統計的推測2021
- Author(s)
  千葉賢
- Organizer
  日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-21K01430
[Presentation] 状態空間形式に基づく現在価値モデルの統計的推測2021
- Author(s)
  千葉賢
- Organizer
  日本経済会計学会
- Data Source
  KAKENHI-PROJECT-21K01430
[Presentation] Robust and efficient specification tests in Markov-switching models2019
- Author(s)
  Masaru CHIBA
- Organizer
  Japanese Joint Statistical Meeting 2019
- Data Source
  KAKENHI-PROJECT-18K01550
[Presentation] Tracking the Business Cycle of the Southeast Asia Area using Mixed Frequency Data2018
- Author(s)
  Masaru CHIBA
- Organizer
  統計数理研究所統計サマーセミナー2018
- Data Source
  KAKENHI-PROJECT-18K01550
[Presentation] Testing for a Single-Factor Stochastic Volatility in Bivariate Time Series2012
- Author(s)
  千葉　賢、小林正人
- Organizer
  日本経済学会2012年度春季大会
- Place of Presentation
  北海道大学
- Data Source
  KAKENHI-PROJECT-23730219
[Presentation] Testing for a Single-Factor Stochastic Volatility in Bivariate Time Series2012
- Author(s)
  千葉賢
- Organizer
  日本オペレーションズ・リサーチ学会
- Place of Presentation
  吉田屋山王閣
- Year and Date
  2012-02-14
- Data Source
  KAKENHI-PROJECT-23730219
[Presentation] Testing for a Single-Factor Stochastic Volatility in Bivariate Time Series2012
- Author(s)
  千葉賢
- Organizer
  日本経済学会
- Place of Presentation
  北海道大学
- Year and Date
  2012-06-23
- Data Source
  KAKENHI-PROJECT-23730219
[Presentation] Testing for a Single-Factor Stochastic Volatility in Bivariate Time Series
- Author(s)
  千葉賢
- Organizer
  日本OR学会　「数理モデルとその応用」研究部会
- Place of Presentation
  吉田屋山王閣
- Data Source
  KAKENHI-PROJECT-23730219

Chiba Masaru 千葉 賢

CHIBA Masaru 千葉 賢

Research Projects

Research Products

Testing and prediction for mixed-frequency dynamic factor modelsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Testing the Number of Regimes in Markov-switching autoregressive models with jumpsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Specification testing in the state space model and its identification conditionPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] クリーンサープラス関係を利用した状態空間形式に基づく現在価値モデルの開発2023

Author(s)

Journal Title

Data Source

[Journal Article] Robust and efficient specification tests in Markov-switching autoregressive models2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Tracking the Business Cycle of Thailand using the Stacking Approach2019

Author(s)

Journal Title

Data Source

[Journal Article] レジーム転換を考慮した価格調整過程の分析2019

Author(s)

Journal Title

NAID

Data Source

[Journal Article] Likelihood-based specification tests for dynamic factor models2013

Author(s)

Journal Title

NAID

Data Source

[Journal Article] Testing for a Single-Factor Stochastic Volatility in Bivariate Series2013

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Likelihood-based specification tests for dynamic factor models2013

Author(s)

Journal Title

NAID

URL

Data Source

[Presentation] Granger Causality Test in Bivariate Markov-Switching Autoregressive Models2024

Author(s)

Organizer

Data Source

[Presentation] 状態空間形式に基づく現在価値モデルの統計的推測2021

Author(s)

Organizer

Data Source

[Presentation] 状態空間形式に基づく現在価値モデルの統計的推測2021

Author(s)

Organizer

Data Source

[Presentation] 状態空間形式に基づく現在価値モデルの統計的推測2021

Author(s)

Organizer

Data Source

[Presentation] Robust and efficient specification tests in Markov-switching models2019

Author(s)

Organizer

Data Source

[Presentation] Tracking the Business Cycle of the Southeast Asia Area using Mixed Frequency Data2018

Author(s)

Organizer

Data Source

Chiba Masaru 千葉賢

CHIBA Masaru 千葉賢