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Maekawa Koichi  前川 功一

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MAEKAWA Koichi  前川 功一

MAEKAWA Kouichi  前川 功一

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Researcher Number 20033748
Other IDs
External Links
Affiliation (based on the past Project Information) *help 2023: 広島経済大学, 未登録, 名誉教授
2020 – 2021: 広島経済大学, 未登録, 名誉教授
2019: 広島経済大学, 大学院経済学研究科, 名誉教授
2018: 広島経済大学, 経済学研究科(研究院), 教授
2012 – 2016: 広島経済大学, 経済学研究科(研究院), 教授 … More
2013: 広島経済大学, 経済学研究科, 教授
2011: 広島経済大学, 大学院・経済学研究科, 教授
2011: 広島経済大学, 経済学研究科, 学長
2010: 広島大学, 社会科学研究科, 教授
2008: Hiroshima University of Economics, 大学院経済学研究科, 教授
2007 – 2008: Hiroshima University of Economics, 大学院・経済学研究科, 教授
2006: 広島大学, 大学院社会科学研究科, 教授
2004: Hiroshima University, Graduate School of Social Sciences, Professor, 大学院・社会科学研究科, 教授
1991 – 2003: 広島大学, 経済学部, 教授
1988 – 1989: 広島大学, 経済学部, 教授
1986: Professor, Department of Economics, Hiroshima University, 経済学部, 教授
1986: 広島大学, 経済学部, 教授 Less
Review Section/Research Field
Principal Investigator
Economic statistics / Economic statistics / Basic Section 07030:Economic statistics-related / 統計学 / Educaion
Except Principal Investigator
統計学 / Economic statistics / General mathematics (including Probability theory/Statistical mathematics)
Keywords
Principal Investigator
非定常時系列 / 高頻度データ / 単位根 / 構造変化 / ジャンプ過程 / GARCHモデル / モンテカルロ実験 / Asymptotic Expansion / Time Series Analysis / ARCH … More / シミュレーション分析 / 株価時系列 / cointegration / unit root / 経済時系列 / マクロ経済時系列 / 共和分 / 自己回帰モデル / 非正規性 / 因果序列 / 独立成分分析 / 構造変化の検定 / 経済時系列分析 / CUSUM test / ジャンプ付き拡散過程 / ウェーブレット / 疑似最尤推定法 / 多国間経済波及効果 / 動学的パネルでエータ / 周期混合時系列データ / プログラムのパッケージ化 / 日本の経済時系列分析 / MIDAS法によるデータ処理 / 観察頻度の異なる複数時系列の処理法 / 経済ショックの波及経路 / 非ガウス性 / 株式取引需要関数 / 因果序列の探索 / 非正規攪乱項 / 共和分分析 / 実現ボラティリティ / 株式需要分析 / fastICAの動作解析 / 株価モデルへの応用 / 金融緩和政策の実証分析 / 疑似尤度最尤法 / 非ガウス型 / 異次元金融緩和政策モデル / 疑似最尤法 / 非ガウス型構造VARモデル / 金融緩和政策の効果分析 / セミパラメトリック統計学 / 疑似最尤推定量 / 非正規誤差項 / 構造VARモデル / ARMA process / Maximum Likelihood Estimator / Causality Test / ARMA Process / Marked point process / Wavelet analysis / High frequency date of stock price / Jump diffusion model / Unit root / Structural Change / VARモデル / ARIMAモデル / マーク付きジャンプ過程 / GH分布 / 株価収益率の分布 / ボラティリティの持続性 / Bipower test / ジャンプ拡散過程 / 日経225 / 株価収益率 / Generalized Hyperbolic / Normal Inverse Gaussian分布 / マーク付き点過程モデル / CUSU検定 / ウェーブレット分析 / 株価高頻度データ / ジャンプ付拡散過程 / nonlinear regression / simulation analysis / time series of stock data / macro economic time series / structural change / SUR model / SURモデル / 漸近分布 / 因果性 / 非線形回帰モデル / 非線形時回帰分析 / SUR回帰モデル / macroeconomic time series / Economic database / ARCH model / financial time series / bootstrap / periodically integration / 株価変動 / 共和分の検定 / ヨハンセンテスト / 和分・共和分分析 / 景気循環 / リサンプリング / 在庫投資モデル / 共和分のヨハンセン検定 / 単位根検定 / データベース / 金属時系列 / 経済データベース / ARCHモデル / 金融時系列 / ブ-ストラップ / 季節的周期性 / Investment function / Consumption function / Personnel management / Wage decision process / Management practice / British-based Japanese Companies / EC countries / SME policy / EC統合 / 英国商法 / 金融資産 / 個人消費 / 人材開発 / 経営革新 / 商法 / 会計法 / 英国とEC / 金融時系列の非定常性 / 技術革新 / 中小企業 / 投資関数 / 消費関数 / 人事管理 / 賃金決定過程 / 経営慣行 / 英国の日系企業 / EC諸国 / 中小企業政策 / Macro model / Monetary policy / Fiscal Policy / Non-linear regression / Asymptotic expansion / Non-stationary Time series / Co-integration / Unit root test / 政府支出乗数 / unitroot(単位根) / Coーintegration(共和分) / 政府支出 / マクロ計量モデル / error correction / unit root(単位根) / co-integration(共和分) / 非線型回帰 / マクロ経済モデル / IS-LMモデル / 成長曲線 / co-integration / マクロモデル / 金融政策 / 財政政策 / 非線型回帰モデル / 漸近展開 / Cointegration / 単位根の検定 / 変数間の因果序列 / 金融の量的緩和政策効果 / 緩やかな発散過程 / 株価のバブルモデル / Bootstrap法 / 構造変化点の信頼区間 / 金融緩和政策効果 / 為替変動 / 独立成分分析(ICA) / バブル / ボラティリティ / 最尤推定法 / 一般化最小2乗法 / ファイナンス時系列 / Jump過程 / Error Correction Model / 多変量GARCH Model / 時系列の構造変化 / 証券市場のバブル 「国際研究者交流」 / 一般化最小2乗法 / 誤差修正モデル「国際研究者交流」 / 長期記憶系列 / ブートストラップ法 / 誤差修正モデル / Long memory / Realized volatility / Bootstrap method / Structural change / High frequency data / Error correction model / GARCH error / Nonstandard time series / 株価時系列モデル / GRACHモデル / 為替レート変動モデル / ARFIMAモデル / Realized Volatility / フーリエ推定量 / 情報流入 / ARFIMAXモデル / 金融危機 / 長期記憶性 / 計量ファイナンス / 計量経済学 / 入試制度 / 選抜指標 / 入学者の確保 / インタビュー調査 / AO入試 / 入試方法 / 入試情報 / 追跡調査 / 意識調査 / 進路指導主事 / 入試委員長 … More
Except Principal Investigator
Cointegration / Ancillary Statistic / Asymptotic Expansion / Power Function / Fractional ARIMA / FGN / Exchange Rate Model / Long-memory Time Series / ARMA / 検定 / 非線型最小2乗推定量 / Hurst係数 / 為替レート / 長期記憶時系列モデル / 非線形回帰モデル / 直物為替レ-ト / S-分析 / R / ペリオドグラム / 補助統計量 / 漸近展開 / cointegration / 検定力 / 分数階差ARIMA / 分数正規ノイズ(FGN) / 為替レ-トモデル / 長期記憶時系列 / Liquidity / Repeated Cross Section / Cohort / Panel / Pseudo / 日経金融行動調査 / 計量経済学 / ミクロデータ / コ-ホ-ト / 企業行動 / 企業財務 / パネル分析 / 企業投資 / 財務データ / 疑似パネルデータ / パネルデータ / 全国消費実態調査 / 企業データ / 疑似パネル / 共和分 / 単位根 / 最適階層選択 / データベース / 企業情報 / ミクロ統計 / 擬似パネル / パネル / コールレート / 名目GNP / マネーサプライ / RPC / 因果性検定 / 多変量時系列 / 相関変動モデル / 信用デリバティブ / 金利モデル / 社債モデル / 信用・市場リスク / 市場リスク / 個別国債価格の予測モデル / 無裁定価格理論の検証 / 個別国債価格モデル / 社債の信用リスク価格スプレッド / 倒産確率の期間構造 / 信用価格スプレッド / 市場格付け方法 / 市場価格スプレッド / 市場金利変動分析 / ディフォルト確率の期間構造 / 金利の期間構造 / 社債価格モデル / 国債価格モデル / 信用リスク / 金融リスクマネジメント / 医学統計 / 計算機統計学 / 大偏差原理 / 非母数解析 / 順位統計量 / 金融工学 / 経験尤度解析 / 計量ファイナンス / 統計的漸近理論 / 確率解析 / 統計解析 / 非対称分布 / 多変量解析 / 非母数統計解析 / 漸近最適性 / 金融時系列 / 統計推測 Less
  • Research Projects

    (17 results)
  • Research Products

    (72 results)
  • Co-Researchers

    (105 People)
  •  Theory and applications of Econometric models with mixed Data samplingPrincipal Investigator

    • Principal Investigator
      前川 功一
    • Project Period (FY)
      2023 – 2025
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 07030:Economic statistics-related
    • Research Institution
      Hiroshima University of Economics
  •  Statistical inference for non-Gaussian Structural VAR model and its applicationPrincipal Investigator

    • Principal Investigator
      Maekawa Koichi
    • Project Period (FY)
      2018 – 2021
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Review Section
      Basic Section 07030:Economic statistics-related
    • Research Institution
      Hiroshima University of Economics
  •  Monitaring of parameter chamge in economic time series modelPrincipal Investigator

    • Principal Investigator
      MAEKAWA Koichi
    • Project Period (FY)
      2014 – 2016
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Economic statistics
    • Research Institution
      Hiroshima University of Economics
  •  Advancing empirically effective models for analyzing financial risks and applying them to risk analysis and management

    • Principal Investigator
      KARIYA Takeaki, 刈屋 武昭
    • Project Period (FY)
      2011 – 2013
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      Economic statistics
    • Research Institution
      Meiji University
  •  Statistical inference for extended models in financial time seriesPrincipal Investigator

    • Principal Investigator
      MAEKAWA Koichi
    • Project Period (FY)
      2011 – 2013
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Economic statistics
    • Research Institution
      Hiroshima University of Economics
  •  Theory and Applications for Mathematical Methods in Statistical Science

    • Principal Investigator
      TANIGUCHI Masanobu
    • Project Period (FY)
      2007 – 2010
    • Research Category
      Grant-in-Aid for Scientific Research (A)
    • Research Field
      General mathematics (including Probability theory/Statistical mathematics)
    • Research Institution
      Waseda University
  •  Econometric Analysis of High Frequency Financial Time SeriesPrincipal Investigator

    • Principal Investigator
      MAEKAWA Koichi
    • Project Period (FY)
      2006 – 2008
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Economic statistics
    • Research Institution
      Hiroshima University of Economics
      Hiroshima University
  •  大学全入時代における入学者選抜方法に関する研究Principal Investigator

    • Principal Investigator
      前川 功一
    • Project Period (FY)
      2002 – 2003
    • Research Category
      Grant-in-Aid for Exploratory Research
    • Research Field
      Educaion
    • Research Institution
      Hiroshima University
  •  Analysis of stationary ans non-stationary economic time series with structural changesPrincipal Investigator

    • Principal Investigator
      MAEKAWA Koichi
    • Project Period (FY)
      2002 – 2004
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Economic statistics
    • Research Institution
      Hiroshima University
  •  Methods For Nonstationary And Nonlinear Models In Economic Time Series And Their ApplicationsPrincipal Investigator

    • Principal Investigator
      MAEKAWA Koichi
    • Project Period (FY)
      1999 – 2001
    • Research Category
      Grant-in-Aid for Scientific Research (C)
    • Research Field
      Economic statistics
    • Research Institution
      Hiroshima University
  •  Panel Database and its Statistical Analysis on the Network

    • Principal Investigator
      BAN Kanemi
    • Project Period (FY)
      1996 – 1998
    • Research Category
      Grant-in-Aid for Scientific Research on Priority Areas
    • Research Institution
      OSAKA UNIVERSITY
  •  Study of Economic and Managerial Perfomance in Japan and U.K.Principal Investigator

    • Principal Investigator
      MAEKAWA Kouichi
    • Project Period (FY)
      1994 – 1996
    • Research Category
      Grant-in-Aid for international Scientific Research
    • Research Institution
      Hiroshima University
  •  Theory and application of integration and co-integration analysis for economic time seriesPrincipal Investigator

    • Principal Investigator
      MAEKAWA Koichi
    • Project Period (FY)
      1994 – 1996
    • Research Category
      Grant-in-Aid for Scientific Research (B)
    • Research Field
      Economic statistics
    • Research Institution
      HIROSHIMA UNIVERSITY
  •  Theory and Applications of Statical Inference for Economic Time SeriesPrincipal Investigator

    • Principal Investigator
      MAEKAWA Koichi
    • Project Period (FY)
      1991 – 1993
    • Research Category
      Grant-in-Aid for General Scientific Research (C)
    • Research Field
      Economic statistics
    • Research Institution
      HIROSHIMA UNIVERSITY
  •  Long-memory time series; its foundations and applications to economics.

    • Principal Investigator
      OKAMOTO Masanori
    • Project Period (FY)
      1988 – 1989
    • Research Category
      Grant-in-Aid for General Scientific Research (C)
    • Research Field
      統計学
    • Research Institution
      HIROSHIMA UNIVERSITY
  •  経済時系列における因果性検定の理論的基礎と応用

    • Principal Investigator
      OKAMOTO Masanori B.
    • Project Period (FY)
      1986
    • Research Category
      Grant-in-Aid for General Scientific Research (C)
    • Research Field
      統計学
    • Research Institution
      Hiroshima University
  •  Analysis of Time Series Data: Theory and its ApplicationsPrincipal Investigator

    • Principal Investigator
      MAEKAWA Koichi
    • Project Period (FY)
      1985 – 1986
    • Research Category
      Grant-in-Aid for General Scientific Research (C)
    • Research Field
      統計学
    • Research Institution
      HIROSHIMA UNIVERSITY

All 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2009 2008 2007 2006 2005 2004 2002 Other

All Journal Article Presentation Book

  • [Book] 東アジアの経済成長の持続可能性について2016

    • Author(s)
      福井信幸、前川功一、他5名
    • Total Pages
      247
    • Publisher
      広島経済大学地域経済研究所
    • Data Source
      KAKENHI-PROJECT-26380279
  • [Book] 経済・経営系のためのよくわかる統計学2014

    • Author(s)
      前川功一、得津義康、河合研一
    • Total Pages
      168
    • Publisher
      朝倉書店
    • Data Source
      KAKENHI-PROJECT-23330075
  • [Book] 金融時系列分析の理論と応用2012

    • Author(s)
      前川功一, 得津康義
    • Total Pages
      205
    • Publisher
      広島経済大学地域経済研究所
    • Data Source
      KAKENHI-PROJECT-23330075
  • [Book] 金融時系列分析の理論と応用2012

    • Author(s)
      前川功一・得津康義(編著)
    • Total Pages
      205
    • Publisher
      広島経済大学地域経済研究所
    • Data Source
      KAKENHI-PROJECT-23330075
  • [Book] 経済時系列ハンドブック2012

    • Author(s)
      刈屋武昭・前川功一・矢島美寛・福地純一郎・川崎能典共編著書
    • Total Pages
      771
    • Publisher
      朝倉書店
    • Data Source
      KAKENHI-PROJECT-23243040
  • [Book] Handbook of Applied Econometrics and Statistical Inference (edited by Aman Ullah, Alan T.K.Wan, and Anoop Chaturvedi)(22章 SUR Models with Integrated Regressors, pp469-490を執筆)2002

    • Author(s)
      Koichi Maekawa
    • Total Pages
      718
    • Publisher
      Marcel Dekker, Inc.
    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14330005
  • [Journal Article] Identification and Estimation of Structural VAR Model (II) : Under the Non-Gaussian Errors2021

    • Author(s)
      前川功一
    • Journal Title

      広島経済大学経済研究論集

      Volume: 44 Issue: 2 Pages: 21-32

    • DOI

      10.18996/keizai2021440202

    • NAID

      120007180150

    • URL

      https://hue.repo.nii.ac.jp/records/416

    • Year and Date
      2021-11-30
    • Language
      Japanese
    • Open Access
    • Data Source
      KAKENHI-PROJECT-18K01555
  • [Journal Article] On Likelihood Ratio Test and Wald Test in Non-Gaussian Structural VAR Model : Simulation Analysis2021

    • Author(s)
      前川功一
    • Journal Title

      広島経済大学経済研究論集

      Volume: 43 Issue: 3 Pages: 119-127

    • DOI

      10.18996/keizai2021430308

    • NAID

      120007018942

    • URL

      https://hue.repo.nii.ac.jp/records/428

    • Year and Date
      2021-03-31
    • Language
      Japanese
    • Open Access
    • Data Source
      KAKENHI-PROJECT-18K01555
  • [Journal Article] Identification and Estimation of Structural VAR Model (I) : Under the Normal Error2020

    • Author(s)
      前川功一
    • Journal Title

      広島経済大学経済研究論集

      Volume: 43 Issue: 2 Pages: 23-40

    • DOI

      10.18996/keizai2020430202

    • NAID

      120006937451

    • URL

      https://hue.repo.nii.ac.jp/records/430

    • Year and Date
      2020-11-30
    • Language
      Japanese
    • Open Access
    • Data Source
      KAKENHI-PROJECT-18K01555
  • [Journal Article] 非ガウス型構造VARモデルによる因果序列の探索 ―日本の量的金融緩和政策の分析を事例として―2017

    • Author(s)
      前川功一
    • Journal Title

      広島経済大学創立50周年記念論文集

      Volume: 印刷中

    • NAID

      120006358970

    • Acknowledgement Compliant / Open Access
    • Data Source
      KAKENHI-PROJECT-26380279
  • [Journal Article] Change Point Analysis of Exchange Rates Using Bootstrapping Methods:2015

    • Author(s)
      Amirullah Setya Hardi, Ken-ichi Kawai, Sangyeol Lee and Koichi Maekawa
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: 22 Pages: 429-444

    • Peer Reviewed / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-26380279
  • [Journal Article] Long Memory in Aggregate Squared GARCH (1, 1) Process2015

    • Author(s)
      Koichi MAEKAWA and Ken-ichi KAWAI
    • Journal Title

      The Journal Estadistica of the IASI

      Volume: 未定

    • Data Source
      KAKENHI-PROJECT-26380279
  • [Journal Article] ICA分析による因果序列の検出ーインドネシア・ルピアの為替レート分析ー2015

    • Author(s)
      前川功一、Amirullah Setya Hardi
    • Journal Title

      広島経済大学研究双書

      Volume: 44 Pages: 173-195

    • Open Access / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-26380279
  • [Journal Article] VARモデルによる日本の金融緩和政策効果の検証2015

    • Author(s)
      前川功一、小村衆一、永田修一
    • Journal Title

      広島経済大学経済研究論集

      Volume: 38 Pages: 1-20

    • Acknowledgement Compliant / Open Access
    • Data Source
      KAKENHI-PROJECT-26380279
  • [Journal Article] GARCH誤差項を持つ多変量誤差修正モデルの推定2014

    • Author(s)
      前川功一
    • Journal Title

      商学論究(関西学院大学)

      Volume: 61 Pages: 23-48

    • Data Source
      KAKENHI-PROJECT-23330075
  • [Journal Article] GARCH誤差項を持つ多変量誤差修正モデルの推定2014

    • Author(s)
      前川功一
    • Journal Title

      商学論究(関西学院大学商学研究会)

      Volume: 61 Pages: 23-48

    • Data Source
      KAKENHI-PROJECT-23243040
  • [Journal Article] GARCH誤差項を持つ多変量誤差修正モデルの推定2014

    • Author(s)
      前川功一
    • Journal Title

      商学論究(関西学院大学商学研究会)

      Volume: 61巻3号 Pages: 23-48

    • Data Source
      KAKENHI-PROJECT-23330075
  • [Journal Article] Estimation of Vector Error correction Model with GARCH Errors-Simulation Study-2012

    • Author(s)
      Koichi Maekawa, Kusdhianto Setiawan
    • Journal Title

      広島経済大学研究双書

      Volume: 39 Pages: 35-65

    • Data Source
      KAKENHI-PROJECT-23243040
  • [Journal Article] Estimation of Vector Error Correction Model with GARCH Errors-Simulation study-2012

    • Author(s)
      Koichi Maekawa, Kusdhianto Setiawan
    • Journal Title

      広島経済大学研究双書

      Volume: 39冊 Pages: 35-65

    • Data Source
      KAKENHI-PROJECT-23330075
  • [Journal Article] Two Tests for Jumps in High Freqency Financial Time Series: Simulation and Empirical Application2012

    • Author(s)
      Koichi Maekawa
    • Journal Title

      HUE Journal of Economics and Business

      Volume: 35巻1号 Pages: 11-20

    • Data Source
      KAKENHI-PROJECT-23330075
  • [Journal Article] ARFIMAモデルによる長期記憶過程の推定-シミュレーション比較と実証分析2012

    • Author(s)
      得津康義, 前川功一, 永田修一
    • Journal Title

      広島経済大学研究双書

      Volume: 39冊 Pages: 1-34

    • Data Source
      KAKENHI-PROJECT-23330075
  • [Journal Article] ARFIMAモデルによる長期記憶性の推定-シミュレーション比較と実証分析2012

    • Author(s)
      前川功一、得津康義、永田修一
    • Journal Title

      広島経済大学研究双書

      Volume: 39冊 Pages: 1-33

    • Data Source
      KAKENHI-PROJECT-23330075
  • [Journal Article] Two tests for jump in high frequency financial time series : Simulation and empirical application, HUE Journal of Economics and Business2012

    • Author(s)
      Koichi Maekawa, Lu Xinhong
    • Journal Title

      広島経済大学経済研究論集

      Volume: 35(6月出版予定)(掲載確定)(未定)

    • Data Source
      KAKENHI-PROJECT-23243040
  • [Journal Article] ARFIMAモデルによる長期記憶性の推定-シミュレーション比較と実証分析-2012

    • Author(s)
      前川功一, 得津康義, 永田修一
    • Journal Title

      広島経済大学研究双書

      Volume: 39 Pages: 1-33

    • Data Source
      KAKENHI-PROJECT-23243040
  • [Journal Article] Two tests for Jumps in High Freqency Financial Time Series: Simultion asnd Empirical Application2012

    • Author(s)
      Koichi Maekawa and Xinhong Lu
    • Journal Title

      HUE Journal of Economics and Business

      Volume: 35(1) Pages: 11-20

    • Data Source
      KAKENHI-PROJECT-23243040
  • [Journal Article] Long memory in Realized Volatility of Return on Yen/doll$ Exchange rate during three Financial Crises2009

    • Author(s)
      Koichi Maekawa, Lu Xinhong
    • Journal Title

      広島経済大学経済研究論集 31(4)

      Pages: 41-70

    • URL

      http://harp.lib.hiroshima-u.ac.jp/bitstream/harp/3942/1/keizai1978310403.pdf

    • Data Source
      KAKENHI-PROJECT-18330041
  • [Journal Article] 株価収益率におけるボラティリティの長期依存性に関する一考察2008

    • Author(s)
      前川 功一、河合 研一
    • Journal Title

      広島経済大学経済研究論集 30(3・4)

      Pages: 53-69

    • NAID

      120005378525

    • Data Source
      KAKENHI-PROJECT-18330041
  • [Journal Article] The CUSUM of squares test for the stability of regression models with non-stationary regressors2008

    • Author(s)
      Xinhong Lu, K. Maekawa, Sangyeol Lee,
    • Journal Title

      economics letters 100

      Pages: 234-237

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18330041
  • [Journal Article] The CUSUM of squares test for the stability of regression models with non-stationary regre2008

    • Author(s)
      Xinhong Lu, K. Maekawa, Sangyeol L
    • Journal Title

      economics letters 100

      Pages: 234-237

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18330041
  • [Journal Article] Jump diffusion model with application to the Japanese stock market2008

    • Author(s)
      Koichi Maekawa, Sangyeol Lee, Takayuki Morimoto, Ken-ichi Kawai
    • Journal Title

      Mathematics and Computers in Simulation 78(2・3)

      Pages: 223-236

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18330041
  • [Journal Article] 株価収益率におけるボラティリティの長期依存性に関する一考察2008

    • Author(s)
      前川功一、河合研一
    • Journal Title

      広島経済大学経済研究論集 30(3・4)

      Pages: 53-69

    • NAID

      120005378525

    • Data Source
      KAKENHI-PROJECT-18330041
  • [Journal Article] Jump Diffusion Model with Application to the Japanese Stock Market2007

    • Author(s)
      K.Maekawa 他3名
    • Journal Title

      Mathematics and computers in simulation, (掲載決定)(forthcoming)

    • Data Source
      KAKENHI-PROJECT-18330041
  • [Journal Article] Test for Parameter Change in ARIMA Models2006

    • Author(s)
      LEE Sangyeol, PARK Siyun, MAEKAWA Koichi, KAWAI Ken-Ichi
    • Journal Title

      Communications in Statistics : Simulation and Computation 35・2

      Pages: 429-439

    • NAID

      120000878141

    • Peer Reviewed
    • Data Source
      KAKENHI-PROJECT-18330041
  • [Journal Article] Jump diffusion models for Japanese stock market2005

    • Author(s)
      Koichi Maekawa
    • Journal Title

      Proceedings of the 2005 International Conference on Simulation and Modeling

      Pages: 547-555

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14330005
  • [Journal Article] The Cusum Test for Parameter change in Regression Models with ARCH Errors2004

    • Author(s)
      前川功一, 得津康義, S.Lee
    • Journal Title

      Journal of Japan Statistical Society 34・2

      Pages: 173-188

    • NAID

      110003161359

    • Data Source
      KAKENHI-PROJECT-14330005
  • [Journal Article] Estinating break points in a time series with Structural changes2004

    • Author(s)
      Koichi Maekawa
    • Journal Title

      Mathematics and Computers in Simulation 64

      Pages: 95-101

    • Description
      「研究成果報告書概要(欧文)」より
    • Data Source
      KAKENHI-PROJECT-14330005
  • [Journal Article] Estimating break points in a time series regression with structural changes2004

    • Author(s)
      Koichi Maekawa
    • Journal Title

      Mathematics and Computers in Simulation 64

      Pages: 95-101

    • Description
      「研究成果報告書概要(和文)」より
    • Data Source
      KAKENHI-PROJECT-14330005
  • [Journal Article] Estimating break points in a time series regression with structural changes2004

    • Author(s)
      Tee Kianheng, 前川功一, 何宗路
    • Journal Title

      Mathematics and Computers in simulation 64・1

      Pages: 95-101

    • Data Source
      KAKENHI-PROJECT-14330005
  • [Presentation] Application of non-Gaussian SVAR model to the analysis of Japans quantitative easing monetary policy2021

    • Author(s)
      T. Nakanishi, K Maekawa, Y. Senda
    • Organizer
      EcoSta2021
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18K01555
  • [Presentation] Application of non-GAussian SVAR model to the analysis of Japan's quantitative easing monetary policy2021

    • Author(s)
      Tadashi Nakanishi, Koichi Maekawa, Takashi Senda
    • Organizer
      4th International Conference on Econometrics and Statistics (EcoSta 2019)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18K01555
  • [Presentation] Estimation of non-Gaussian structural VAR model under a flexible quasi-log-l2021

    • Author(s)
      Koichi Maekawa, Tadashi Nakanishi
    • Organizer
      4th InternationalConference on Econometrics and Statistics (EcoSta 2019)
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18K01555
  • [Presentation] Estimation of Non-Gaussian Structural VAR model -A flexible Quasi Likelihood function Approach-2021

    • Author(s)
      k. Maekawa, T. Nakanishi
    • Organizer
      SMU Econometric Conferenc
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18K01555
  • [Presentation] Estimation of Non-Gaussian Structural VAR model -A flexible Quasi Likelihood function Approach-2021

    • Author(s)
      K. Maekawa, T.Nakanishi
    • Organizer
      EcoSta2021
    • Invited / Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18K01555
  • [Presentation] Statistical inference of non-Gaussian structural vector autoregressive (VAR) models2019

    • Author(s)
      Koichi Maekawa and Gigih Fitrianto
    • Organizer
      3rd International Conference on Econometrics and Statistics (EcoSta 2019)
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-18K01555
  • [Presentation] 非正規型構造VARモデルに関する最近の研究動向2018

    • Author(s)
      前川功一
    • Organizer
      大阪大学 数理・データ科学教育研究センター主催 2018年度中之島ワークショップ
    • Invited
    • Data Source
      KAKENHI-PROJECT-18K01555
  • [Presentation] Causal Inference by Non-Gaussian SVAR Model: An Application to Japan’s Quantitative Easing policy2017

    • Author(s)
      Koichi Maekawa
    • Organizer
      SMU-HUE-HU Tripartite Conference
    • Place of Presentation
      Singapore Management University(シンガポール)
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-26380279
  • [Presentation] Testing short-run restrictions in non-Gaussian SVAR model2016

    • Author(s)
      Koichi Maekawa, Shuichi Nagata
    • Organizer
      Tripartite Conference of Econometrics
    • Place of Presentation
      Singapore
    • Year and Date
      2016-03-24
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-26380279
  • [Presentation] Modeling Long Memory in Aggregate Squared GARCH (1,1) Process and Its Apllication to the Japanese and U.S. Stock Markets2015

    • Author(s)
      Koichi Maekawa
    • Organizer
      Econometric Society 2015 World Congress
    • Place of Presentation
      Montreal, Canada
    • Year and Date
      2015-08-17
    • Int'l Joint Research
    • Data Source
      KAKENHI-PROJECT-26380279
  • [Presentation] Estimation of Vector Error Correction Model with GARCH error : Monte Carlo Simulation and Application2014

    • Author(s)
      Kusdhianto Setiawan and Koichi Maekawa
    • Organizer
      International Conference on Economic Modeling 2014
    • Place of Presentation
      Bali, Indonesia
    • Data Source
      KAKENHI-PROJECT-23330075
  • [Presentation] Confidence Interval for a structural break point by bootstrap method2014

    • Author(s)
      Setya H. Amirullah and Koichi Maekawa
    • Organizer
      International Conference on Fiance and Financial Econometrics & Engineering
    • Place of Presentation
      明治大学
    • Data Source
      KAKENHI-PROJECT-23330075
  • [Presentation] Estimation of Vector Error Correction Model with Garch Errors: Monte Carlo Simulation and Applications2014

    • Author(s)
      Kusdhianto Setiawan and Koichi Maekawa
    • Organizer
      EcoMod2014
    • Place of Presentation
      Bali, Indonesia
    • Data Source
      KAKENHI-PROJECT-23330075
  • [Presentation] Bootstrapping Confidence Interval of the Change-Point of Time Series with GARCH Errors2014

    • Author(s)
      Amirullah Setya Hardi and Koichi Maekawa
    • Organizer
      Workshop on High-frequency Data and Financial Econometrics
    • Place of Presentation
      一橋大学
    • Data Source
      KAKENHI-PROJECT-23243040
  • [Presentation] Bootstrapping Confidence Interval of the Change-Point of Time Series with GARCH Errors2014

    • Author(s)
      Amirullah Setya Hardi and Koichi Maekawa
    • Organizer
      SMU-NTU-HUE-HU International Conference on Economics and Econometrics
    • Place of Presentation
      広島大学
    • Data Source
      KAKENHI-PROJECT-23243040
  • [Presentation] Bootstrapping Confidence Interval of Single Change Point in Time Series Regression Model with GARCH Error Process2014

    • Author(s)
      Setya Hardi Amirullah, Ken-ichi, Kawai, Sangyeol Lee and Koichi, Maekawa
    • Organizer
      明治大学・京都大学共催 金融国際コンファランス
    • Place of Presentation
      明治大学駿河台キャンパス
    • Data Source
      KAKENHI-PROJECT-23243040
  • [Presentation] Estimation of Vector Error Correction Model with Garch Errors: Monte Carlo Simulation and Applications2014

    • Author(s)
      Kusdhianto Setiawan and Koichi Maekawa
    • Organizer
      EcoMod2014
    • Place of Presentation
      Bali, Indonesia
    • Data Source
      KAKENHI-PROJECT-23243040
  • [Presentation] GLS Approach for Vector Error Correction Model with GARCH Error and It’s Application to International Asset Pricing2013

    • Author(s)
      Koichi Maekawa and Kusdhianto Setiawan
    • Organizer
      明治大学科学研究費基盤研究(A)金融リスクコンファランス(II)『金融リスクの分析モデルの高度化とリスクマネジメントへの応用―信用リスクと金利リスクー』
    • Place of Presentation
      明治大学駿河台キャンパスアカデミーコモン
    • Data Source
      KAKENHI-PROJECT-23243040
  • [Presentation] Estimation of Vector Error correction Model with GARCH Errors2012

    • Author(s)
      Koichi Maekawa, Kusdhianto Setiawan
    • Organizer
      HU-HUE-SKBI Tripartite Conference
    • Place of Presentation
      Singapore Management University
    • Year and Date
      2012-03-29
    • Data Source
      KAKENHI-PROJECT-23243040
  • [Presentation] Estimation of Vector Error Correction Model with GARCH Errors-Simulation study-2012

    • Author(s)
      Koichi Maekawa, Kusdhianto Setiawan
    • Organizer
      HU-HUE-SKBI Conference on Economics Development and the Asian Financial Market
    • Place of Presentation
      Singapore Management University, Singapore
    • Year and Date
      2012-03-29
    • Data Source
      KAKENHI-PROJECT-23330075
  • [Presentation] Eatimation of vector error correction model with GARCH errors2012

    • Author(s)
      Koichi Maekawa and Kusdhianto Setiawan
    • Organizer
      SMU-ESSEC Symposium on Empirical Finance & Econometrics
    • Place of Presentation
      Singapore Management University
    • Year and Date
      2012-07-09
    • Data Source
      KAKENHI-PROJECT-23330075
  • [Presentation] RVの長期記憶性に関するWavelet分析2008

    • Author(s)
      前川功一、得津康義、永田修一
    • Organizer
      関西計量経済学研究会
    • Place of Presentation
      大阪大学中之島センター
    • Year and Date
      2008-02-10
    • Data Source
      KAKENHI-PROJECT-18330041
  • [Presentation] A Comparison of Estimators for Long-Memory Process - Simulation and Emprical Study -2008

    • Author(s)
      Yasuyoshi Tokutsu, Shuichi Nagata and Koichi Maekawa
    • Organizer
      The 2008 Far Eastern and South Asian Meeting of the Econometric Society
    • Place of Presentation
      Singapore Management University
    • Year and Date
      2008-07-18
    • Data Source
      KAKENHI-PROJECT-18330041
  • [Presentation] A Comparison of Estimators for Long-Memory Process -Simulation and Emprical Study-2008

    • Author(s)
      Yasuyoshi Tokutsu, Shuichi Nagata, Koichi Maekawa
    • Organizer
      The 2008 Far Eastern and South Asian Meeting of the Econometric Society
    • Place of Presentation
      Singapore Management University
    • Year and Date
      2008-07-18
    • Data Source
      KAKENHI-PROJECT-18330041
  • [Presentation] RVの長期記憶性に関するWavelet分析2007

    • Author(s)
      前川功一、得津康義、永田修一
    • Organizer
      JAFEE
    • Place of Presentation
      中央大学
    • Year and Date
      2007-12-21
    • Data Source
      KAKENHI-PROJECT-18330041
  • [Presentation] Testing stability of a regression model with a nonstationary regressor by a CUSUM test2006

    • Author(s)
      Xinhong Lu、前川功一、Sangyeol Lee
    • Organizer
      日本経済学会
    • Place of Presentation
      大阪市立大学
    • Year and Date
      2006-10-21
    • Data Source
      KAKENHI-PROJECT-18330041
  • [Presentation] Estimating Bivariate GARCH-Jump Model Based on High Frequency Data : the Case of Revaluation of Chinese Yuan in July 20052006

    • Author(s)
      Xinhong Lu, Koichi Maekawa and Ken-ichi Kawai
    • Organizer
      Far Eastern Meeting of the Econometric Society
    • Place of Presentation
      Tsinghua, University, Beijing, China
    • Data Source
      KAKENHI-PROJECT-18330041
  • [Presentation] Estimating Bivariate GARCH-Jump Model Based on High Frequency Data2006

    • Author(s)
      Xinhong Lu、前川功一、河合研一
    • Organizer
      日本統計学会
    • Place of Presentation
      東北大学
    • Year and Date
      2006-09-07
    • Data Source
      KAKENHI-PROJECT-18330041
  • [Presentation] Estimation of Vector Error Correction Model with Garch Errors:

    • Author(s)
      Kusdhianto SETIAWAN, Koichi MAEKAWA
    • Organizer
      INTERNATIONAL CONFERENCE ON ECONOMIC MODELING, 2014
    • Place of Presentation
      Bali, Indonesia
    • Year and Date
      2014-07-16 – 2014-07-18
    • Data Source
      KAKENHI-PROJECT-26380279
  • [Presentation] Estimation of Vector Error Correction Model with GARCH Errors: A Simulation Study

    • Author(s)
      Koichi Maekawa
    • Organizer
      SMU-ESSEC Symposium on Empirical Finance & Financial Econometrics
    • Place of Presentation
      Singapore Management University, Singapore
    • Data Source
      KAKENHI-PROJECT-23330075
  • [Presentation] Confidence interval for a structural break point by bootstrap method

    • Author(s)
      Setya H.Amirullah and Koichi Maekawa
    • Organizer
      International Conference on Finance and Financial Econometrics & Engineering
    • Place of Presentation
      明治大学
    • Data Source
      KAKENHI-PROJECT-23330075
  • [Presentation] Modeling Long Memory in Aggregate Squared GARCH (1, 1) Process and Its Application to the Japanese and U.S. Stock Markets

    • Author(s)
      Koichi MAEKAWA and Ken-ichi KAWAI
    • Organizer
      World Congress of Econometric Society
    • Place of Presentation
      Montreal, Canada
    • Year and Date
      2015-08-17 – 2015-08-21
    • Data Source
      KAKENHI-PROJECT-26380279
  • [Presentation] Change Point Analysis on Exchange Rate Based on Bootstrap Method The Case of Indonesian Currency 2000-2008

    • Author(s)
      Hardi, Amirullah Setya and Koichi Maekawa
    • Organizer
      Annual Conference on Social Studies, Communication and Education
    • Place of Presentation
      Kuala Lumpur, Malaysia
    • Year and Date
      2014-11-07 – 2014-11-09
    • Data Source
      KAKENHI-PROJECT-26380279
  • [Presentation] Bootstrapping Confidence Interval of Single Change Point in Time Series Regression Model(2)

    • Author(s)
      Amirullah Setya Hardi and Koichi Maekawa
    • Organizer
      SMU-NTU-HUE-HU International Conference on Economics and Econometrics
    • Place of Presentation
      広島大学
    • Data Source
      KAKENHI-PROJECT-23330075
  • 1.  KITAOKA Takayoshi (60116572)
    # of Collaborated Projects: 6 results
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  • 2.  MORIMOTO Takayuki (80402543)
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  • 3.  TANIGUCHI Masanobu (00116625)
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  • 4.  HISAMATSU Hiroyuki (90228726)
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  • 5.  FUJIKOSHI Yasunori (40033849)
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  • 6.  ODAKI Mitsuhiro (00194564)
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  • 7.  TOKUTSU Yasuyoshi (30412282)
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  • 8.  KAWAI Ken-ichi (50425831)
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  • 18.  YOSHIDA Nakahiro (90210707)
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  • 19.  OCHI Yoshimichi (60185618)
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  • 20.  YAO Feng (90284348)
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  • 24.  MAESONO Nobuhiko (30173701)
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  • 30.  MIYATA Yoichi (10514250)
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  • 35.  TAKAHASHI Daisuke (50188025)
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  • 36.  SUZUKI Takeru (60047347)
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  • 37.  NISHII Ryuei (40127684)
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  • 38.  SASABUCHI Yoichi (20128028)
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    # of Collaborated Products: 0 results
  • 39.  AKI Shigeo (90132696)
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    # of Collaborated Products: 0 results
  • 40.  KURIKI Satoshi (90195545)
    # of Collaborated Projects: 1 results
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  • 41.  AOSHIMA Makoto (90246679)
    # of Collaborated Projects: 1 results
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  • 42.  TAMAKI Kenichiro (80409664)
    # of Collaborated Projects: 1 results
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  • 43.  SHIRAISHI Hiroshi (90454024)
    # of Collaborated Projects: 1 results
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  • 44.  SHIRAHATA Shingo (10037294)
    # of Collaborated Projects: 1 results
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  • 45.  SHIOHAMA Takayuki (40361844)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 46.  KARIYA Takeaki (70092624)
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    # of Collaborated Products: 2 results
  • 47.  TSUKUDA Yoshihiko (10091836)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 48.  YAMAMURA Yoshiro (60284353)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 49.  INUI Koji (60359825)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 50.  TANOKURA Yoko (60425832)
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 51.  KAMIZONO Kenji (70336147)
    # of Collaborated Projects: 1 results
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  • 52.  INOUE Shouzou (70016517)
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  • 53.  BENSON John (40264923)
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  • 54.  NISHIKI Masayuki (70034014)
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  • 55.  TAKEUCHI Tsuneyoshi (90093773)
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  • 57.  MATSUBARA Shouji (10252892)
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  • 58.  KATAGI Haruhiko (70177393)
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  • 59.  AIZAWA Yoshiharu (60150900)
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  • 60.  NISHITANI Hajime (80208181)
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  • 61.  YAMASHITA Takeshi (30033749)
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  • 62.  NAGAO Shinichi (30207980)
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  • 63.  FUKIHARU Toshitaka (40136031)
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  • 64.  YANO Junnji (40210306)
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  • 65.  TSUBAKI Yasukazu (70144805)
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  • 66.  BAN Kanemi (30027578)
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  • 67.  YOSHIDA Atsushi (60240272)
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  • 68.  SUZUKI Kazuyuki (40226501)
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  • 69.  PINTO Dos Santos (20274045)
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  • 70.  KURATA Hiroshi (50284237)
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  • 71.  YAMADA Hiroshi (90292078)
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  • 72.  KIMURA Shigeru (80067454)
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  • 73.  岩田 光晴 (90346536)
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  • 74.  長澤 武 (30335690)
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  • 75.  大膳 司 (60188464)
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  • 76.  刈屋 武昭 (70062924)
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  • 77.  小川 一夫 (90160746)
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  • 78.  福地 純一郎 (00274043)
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  • 79.  早川 和彦 (00508161)
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  • 80.  中西 正 (30967203)
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  • 81.  塩路 悦朗 (50301180)
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  • 82.  森田 裕史 (70732759)
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  • 83.  STEWART Gery
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  • 84.  HENDERSON Roger
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  • 85.  CAMPBELL Mike
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  • 86.  SUTHERLAND John
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  • 87.  HAMILTON Les
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  • 88.  DEVINES Devid
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  • 89.  LEE Sangyeol
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    # of Collaborated Products: 1 results
  • 90.  Kusdhianto Setiawan
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  • 91.  Amirullah Setya Hardi
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  • 92.  Alessio Moneta
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    # of Collaborated Products: 0 results
  • 93.  DEVINES Davi
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  • 94.  JOHNSON Stev
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    # of Collaborated Products: 0 results
  • 95.  SOUTHERLAMD ジョン
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 96.  STEWART Gerr
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    # of Collaborated Products: 0 results
  • 97.  CAMBELL Mike
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    # of Collaborated Products: 0 results
  • 98.  LES Hamilton
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    # of Collaborated Products: 0 results
  • 99.  TIM Bandwhis
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 100.  ELAIN Monkho
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 101.  ROGER Hender
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    # of Collaborated Products: 0 results
  • 102.  GERRY Stewar
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 103.  STEVE Johnso
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 104.  JOHN Sutherl
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results
  • 105.  MIKE Campbel
    # of Collaborated Projects: 1 results
    # of Collaborated Products: 0 results

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