KAWAI Ken-ichi 河合研一

… Alternative Names

河合研一カワイケンイチ

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Researcher Number	50425831
Other IDs
Affiliation (Current)	2025: 別府大学, 国際経営学部, 准教授
Affiliation (based on the past Project Information) *help	2011 – 2016: 別府大学, 国際経営学部, 准教授 2013: 別府大学, 国際経済学部, 准教授 2008: 別府大学, 食物栄養科学部, 准教授 2007: 広島経済大学, 情報・システム研究機構, 研究員 2006: 大学共同利用機関法人, 情報システム研究機構, 研究員
Review Section/Research Field	Except Principal Investigator Economic statistics
Keywords	Except Principal Investigator 高頻度データ / ジャンプ過程 / GARCHモデル / 非定常時系列 / 経済時系列分析 / 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 … More / 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 / 構造変化 / 非正規性 / 因果序列 / 独立成分分析 / 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 / 構造変化の検定 / 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 / CUSUM test / 株価時系列モデル / GRACHモデル / ジャンプ付き拡散過程 / 為替レート変動モデル / ウェーブレット / 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 Less

Monitaring of parameter chamge in economic time series model
- 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
Statistical inference for extended models in financial time series
- 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
Econometric Analysis of High Frequency Financial Time Series
- 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

All 2015 2014 2008 2006 Other

All Journal Article Presentation Book

[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
[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] 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] 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 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] 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] Test for Parameter Change in ARIMA Models2006
- Author(s)
  K.Kawai 他2名
- Journal Title
  
  Communications in Statistics : Simulation and Computation 35・2
  
  Pages: 429-439
- NAID
  120000878141
- 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] 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

1. MORIMOTO Takayuki (80402543)

# of Collaborated Projects: 4 results

# of Collaborated Products: 1 results
2. MAEKAWA Koichi (20033748)

# of Collaborated Projects: 3 results

# of Collaborated Products: 10 results
3. TOKUTSU Yasuyoshi (30412282)

# of Collaborated Projects: 3 results

# of Collaborated Products: 1 results
4. KATAYAMA Naoya (80452720)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
5. NAGATA Shuichi (50546893)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
6. TEE Kian Heng (70325140)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. 久松博之 (90228726)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
8. LEE Sangyeol

# of Collaborated Projects: 1 results

# of Collaborated Products: 1 results
9. Kusdhianto Setiawan

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. Amirullah Setya Hardi

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. Alessio Moneta

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

KAWAI Ken-ichi 河合 研一

河合 研一 カワイ ケンイチ

Research Projects

Research Products

Co-Researchers

Monitaring of parameter chamge in economic time series model

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Statistical inference for extended models in financial time series

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Econometric Analysis of High Frequency Financial Time Series

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Book] 経済・経営系のためのよくわかる統計学2014

Author(s)

Total Pages

Publisher

Data Source

[Journal Article] Long Memory in Aggregate Squared GARCH (1, 1) Process2015

Author(s)

Journal Title

Data Source

[Journal Article] Change Point Analysis of Exchange Rates Using Bootstrapping Methods:2015

Author(s)

Journal Title

Data Source

[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)

Journal Title

NAID

Data Source

[Journal Article] Jump diffusion model with application to the Japanese stock market2008

Author(s)

Journal Title

Data Source

[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)

Journal Title

NAID

Data Source

[Journal Article] Test for Parameter Change in ARIMA Models2006

Author(s)

Journal Title

NAID

Data Source

[Journal Article] Test for Parameter Change in ARIMA Models2006

Author(s)

Journal Title

NAID

Data Source

[Presentation] Estimating Bivariate GARCH-Jump Model Based on High Frequency Data : the Case of Revaluation of Chinese Yuan in July 20052006

Author(s)

Organizer

Place of Presentation

Data Source

[Presentation] Estimating Bivariate GARCH-Jump Model Based on High Frequency Data2006

Author(s)

Organizer

Place of Presentation

Year and Date

Data Source

[Presentation] Modeling Long Memory in Aggregate Squared GARCH (1, 1) Process and Its Application to the Japanese and U.S. Stock Markets

Author(s)

Organizer

Place of Presentation

Year and Date

Data Source

KAWAI Ken-ichi 河合研一

河合研一カワイケンイチ