NAGATA Shuichi 永田修一

Researcher Number	50546893
External Links
Affiliation *help	2018 : 関西学院大学, 商学部, 准教授 2013 – 2017 : 関西学院大学, 商学部, 助教 2013 : 同志社大学, 商学部, 助教 2012 : 関西学院大学, 理工学部, 契約助手
Review Section/Research Field	Except Principal Investigator Economic statistics
Keywords	Except Principal Investigator ジャンプ過程 / 高頻度データ / 非定常時系列 / GARCHモデル / 経済時系列分析 / 緩やかな発散過程 / 長期記憶系列 / 一般化最小2乗法 / 構造変化点の信頼区間 / Error correction model … More

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

All 2017 2016 2015 2013 2012 2011 Other

All Journal Article Presentation

[Journal Article] Robust estimation of a high-dimensional integrated covariance matrix2017
- Author(s)
  Takayuki MORIMOTO and Shuichi NAGATA
- Journal Title
  
  Communications in Statistics - Simulation and Computation
  
  Volume : 46 Pages : 1102-1112
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380279
[Journal Article] Efficiency Gain of Integrated Variance Estimation in the Presence of Jumps and Market Microstructure Noise2017
- Author(s)
  Nagata, S
- Journal Title
  
  International Review of Business
  
  Volume : 17 Pages : 41-60
- Data Source
  KAKENHI-PROJECT-26380279
[Journal Article] 非ガウス型構造VARモデルの最尤推定 -モンテカルロ実験による有限標本パフォーマンスの評価-2016
- Author(s)
  永田修一
- Journal Title
  
  商学論究
  
  Volume : 64 Pages : 97-115
- Open Access / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380279
[Journal Article] 高頻度データの特性を考慮したボラティリティの予測 -日本の株式市場への応用例-2015
- Author(s)
  永田修一
- Journal Title
  
  商学論究
  
  Volume : 63 Pages : 101-116
- Data Source
  KAKENHI-PROJECT-26380279
[Journal Article] Robust estimation of a high-dimensional integrated covariance matrix2015
- Author(s)
  Takayuki MORIMOTO and Shuichi NAGATA
- Journal Title
  
  Communications in Statistics - Simulation and Computation
  
  Volume : 未定
- Acknowledgement Compliant
- 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
- Open Access / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26380279
[Journal Article] On a Number theoretic problem by Blanc2013
- Author(s)
  Kazuaki Kitahara, Takayuki Shimotomai, and Shuichi Nagata
- Journal Title
  
  Scientiae Mathematicae Japonicae Online
  
  Volume : Vol.76 No.2 Pages : 281-287
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330075
[Journal Article] Edgeworth Approximation of a Finite Sample Distribution for an AR(1) Model with Measurement Error2012
- Author(s)
  S. Nagata
- Journal Title
  
  Open Journal of Statistics
  
  Volume : 2巻1号 Pages : 383-388
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330075
[Journal Article] Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes2012
- Author(s)
  S. Nagata
- Journal Title
  
  Economics Bulletin
  
  Volume : 32巻1号 Pages : 306-314
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330075
[Journal Article] Predicting Volatility with Realized Absolute Values: Evidence from the Tokyo Stock Exchange2012
- Author(s)
  S. Nagata
- Journal Title
  
  Empirical Economics Letters
  
  Volume : 11巻6号 Pages : 551-558
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330075
[Journal Article] Predicting Volatility with Realized Absolute2012
- Author(s)
  Shuichi Nagata
- Journal Title
  
  Values : Evidence from the Tokyo Stock Exchange
  
  Volume : Vol.11, No.6 Pages : 551-558
- Data Source
  KAKENHI-PROJECT-23330075
[Journal Article] Edgeworth Approximation of a Finite Sample Distribution for an AR(1) Model with Measurement Error2012
- Author(s)
  Shuichi Nagata
- Journal Title
  
  Open Journal of Statistics
  
  Volume : Vol.2, No.1 Pages : 383-388
- Peer Reviewed
- 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] Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Process2012
- Author(s)
  Shuichi Nagata
- Journal Title
  
  Empirical Economics Letters
  
  Volume : Vol.11, No.6 Pages : 551-558
- Peer Reviewed
- 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
[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] Volatility Forecast Comparison with Biased Proxy, University of Delhi2012
- Author(s)
  Shuichi Nagata and K. Oya
- Organizer
  The Asian Meeting of Econometric Society
- Place of Presentation
  India
- Data Source
  KAKENHI-PROJECT-23330075
[Presentation] Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes2011
- Author(s)
  Shuichi Nagata
- Organizer
  5th CSDA International Conference on Computational and Financial Econometrics
- Place of Presentation
  University of London
- Data Source
  KAKENHI-PROJECT-23330075
[Presentation] Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes2011
- Author(s)
  Shuichi Nagata
- Organizer
  The Second International Conference "High Frequency Data Analysis in Financial Markets"
- Place of Presentation
  大阪大学
- Year and Date
  2011-10-28
- Data Source
  KAKENHI-PROJECT-23330075
[Presentation] Volatility Forecast Comparison with Biased Proxy and Related Test Statistic
- Author(s)
  Shuichi Nagata
- Organizer
  The Asian Meeting of Econometric Society 2012
- Place of Presentation
  Delhi, India
- Data Source
  KAKENHI-PROJECT-23330075

1. MAEKAWA Koichi (20033748)

# of Collaborated Projects : 2results

# of Collaborated Products : 4results
2. TOKUTSU Yasuyoshi (30412282)

# of Collaborated Projects : 2results

# of Collaborated Products : 2results
3. KAWAI Ken-ichi (50425831)

# of Collaborated Projects : 2results

# of Collaborated Products : 0results
4. MORIMOTO Tkayuki (80402543)

# of Collaborated Projects : 2results

# of Collaborated Products : 2results
5. KATAYAMA Naoya (80452720)

# of Collaborated Projects : 2results

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

# of Collaborated Projects : 1results

# of Collaborated Products : 0results
7. LEE Sangyeol

# of Collaborated Projects : 1results

# of Collaborated Products : 0results
8. Kusdhianto Setiawan

# of Collaborated Projects : 1results

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

# of Collaborated Projects : 1results

# of Collaborated Products : 0results
10. Alessio Moneta

# of Collaborated Projects : 1results

# of Collaborated Products : 0results

NAGATA Shuichi 永田 修一

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

[Journal Article] Robust estimation of a high-dimensional integrated covariance matrix2017

Author(s)

Journal Title

Data Source

[Journal Article] Efficiency Gain of Integrated Variance Estimation in the Presence of Jumps and Market Microstructure Noise2017

Author(s)

Journal Title

Data Source

[Journal Article] 非ガウス型構造VARモデルの最尤推定 -モンテカルロ実験による有限標本パフォーマンスの評価-2016

Author(s)

Journal Title

Data Source

[Journal Article] 高頻度データの特性を考慮したボラティリティの予測 -日本の株式市場への応用例-2015

Author(s)

Journal Title

Data Source

[Journal Article] Robust estimation of a high-dimensional integrated covariance matrix2015

Author(s)

Journal Title

Data Source

[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)

Journal Title

Data Source

[Journal Article] On a Number theoretic problem by Blanc2013

Author(s)

Journal Title

Data Source

[Journal Article] Edgeworth Approximation of a Finite Sample Distribution for an AR(1) Model with Measurement Error2012

Author(s)

Journal Title

Data Source

[Journal Article] Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes2012

Author(s)

Journal Title

Data Source

[Journal Article] Predicting Volatility with Realized Absolute Values: Evidence from the Tokyo Stock Exchange2012

Author(s)

Journal Title

Data Source

[Journal Article] Predicting Volatility with Realized Absolute2012

Author(s)

Journal Title

Data Source

[Journal Article] Edgeworth Approximation of a Finite Sample Distribution for an AR(1) Model with Measurement Error2012

Author(s)

Journal Title

Data Source

[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)

Journal Title

Data Source

[Journal Article] Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Process2012

Author(s)

Journal Title

Data Source

[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)

Journal Title

Data Source

[Presentation] Testing short-run restrictions in non-Gaussian SVAR model2016

Author(s)

Organizer

Place of Presentation

NAGATA Shuichi 永田修一