OKIMOTO Tatsuyoshi 沖本竜義

… Alternative Names

沖本竜義オキモトタツヨシ

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Researcher Number	70420304
Other IDs	https://orcid.org/0000-0002-1196-4599
Affiliation (Current)	2024: 慶應義塾大学, 経済学部(三田), 教授
Affiliation (based on the past Project Information) *help	2016: 一橋大学, 国際企業戦略研究科, 准教授 2013: 一橋大学, 国際企業戦略研究科, 准教授 2012 – 2013: 一橋大学, 大学院国際企業戦略研究科, 准教授 2010 – 2012: 一橋大学, 大学院・国際企業戦略研究科, 准教授 2008: Yokohama National University, 大学院国際社会科学研究科, 准教授 2007 – 2008: Yokohama National University, 大学院・国際社会科学研究科, 准教授 2006: 横浜国立大学, 大学院国際社会科学研究科, 助教授
Review Section/Research Field	Principal Investigator Economic statistics Except Principal Investigator Money/ Finance / Economic statistics / Public finance/Monetary economics
Keywords	Principal Investigator 高分位点 / 極値理論 / 金融政策 / 国際金融市場の従属構造 / MCMC / 平滑推移モデル / マルコフ転換モデル / コピュラ / ブートストラップ / セミパラメトリック法 … More Except Principal Investigator … More 商品先物 / 金融政策 / ボラティリティー / REIT / 量的緩和 / 資産選択理論 / 資産市場の連関 / 再帰的現象 / 希な現象 / 統計的リスク管理 / 社会・経済リスク / リスク尺度 / 高頻度金融データの統計学 / 保険の統計学 / 稀な現象と再帰的現象 / 統計学 / 確率過程 / 再起的事象 / 希な事象 / 保険リスク / 金融リスク / 経済リスク / コピュラ / 平滑推移モデル / 大域的最少分散ポートフォリオ / 通貨の取引費用 / 排出権価格 / 超過リターン / 共和分 / 相互依存性 / マルコフスイッチングモデル / 最小分散ポートフォリオ / 新興国通貨 / 平滑推移動的条件付き相関モデル / マルコフスイッチングVARモデル / 超過共変動 / パラメータ推定誤差 / 最適ポートフォリオ / 相関構造 / 金融市場 / ファイナンス Less

New Developments in Statistics of Economic Risk and Financial Risk
- Principal Investigator
  
  naoto kunitomo
- Project Period (FY)
  2013 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Meiji University
  The University of Tokyo
Analysis of Structural Changes in Financial Markets and the Macroeconomy and Asset Allocation
- Principal Investigator
  
  Hayashi Fumio
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Money/ Finance
- Research Institution
  National Graduate Institute for Policy Studies
  Hitotsubashi University
Interdependencies in Financial and Physical Asset Markets and their Effects on Investments and Risk Management.
- Principal Investigator
  
  OHASHI Kazuhiko
- Project Period (FY)
  2010 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Hitotsubashi University
Theory and method for large quantile estimation using extreme value theory and its application to economicsPrincipal Investigator
- Principal Investigator
  
  OKIMOTO Tatsuyoshi
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  Yokohama National University

All 2014 2013 2012 2011 2010 2008 2007 2006 Other

All Journal Article Presentation

[Journal Article] “Modified Likelihood Ratio Test for Regime Switching2014
- Author(s)
  Kasahara, H., Okimoto, T., and Shimotsu, K.
- Journal Title
  
  Japanese Economic Review
  
  Volume: 65 Pages: 25-41
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245033
[Journal Article] Does the Price of Oil Interact with Clean Energy Prices in the Stock Market?2013
- Author(s)
  Shunsuke Managi, and Tatsuyoshi Okimoto
- Journal Title
  
  Japan and the World Economy
  
  Volume: Vol. 27 Pages: 1-9
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22330094
[Journal Article] Does the Price of Oil Interact with Clean Energy Prices in the Stock Market?2013
- Author(s)
  Managi, Shunsuke, Okimoto, Tatsuyoshi, Matsuda, Akimi
- Journal Title
  
  Japan and the World Economy
  
  Volume: 27 Pages: 1-9
- DOI
  10.1016/j.japwor.2013.03.003
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22330094
[Journal Article] Do Socially Responsible Investment Indexes Outperform Conventional Indexes?2012
- Author(s)
  Shunsuke Managi, Tatsuyoshi Okimoto, and Akimi Matsuda
- Journal Title
  
  Applied Financial Economics
  
  Volume: Vol.22 Pages: 1511-1527
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22330094
[Journal Article] Do Socially Responsible Investment Indexes Outperform Conventional Indexes?2012
- Author(s)
  Managi, Shunsuke, Okimoto, Tatsuyoshi, Matsuda, Akimi
- Journal Title
  
  Applied Financial Economics
  
  Volume: 22 Pages: 1511-1527
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22330094
[Journal Article] Dynamics of International Integration of Government Securities'Markets2011
- Author(s)
  Manmohan S.Kumar, Tatsuyoshi Okimoto
- Journal Title
  
  Journal of Banking and Finance
  
  Volume: 35 Pages: 142-154
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22330094
[Journal Article] Japanese Government Debt and Sustainability of Fiscal and Monetary Policy2011
- Author(s)
  Doi, Takero, Hoshi, Takeo, Tatsuyoshi Okimoto
- Journal Title
  
  Journal of the Japanese and International Economies
  
  Volume: 25 Issue: 4 Pages: 414-433
- DOI
  10.1016/j.jjie.2011.09.006
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22330094
[Journal Article] Japanese Government Debt and Sustainability of Fiscal and Monetary Policy2011
- Author(s)
  Takero Doi, Takeo Hoshi, and Tatsuyoshi Okimoto
- Journal Title
  
  Journal of Japanese and International Economies
  
  Volume: Vol.25 Pages: 414-433
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22330094
[Journal Article] Dynamics of International Integration of Government Securities'Markets2011
- Author(s)
  Kumar Manmohan S. and Tatsuyoshi Okimoto
- Journal Title
  
  Journal of Banking and Finance
  
  Volume: Vol. 35 Pages: 142-154
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22330094
[Journal Article] Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade2008
- Author(s)
  INOUE, Tomoo and OKIMOTO, Tatsuyoshi
- Journal Title
  
  Journal of the Japanese and International Economies 22(3)
  
  Pages: 320-342
- NAID
  210000187848
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18730144
[Journal Article] New evidence of asymmetric dependence structures in international equity markets2008
- Author(s)
  OKIMOTO, Tatsuyoshi
- Journal Title
  
  Journal of Financial and Quantitative Analysis 43(3)
  
  Pages: 787-816
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18730144
[Journal Article] Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade2008
- Author(s)
  Tatsuyoshi Okimoto
- Journal Title
  
  Journal of the Japanese and International Economies 22(3)
  
  Pages: 320-342
- NAID
  210000187848
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18730144
[Journal Article] New Evidence of Asymmetric Dependence Structures in International Equity Markets2008
- Author(s)
  Tatsuyoshi Okimoto
- Journal Title
  
  Journal of Financial and Quantitative Analysis 43(3)
  
  Pages: 787-816
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18730144
[Presentation] Decreasing trends in stock-bond correlations2014
- Author(s)
  沖本竜義
- Organizer
  International Conference on “Econometrics for Macroeconomics
- Place of Presentation
  一橋大学(東京都国立市)
- Invited
- Data Source
  KAKENHI-PROJECT-25285097
[Presentation] Decreasing Trends in Stock-BondCorrelations2013
- Author(s)
  沖本竜義
- Organizer
  2013年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題 2013」
- Place of Presentation
  大阪大学中之島センター(大阪市)
- Data Source
  KAKENHI-PROJECT-25245033
[Presentation] Increasing Trends in the Excess Comovements of Commodity Prices2013
- Author(s)
  Tatsuyoshi Okimoto
- Organizer
  International conference on Frontiers in Macroeconometrics
- Place of Presentation
  一橋大学、東京
- Year and Date
  2013-03-01
- Data Source
  KAKENHI-PROJECT-22330094
[Presentation] A Goodness-of-fit Criterion for Identifying the Maximum Domain of Attraction2012
- Author(s)
  Tatsuyoshi Okimoto
- Organizer
  2012 Joint Statistical Meeting、American Statistical Association
- Place of Presentation
  San Diego Convention Center、San Diego、CA、USA
- Year and Date
  2012-08-01
- Data Source
  KAKENHI-PROJECT-22330094
[Presentation] Increasing Trends in the Excess Comovements of Commodity Prices2012
- Author(s)
  Tatsuyoshi Okimoto
- Organizer
  International conference on High-Frequency Data Analysis in Financial Markets
- Place of Presentation
  広島大学、広島
- Year and Date
  2012-11-17
- Data Source
  KAKENHI-PROJECT-22330094
[Presentation] Introduction to copula with application to dependence structures in international equity markets2011
- Author(s)
  沖本竜義
- Organizer
  第10回現象数理若手シンポジウム
- Place of Presentation
  明治大学、東京
- Year and Date
  2011-09-11
- Data Source
  KAKENHI-PROJECT-22330094
[Presentation] Dependence Evolution in International Equity Markets2010
- Author(s)
  沖本竜義
- Organizer
  2010 Joint Statistical Meetings
- Place of Presentation
  Vancouver? Canada
- Year and Date
  2010-08-02
- Data Source
  KAKENHI-PROJECT-22330094
[Presentation] Long-Run Trends in Dependence in International Equity Markets2010
- Author(s)
  沖本竜義
- Organizer
  数理経済学会
- Place of Presentation
  神戸大学、神戸、兵庫
- Year and Date
  2010-11-13
- Data Source
  KAKENHI-PROJECT-22330094
[Presentation] Long-Run IYends in Dependence in International Equity Markets2010
- Author(s)
  沖本竜義
- Organizer
  数理経済学会
- Place of Presentation
  神戸大学
- Year and Date
  2010-11-13
- Data Source
  KAKENHI-PROJECT-22330094
[Presentation] Dependence Evolution in International Equity Markets2010
- Author(s)
  沖本竜義
- Organizer
  2010 Joint Statistical Meeting
- Place of Presentation
  Vancouver Convention Center、Vancouver、 Canada
- Year and Date
  2010-08-02
- Data Source
  KAKENHI-PROJECT-22330094
[Presentation] The interest rate determination when economic variables are partially observable2008
- Author(s)
  沖本竜義
- Organizer
  Daiwa Young Researchers' International Workshop on Finance
- Place of Presentation
  京都大学
- Data Source
  KAKENHI-PROJECT-18730144
[Presentation] Extreme quantile estimation using extreme value theory2007
- Author(s)
  沖本竜義
- Organizer
  関西計量経済学研究会
- Place of Presentation
  横浜シンポジア
- Data Source
  KAKENHI-PROJECT-18730144
[Presentation] New evidence of asymmetric dependence structures in international equity markets2007
- Author(s)
  沖本竜義
- Organizer
  The 2007 International Symposium on Econometric Theory and Applications
- Place of Presentation
  Hong Kong University of Sciences and Technology
- Data Source
  KAKENHI-PROJECT-18730144
[Presentation] New evidence of asymmetric dependence structures in international equity markets2007
- Author(s)
  沖本竜義
- Organizer
  大和ファイナンス研究会
- Place of Presentation
  京都大学
- Year and Date
  2007-03-22
- Data Source
  KAKENHI-PROJECT-18730144
[Presentation] Extreme quantile estimation using extreme value theory2007
- Author(s)
  沖本竜義
- Organizer
  極値理論共同研究集会
- Place of Presentation
  統計数理研究所
- Year and Date
  2007-09-26
- Data Source
  KAKENHI-PROJECT-18730144
[Presentation] Time-varying dependence in international equity markets2006
- Author(s)
  沖本竜義
- Organizer
  統計関連学会連合大会
- Place of Presentation
  東北大学
- Data Source
  KAKENHI-PROJECT-18730144
[Presentation] New evidence of asymmetric dependence structures in international equity markets2006
- Author(s)
  沖本竜義
- Organizer
  関西計量経済学研究会
- Place of Presentation
  神戸大学
- Data Source
  KAKENHI-PROJECT-18730144
[Presentation] New evidence of asymmetric dependence structures in international equity markets2006
- Author(s)
  沖本竜義
- Organizer
  横浜国立大学・南山大学合同ファイナンスワークショップ
- Place of Presentation
  横浜国立大学
- Year and Date
  2006-02-11
- Data Source
  KAKENHI-PROJECT-18730144
[Presentation] A Goodness-of-fit Criterion for Identifying the Maximum Domain of Attraction
- Author(s)
  Tatsuyoshi Okimoto
- Organizer
  2012 Joint Statistical Meeting, American Statictical Association
- Place of Presentation
  San Diego Convention Center, San Diego, California, USA
- Data Source
  KAKENHI-PROJECT-22330094

1. OHASHI Kazuhiko (50261780)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
2. HAYASHI Fumio (80159095)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
3. HONDA Toshiki (70303063)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
4. naoto kunitomo (10153313)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
5. 金子隆一 (30415814)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
6. 川崎能典 (70249910)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. 田中周二 (30451305)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
8. 大屋幸輔 (20233281)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. 塚原英敦 (10282550)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. 清水泰隆 (70423085)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. 大森裕浩 (60251188)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. KUSUOKA Sigeo

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. ICHIBA Tomoyuki

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

OKIMOTO Tatsuyoshi 沖本 竜義

沖本 竜義 オキモト タツヨシ

Research Projects

Research Products

Co-Researchers

New Developments in Statistics of Economic Risk and Financial Risk

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Analysis of Structural Changes in Financial Markets and the Macroeconomy and Asset Allocation

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Interdependencies in Financial and Physical Asset Markets and their Effects on Investments and Risk Management.

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Theory and method for large quantile estimation using extreme value theory and its application to economicsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] “Modified Likelihood Ratio Test for Regime Switching2014

Author(s)

Journal Title

Data Source

[Journal Article] Does the Price of Oil Interact with Clean Energy Prices in the Stock Market?2013

Author(s)

Journal Title

Data Source

[Journal Article] Does the Price of Oil Interact with Clean Energy Prices in the Stock Market?2013

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Do Socially Responsible Investment Indexes Outperform Conventional Indexes?2012

Author(s)

Journal Title

Data Source

[Journal Article] Do Socially Responsible Investment Indexes Outperform Conventional Indexes?2012

Author(s)

Journal Title

Data Source

[Journal Article] Dynamics of International Integration of Government Securities'Markets2011

Author(s)

Journal Title

Data Source

[Journal Article] Japanese Government Debt and Sustainability of Fiscal and Monetary Policy2011

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Japanese Government Debt and Sustainability of Fiscal and Monetary Policy2011

Author(s)

Journal Title

Data Source

[Journal Article] Dynamics of International Integration of Government Securities'Markets2011

Author(s)

Journal Title

Data Source

[Journal Article] Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade2008

Author(s)

Journal Title

NAID

Data Source

[Journal Article] New evidence of asymmetric dependence structures in international equity markets2008

Author(s)

Journal Title

Data Source

[Journal Article] Were there structural breaks in the effects of Japanese monetary policy? Re-evaluating policy effects of the lost decade2008

Author(s)

Journal Title

NAID

OKIMOTO Tatsuyoshi 沖本竜義

沖本竜義オキモトタツヨシ