MORIMOTO Takayuki 森本孝之

Researcher Number	80402543
Other IDs	https://orcid.org/0000-0001-8035-3276
External Links
Affiliation (Current)	2025: 関西学院大学, 理学部, 教授
Affiliation (based on the past Project Information) *help	2021 – 2023: 関西学院大学, 理学部, 教授 2017 – 2020: 関西学院大学, 理工学部, 教授 2012 – 2017: 関西学院大学, 理工学部, 准教授 2011: 関西学院大学, 理工学部, 講師 2009 – 2010: Hitotsubashi University, 理工学部, 専任講師 … More 2007 – 2008: Hitotsubashi University, 大学院・経済学研究科, 講師 2007 – 2008: 一橋大学, 経済学研究科, 講師 2006: 名古屋大学, 工学研究科, COE研究員 Less
Review Section/Research Field	Principal Investigator Basic Section 07030:Economic statistics-related / Economic statistics Except Principal Investigator Economic statistics
Keywords	Principal Investigator ボラティリティ波及 / COVID-19 / 実現ボラティリティ / 多変量ボラティリティ変動モデル / 多変量実現カーネル / 市場リスク / 経済不確実性 / TOPIX-17 / 実現半分散 / TOPIX‐17 … More / 連結性測度 / COVID‐19 / ボラティリティ波及効果 / パンデミック / 波及ネットワーク / 構造変化 / モデル信頼集合 / 実現測度 / 経験類似度 / 予測 / トピックスコア / 動的トピックモデル / オンラインニュース / ビッグデータ / Lee and Mykland(2007)統計量 / 市場への情報流入(ニュース) / Lee and Mykland(2008)統計量 / realized multipower variation / 市場のミクロ構造 / ランダム行列理論 / 高頻度金融データ / Tracy-Widom分布 / ランダム行列 / 価格変化における飛躍(ジャンプ) / Lee-Mykland統計量 / 実現共分散行列 / 高頻度データ / 市場のミクロ構造ノイズ … More 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 / 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

感染症拡大による経済不確実性の上昇が市場リスクに与える影響の包括的研究Principal Investigator
- Principal Investigator
  
  森本孝之
- Project Period (FY)
  2021 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Kwansei Gakuin University
Study on estimation and prediction of volatility based on empirical similarityPrincipal Investigator
- Principal Investigator
  
  Morimoto Takayuki
- Project Period (FY)
  2018 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Kwansei Gakuin University
A study on estimation of volatility using big data analysisPrincipal Investigator
- Principal Investigator
  
  Morimoto Takayuki
- Project Period (FY)
  2015 – 2017
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Kwansei Gakuin University
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
A research on the market microstructure of financial markets by using high frequency dataPrincipal Investigator
- Principal Investigator
  
  MORIMOTO Takayuki
- Project Period (FY)
  2007 – 2010
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
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

[Journal Article] A Hybrid Model for Forecasting Realized Volatility based on Heterogeneous Autoregressive Model and Support Vector Regression2024
- Author(s)
  Yue ZHUO and Takayuki MORIMOTO
- Journal Title
  
  Risks
  
  Volume: 12 Issue: 1 Pages: 12-12
- DOI
  10.3390/risks12010012
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21K01433
[Journal Article] On the usefulness of dynamically spilled risk: an optimal portfolio allocation based on cross-sector information contagion2023
- Author(s)
  Hideto SHIGEMOTO and Takayuki MORIMOTO
- Journal Title
  
  Cogent Economics and Finance
  
  Volume: 11 Issue: 2
- DOI
  10.1080/23322039.2023.2243200
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21K01433
[Journal Article] Volatility Spillover among Japanese Sectors in Response to COVID-192022
- Author(s)
  Hideto Shigemoto and Takayuki Morimoto
- Journal Title
  
  Journal of Risk and Financial Management
  
  Volume: 15 Issue: 10 Pages: 480-480
- DOI
  10.3390/jrfm15100480
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21K01433, KAKENHI-PROJECT-22KJ3054
[Journal Article] Forecasting High-Dimensional Covariance Matrices Using High-Dimensional Principal Component Analysis2022
- Author(s)
  Shigemoto Hideto、Morimoto Takayuki
- Journal Title
  
  Axioms
  
  Volume: 11 Issue: 12 Pages: 692-692
- DOI
  10.3390/axioms11120692
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21K01433, KAKENHI-PROJECT-22KJ3054
[Journal Article] Dependency Structure Analysis of the Japanese Stock Market Based on Realized Networks (in Japanese: 実現ネットワークによる日本株の依存構造分析)2020
- Author(s)
  H. Shigemoto and T. Morimoto
- Journal Title
  
  日本統計学会誌
  
  Volume: 49 Pages: 241-264
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18K01554
[Journal Article] Analyzing Structural Breaks and Volatility Spillover due to Infectious Disease in Japan: Using Spillover Networks2020
- Author(s)
  Shigemoto, H. and Morimoto, T.
- Journal Title
  
  Available at SSRN: https://ssrn.com/abstract=3715379
  
  Volume: -
- DOI
  10.2139/ssrn.3715379
- Open Access
- Data Source
  KAKENHI-PROJECT-18K01554
[Journal Article] An Integrated Framework for Visualizing and Forecasting Realized Covariance Matrices2020
- Author(s)
  H. Shigemoto and T. Morimoto
- Journal Title
  
  Japanese Journal of Statistics and Data Science
  
  Volume: - Issue: 1 Pages: 577-599
- DOI
  10.1007/s42081-020-00100-0
- NAID
  210000160487
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-18K01554, KAKENHI-PROJECT-21K01433
[Journal Article] Incorporating Realized Quarticity into a Realized Stochastic Volatility Model2019
- Author(s)
  D. B. Nugroho and T. Morimoto
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: 26 Issue: 4 Pages: 495-528
- DOI
  10.1007/s10690-019-09276-2
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01554
[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 Issue: 2 Pages: 1102-1112
- DOI
  10.1080/03610918.2014.991038
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03406
[Journal Article] Forecasting Financial Market Volatility Using a Dynamic Topic Model2017
- Author(s)
  Morimoto Takayuki、Kawasaki Yoshinori
- Journal Title
  
  Asia-Pacific Financial Markets
  
  Volume: 24 Issue: 3 Pages: 149-167
- DOI
  10.1007/s10690-017-9228-z
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16K00067, KAKENHI-PROJECT-15H01943, KAKENHI-PROJECT-15H03337, KAKENHI-PROJECT-15K03406
[Journal Article] 経験類似度に基づくボラティリティ予測2017
- Author(s)
  森本孝之，川崎能典
- Journal Title
  
  統計数理
  
  Volume: 印刷中
- Data Source
  KAKENHI-PROJECT-26380279
[Journal Article] 経験類似度に基づくボラティリティ予測2017
- Author(s)
  森本孝之, 川崎能典
- Journal Title
  
  統計数理
  
  Volume: 65 Pages: 155-180
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03406
[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] Volatility Forecasting with Empirical Similarity: Japanese Stock Market Case2017
- Author(s)
  Takayuki MORIMOTO and Yoshinori KAWASAKI
- Journal Title
  
  In JSM Proceedings, Business and Economics Statistics Section. Baltimore, MD: American Statistical Association
  
  Volume: - Pages: 2483-2510
- NAID
  120006727364
- Data Source
  KAKENHI-PROJECT-15K03406
[Journal Article] GARCH-MIDAS モデルの本邦株式市場への適用可能性について2017
- Author(s)
  森本孝之
- Journal Title
  
  オイコノミカ（名古屋市立大学経済学会）
  
  Volume: 54 Pages: 63-74
- Data Source
  KAKENHI-PROJECT-15K03406
[Journal Article] Box-Cox realized asymmetric stochastic volatility models with generalized Student's t-distributions2016
- Author(s)
  Didit Budi NUGROHO and Takayuki MORIMOTO
- Journal Title
  
  Journal of Applied Statistics
  
  Volume: 43 Issue: 10 Pages: 1906-1927
- DOI
  10.1080/02664763.2015.1125862
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03406
[Journal Article] European Option Pricing Under Fractional Brownian Motion with an Application to Realized Volatility2016
- Author(s)
  Takayuki MORIMOTO
- Journal Title
  
  FORMA
  
  Volume: 31
- DOI
  10.5047/forma.2016.s005
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03406
[Journal Article] European Option Pricing Under Fractional Brownian Motion with an Application to Realized Volatility2016
- Author(s)
  Takayuki MORIMOTO
- Journal Title
  
  FORMA
  
  Volume: 31 Pages: 29-40
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380279
[Journal Article] Box-Cox realized asymmetric stochastic volatility models with generalized Student's t-distributions2016
- Author(s)
  Didit Budi NUGROHO and Takayuki MORIMOTO
- Journal Title
  
  Journal of Applied Statistics
  
  Volume: 43 Pages: 1906-1927
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380279
[Journal Article] Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods2015
- Author(s)
  Takayuki Morimoto and Didit Budi Nugroho
- Journal Title
  
  Computational Statistics
  
  Volume: 30 Pages: 491-516
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380279
[Journal Article] Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods2015
- Author(s)
  Didit Budi NUGROHO and Takayuki MORIMOTO
- Journal Title
  
  Computational Statistics
  
  Volume: 未定
- Acknowledgement Compliant
- 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] Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods2015
- Author(s)
  Didit Budi NUGROHO and Takayuki MORIMOTO
- Journal Title
  
  Computational Statistics
  
  Volume: 30 Issue: 2 Pages: 491-516
- DOI
  10.1007/s00180-014-0546-6
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-15K03406
[Journal Article] Realized non-linear stochastic volatility models with asymmetric effects and generalized Student's t-distributions2014
- Author(s)
  Didit Budi NUGROHO and Takayuki MORIMOTO
- Journal Title
  
  Journal of the Japan Statistical Society
  
  Volume: 44 Pages: 83-118
- NAID
  130004951128
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-26380279
[Journal Article] 原資産がfBmに従う場合のオプション評価について2012
- Author(s)
  森本孝之
- Journal Title
  
  広島経済大学研究双書
  
  Volume: 39冊 Pages: 143-162
- Data Source
  KAKENHI-PROJECT-23330075
[Journal Article] Optimal weight for Realized variance Based on Intermittent High-Frequency Data2012
- Author(s)
  Hiroki Masuda, Takayuki Morimoto
- Journal Title
  
  Japanese Economic Review
  
  Volume: Vol.63, No.4 Pages: 497-527
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23330075
[Journal Article] A Note on a Statistical Hypothesis Testing for Removing Noise by the Random Matrix Theory and Its Application to Co-Volatility Matrices In Recent Advances in Financial Engineering 2009 : Proceedings of the KIER-TMU International Workshop on Financial Engineering 20092010
- Author(s)
  森本孝之, 橘完太
- Journal Title
  
  Singapore : World Scientific
  
  Pages: 203-217
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19730159
[Journal Article] A Note on a Statistical Hypothesis Testing for Removing Noise by the Random Matrix Theory and Its Application to Co-Volatility Matrices2010
- Author(s)
  森本孝之
- Journal Title
  
  The proceedings of KIER-TMU International Workshop on Financial Engineering 2009 (印刷中)
- NAID
  110007338655
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19730159
[Journal Article] 灯油の3つの商品先物の高頻度データによるクロス相関分析2010
- Author(s)
  程島次郎, 森本孝之, 原油, ガソリン
- Journal Title
  
  日本商品先物振興協会「先物取引研究」 (印刷中)
- Data Source
  KAKENHI-PROJECT-19730159
[Journal Article] A Note on a Statistical Hypothesis Testing for Removing Noise by the Random Matrix Theory and Its Application to Co-Volatility Matrices2010
- Author(s)
  森本孝之, 橘完太
- Journal Title
  
  The proceedings of KIER-TMU International Workshop on Financial Engineering 2009 (印刷中)
- NAID
  110007338655
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19730159
[Journal Article] 高頻度データ系列におけるジャンプ検出の実証分析2009
- Author(s)
  増田弘毅, 森本孝之
- Journal Title
  
  日本統計学会和文誌 Vol.39
  
  Pages: 33-63
- NAID
  110007482353
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19730159
[Journal Article] 高頻度データ系列におけるジャンプ検出の実証分析2009
- Author(s)
  増田弘毅, 森本孝之
- Journal Title
  
  日本統計学会和文誌 39
  
  Pages: 33-63
- NAID
  110007482353
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-19730159
[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] イントラデイVaRによるGARCHモデルの比較実証2006
- Author(s)
  森本孝之、川崎能典
- Journal Title
  
  統計数理 54(1)
  
  Pages: 5-21
- NAID
  120006019044
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330041
[Journal Article] Applications of Double-Wayland Algorithm to Detect Anomalous Signals2006
- Author(s)
  H.TAKADA1, T. MORIMOTO, H. TSUNASHIMA, T. YAMAZAKI, H. HOSHINA and M. MIYAO
- Journal Title
  
  Forma 21
  
  Pages: 159-167
- NAID
  10020541982
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330041
[Journal Article] 最小マルチンゲール測度の下での高頻度データを利用したオプション価格付け2006
- Author(s)
  森本孝之
- Journal Title
  
  ジャフィージャーナル
  
  Pages: 65-81
- Data Source
  KAKENHI-PROJECT-18330041
[Journal Article] Applications of Double-Wayland Algorithm to Detect Anomalous Signals2006
- Author(s)
  T.Morimoto (他5名)
- Journal Title
  
  Forma 21, 159-167, 2006 21
  
  Pages: 159-167
- NAID
  10020541982
- Data Source
  KAKENHI-PROJECT-18330041
[Journal Article] イントラデイVaRによるGARCHモデルの比較実証2006
- Author(s)
  森本孝之 (他1名)
- Journal Title
  
  統計数理 54・1
  
  Pages: 5-21
- NAID
  120006019044
- Data Source
  KAKENHI-PROJECT-18330041
[Journal Article] 最小マルチンゲール測度の下での高頻度データを利用したオプション価格付け2006
- Author(s)
  森本孝之
- Journal Title
  
  ジャフィージャーナル
  
  Pages: 65-81
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330041
[Journal Article] 原油,ガソリン,灯油の3つの商品先物の高頻度データによるクロス相関分析
- Author(s)
  程島次郎, 森本孝之
- Journal Title
  
  先物取引研究(日本商品先物振興協会) 印刷中
- Data Source
  KAKENHI-PROJECT-19730159
[Presentation] Forecasting high-dimensional covariance matrices using high-dimensional principal component analysis2023
- Author(s)
  Takayuki MORIMOTO
- Organizer
  International Symposium on Recent Advances in Theories and Methodologies for Large Complex Data
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-21K01433
[Presentation] 「A collaborative filtering approach to the evaluation of liquidity in the limit-order book markets」Takaki HAYASHI and Makoto TAKAHASHI へのコメント,2020
- Author(s)
  T. Morimoto
- Organizer
  日本ファイナンス学会第28回大会
- Data Source
  KAKENHI-PROJECT-18K01554
[Presentation] Economic Policy Uncertainty and Financial Market Volatility: Evidence from Japan2019
- Author(s)
  T. Morimoto
- Organizer
  ISI-WSC 2019 (The 62nd International Statistical Institute World Statistics Congress 2019), Kuala Lumpur Convention Centre, Kuala Lumpur, Malaysia
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18K01554
[Presentation] Multiplicative Error Models with Application to the Japanese Stock Market2019
- Author(s)
  森本孝之
- Organizer
  科学研究費補助金「非ガウス型構造VARモデルの統計理論と応用」計量経済学・計量ファイナンス研究集会
- Data Source
  KAKENHI-PROJECT-18K01554
[Presentation] Economic Policy Uncertainty and Financial Market Volatility: Evidence from Japan2018
- Author(s)
  Takayuki MORIMOTO
- Organizer
  Kagawa International Symposium "Recent Developments in Statistics and Econometrics"
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03406
[Presentation] Economic Policy Uncertainty and Financial Market Volatility: Evidence from JapanEconomic Policy Uncertainty and Financial Market Volatility: Evidence from Japan2017
- Author(s)
  Takayuki MORIMOTO
- Organizer
  The 2nd International Statistical Institute Regional Statistics Conference, ISI RSC 2017
- Place of Presentation
  Bali (Indonesia)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03406
[Presentation] Volatility forecasting with empirical similarity: Japanese stock market case2017
- Author(s)
  Takayuki MORIMOTO
- Organizer
  The 11th International Conference on Computational and Financial Econometrics (CFE 2017)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-15K03406
[Presentation] 経済政策不確実性と金融市場ボラティリティ2017
- Author(s)
  森本孝之
- Organizer
  研究集会大規模統計モデリングと計算統計IV
- Data Source
  KAKENHI-PROJECT-15K03406
[Presentation] 経験類似度に基づくボラティリティの推定と予測2017
- Author(s)
  森本孝之
- Organizer
  2017 年度統計関連学会連合大会企画セッション「計算統計学と従属データ解析手法・ソフトウェア開発の相乗発展」
- Data Source
  KAKENHI-PROJECT-15K03406
[Presentation] Economic Policy Uncertainty and Financial Market Volatility: Evidence from Japan2017
- Author(s)
  Takayuki MORIMOTO
- Organizer
  The 2nd International Statistical Institute Regional Statistics Conference
- Place of Presentation
  Bali International Convention Center（インドネシア）
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26380279
[Presentation] Economic Policy Uncertainty and Financial Market Volatility: Evidence from JapanEconomic Policy Uncertainty and Financial Market Volatility: Evidence from Japan2017
- Author(s)
  森本孝之
- Organizer
  科学研究費補助金基盤研究C（代表者:前川功一）「経済時系列モデルのパラメータ変化に関するモニタリング手法の研究開発」研究集会
- Place of Presentation
  広島経済大学立町キャンパス（広島県・広島市）
- Data Source
  KAKENHI-PROJECT-15K03406
[Presentation] 経験類似度に基づくボラティリティの推定と予測2017
- Author(s)
  森本孝之
- Organizer
  第34回応用経済時系列研究会・研究報告会
- Data Source
  KAKENHI-PROJECT-15K03406
[Presentation] 現在進めている研究について2016
- Author(s)
  森本孝之
- Organizer
  平成28年度数学協働プログラム「政治・社会事象の数的分析に関するスタディグループ」第 1 回会合
- Place of Presentation
  明治大学駿河台キャンパス（東京都・千代田区）
- Data Source
  KAKENHI-PROJECT-15K03406
[Presentation] 「非整数ブラウン運動とその日本の株式市場への応用」2015
- Author(s)
  森本孝之
- Organizer
  統計関連学会連合大会
- Place of Presentation
  岡山大学
- Year and Date
  2015-09-07
- Data Source
  KAKENHI-PROJECT-26380279
[Presentation] Forecasting Financial Market Volatility Using a Dynamic Topic Model2014
- Author(s)
  森本孝之
- Organizer
  第40回ジャフィー大会
- Place of Presentation
  慶應義塾大学
- Year and Date
  2014-01-10
- Data Source
  KAKENHI-PROJECT-23330075
[Presentation] A robust estimation of large dimensional integrated2011
- Author(s)
  Takayuki Morimoto
- Organizer
  covariance using random matrix theory
- Place of Presentation
  大阪大学
- Year and Date
  2011-10-28
- Data Source
  KAKENHI-PROJECT-23330075
[Presentation] Robust Estimation of Covariance Matrices Contaminated with Noise Using Random Matrix Theory2010
- Author(s)
  森本孝之
- Organizer
  2010年度統計関連学会連合大会
- Place of Presentation
  早稲田大学早稲田キャンパス7号館(東京都新宿区)
- Year and Date
  2010-09-08
- Data Source
  KAKENHI-PROJECT-19730159
[Presentation] Robust Estimation of Covariance Matrices Contaminated with Noise Using Random Matrix Theory2010
- Author(s)
  森本孝之
- Organizer
  2010年度統計関連学会連合大会
- Place of Presentation
  早稲田大学早稲田キャンパス7号館
- Year and Date
  2010-09-08
- Data Source
  KAKENHI-PROJECT-19730159
[Presentation] A Note on a Statistical Hypothesis Testing for Removing Noise by The Random Matrix Theory, and its Application to Co-volatility Matrices2009
- Author(s)
  森本孝之
- Organizer
  KIER-TMU International Workshop on Financial Engineering 2009
- Place of Presentation
  大手町サンケイプラザ(東京都千代田区)
- Year and Date
  2009-08-04
- Data Source
  KAKENHI-PROJECT-19730159
[Presentation] A Note on a Statistical Hypothesis Testing for Removing Noise by The Random Matrix Theory, and its Application to Co-volatility Matrices2009
- Author(s)
  森本孝之
- Organizer
  KIER-TMU International Workshop on Financial Engineering 2009
- Place of Presentation
  Otemachi Sankei Plaza, Tokyo
- Year and Date
  2009-08-04
- Data Source
  KAKENHI-PROJECT-19730159
[Presentation] ランダム行列によるノイズ除去の統計的仮説検定とその共ボラティリティへの適用2009
- Author(s)
  森本孝之
- Organizer
  第26回応用経済時系列研究会・研究報告会
- Place of Presentation
  情報・システム研究機構統計数理研究所(東京都港区)
- Year and Date
  2009-06-27
- Data Source
  KAKENHI-PROJECT-19730159
[Presentation] ランダム行列によるノイズ除去の統計的仮説検定とその共ボラティリティへの適用2009
- Author(s)
  森本孝之
- Organizer
  第26回応用経済時系列研究会・研究報告会
- Place of Presentation
  情報・システム研究機構統計数理研究所講堂(東京都港区)
- Year and Date
  2009-06-27
- Data Source
  KAKENHI-PROJECT-19730159
[Presentation] ランダム行列によるノイズ除去の統計的仮説検定とその共ボラティリティへの適用2009
- Author(s)
  森本孝之
- Organizer
  第26回応用経済時系列研究会・研究報告会
- Place of Presentation
  情報・システム研究機構統計数理研究所講堂
- Year and Date
  2009-06-27
- Data Source
  KAKENHI-PROJECT-19730159
[Presentation] 原油,ガソリン,灯油の3つの商品先物の高頻度データによるクロス相関分析2008
- Author(s)
  森本孝之
- Organizer
  2008年度統計関連学会連合大会
- Place of Presentation
  慶應義塾大学矢上キャンパス(横浜市港北区)
- Year and Date
  2008-09-09
- Data Source
  KAKENHI-PROJECT-19730159
[Presentation] 原油, ガソリン, 灯油の3つの商品先物の高頻度データによるクロス相関分析2008
- Author(s)
  森本孝之
- Organizer
  2008年度統計関連学会連合大会
- Place of Presentation
  慶應義塾大学矢上キャンパス横浜市港北区
- Year and Date
  2008-09-09
- Data Source
  KAKENHI-PROJECT-19730159
[Presentation] An optimal weight for realized variance based on intermittent high-frequency data2007
- Author(s)
  森本孝之
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学神戸市灘区
- Year and Date
  2007-09-07
- Data Source
  KAKENHI-PROJECT-19730159
[Presentation] An optimal weight for realized variance based on intermittent high-frequency data2007
- Author(s)
  森本孝之
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学(神戸市灘区)
- Year and Date
  2007-09-07
- Data Source
  KAKENHI-PROJECT-19730159

1. KAWAI Ken-ichi (50425831)

# of Collaborated Projects: 4 results

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

# of Collaborated Projects: 3 results

# of Collaborated Products: 1 results
3. TOKUTSU Yasuyoshi (30412282)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 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: 2 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: 0 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
12. 川崎能典

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results

MORIMOTO Takayuki 森本 孝之

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感染症拡大による経済不確実性の上昇が市場リスクに与える影響の包括的研究Principal Investigator

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Study on estimation and prediction of volatility based on empirical similarityPrincipal Investigator

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A study on estimation of volatility using big data analysisPrincipal Investigator

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Monitaring of parameter chamge in economic time series model

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Statistical inference for extended models in financial time series

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A research on the market microstructure of financial markets by using high frequency dataPrincipal Investigator

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Econometric Analysis of High Frequency Financial Time Series

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[Journal Article] A Hybrid Model for Forecasting Realized Volatility based on Heterogeneous Autoregressive Model and Support Vector Regression2024

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[Journal Article] On the usefulness of dynamically spilled risk: an optimal portfolio allocation based on cross-sector information contagion2023

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[Journal Article] Volatility Spillover among Japanese Sectors in Response to COVID-192022

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[Journal Article] Forecasting High-Dimensional Covariance Matrices Using High-Dimensional Principal Component Analysis2022

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[Journal Article] Dependency Structure Analysis of the Japanese Stock Market Based on Realized Networks (in Japanese: 実現ネットワークによる日本株の依存構造分析)2020

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[Journal Article] Analyzing Structural Breaks and Volatility Spillover due to Infectious Disease in Japan: Using Spillover Networks2020

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[Journal Article] An Integrated Framework for Visualizing and Forecasting Realized Covariance Matrices2020

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NAID

MORIMOTO Takayuki 森本孝之