SHIBA Tsunemasa 斯波恒正

… Alternative Names

斯波恒正シバツネマサ

斬波恒正シバツネマサ

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Researcher Number	90187386
Other IDs
External Links
Affiliation (based on the past Project Information) *help	2012 – 2015: 一橋大学, 大学院経済学研究科, 特任教授 2007 – 2008: Hitotsubashi University, 大学院・経済学研究科, 教授 2002 – 2004: 一橋大学, 大学院・経済学研究科, 教授 1996: 筑波大学, 社会工学系, 教授 1992 – 1993: 筑波大学, 社会工学系, 助教授 1990: University of Tsukuba, Institute of Socio-Economic Planning, Associate Professor, 社会工学系, 助教授 1987 – 1989: 富山大学, 経済学部, 助教授
Review Section/Research Field	Principal Investigator Economic statistics / Economic statistics Except Principal Investigator Economic statistics / 統計学 / 林学
Keywords	Principal Investigator 計量経済学 / HJMモデル / ARIMAモデル / GARCHモデル / VARモデル / 金利モデル / ベイズ / マルコフ連鎖モンテカルロ法 / 分散不均一性 / MCMC … More / ホワイトのHCCM / 分散構造未知 / ベイズ計量経済学 / 分散推定 / 直交回帰説明変数 / 事前情報 / 収益率分散 / 金融工学 / 統合的リスク管理 / 計量的リスク管理 / コピュラ / 高頻度データ / 構造変化 / ビッグデータ / 総合的リスク管理(ERM) / 統合的リスク管理（ERM） / 統合リスク管理 / フラクショナル・ブラウン運動 / ﾌﾗｸｼｮﾅﾙ・ﾌﾞﾗｳﾝ運動 / 時系列 / 倒産確率 … More Except Principal Investigator 時系列分析 / 金融市場 / 日本経済 / ファイナンス / 非定常性 / Econometric Analysis / Finance / Time Series Analysis / 金融時系列 / 計量モデル / 時系列モデル / 計量経済モデル / 構造変化 / 現代投資理論 / 資本資産評価モデル(CAPM) / 単位根の検定 / マルチファクタ-モデル / カルマンフィルタ- / モンテカルロ積分 / 計量分析 / 株式収益率 / 因子モデル / カルマン・フィルタ- / 確率過程 / 時系列 / 非正規性 / Financial Market / Japanese Economy / Stock Returns / Factor Models / Kalman Filter / 計量経済分析 / 共和分関係 / 単位根検定 / スワップ契約 / 資産価格 / 資本市場 / 拡散過程 / 長記憶時系列 / フィルター理論 / オプション理論 / Non-stationarity / Co-integration / Unit Root Tests / Financial Time Series / Swap Contracts / Asset Prices / 森林経済学 / 木材貿易 / 環境政策 / 木材加工 / 日本市場 / 熱帯林経営 / 市場均衡モデル / 森林資源 / ラジアタパイン / ユ-カリ / 造林費 / 伐出費 / Forest Economics / Timber Trade / Environmental Policy / Lumber Processing / Japanese Market / Tropical Forests / Market Equilibrium Model / Econometric Model / 統計理論 / 数理ファイナンス / ウェーブレット / シミュレーション / 共和分 / 非定常VARモデル / MCMC手法 / 信用スプレッド / バリュー・アット・リスク / デリバティブ / Wald検定 / 裁定価格理論 / バリアー・オプション / 権利行使価格 / 漸近展開 / 長期因果性 / ワルド検定 / Time series analysis / Statistical theory / Mathematical finance / Structural change / Wavelet / Financial series / Simulation / 計量経済学 / 期待 / Econometrics / Structural Change / Econometric Theory / Expectation Less

Financial Engineering to ERM: Theoretical and Empirical InvestigationPrincipal Investigator
- Principal Investigator
  
  SHIBA Tsunemasa
- Project Period (FY)
  2012 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
Bayesian Estimation of Unknown Regression Error HeteroscedasticityPrincipal Investigator
- Principal Investigator
  
  SHIBA Tsunemasa
- Project Period (FY)
  2007 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
Research on Statistical Theory and Time Series Analysis for Mathematical Finance
- Principal Investigator
  
  YAMAMOTO Taku
- Project Period (FY)
  2002 – 2004
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
HJMモデルなどによる金利の期間構造の推定Principal Investigator
- Principal Investigator
  
  斯波恒正
- Project Period (FY)
  1996
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  University of Tsukuba
QUANTITATIVE ANALYSIS OF TIMBER TRADE AND FOREST PROTECTION
- Principal Investigator
  
  YUKUTAKE Kiyoshi
- Project Period (FY)
  1996 – 1998
- Research Category
  
  Grant-in-Aid for international Scientific Research
- Research Field
  
  林学
- Research Institution
  Miyazaki University
Econometric Methods for Financial Markets and Its Applications to Japanese Economy
- Principal Investigator
  
  KUNITOMO Naoto
- Project Period (FY)
  1992 – 1993
- Research Category
  
  Grant-in-Aid for Co-operative Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Faculty of Economics, University of Tokyo
株式・債券市場における計量経済学的分析
- Principal Investigator
  
  WAGO Hajime
- Project Period (FY)
  1990
- Research Category
  
  Grant-in-Aid for Co-operative Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  University of Toyama
New Econometric Methods and Their Applications to Japanese Financial Markets
- Principal Investigator
  
  KUNITOMO Naoto
- Project Period (FY)
  1989 – 1990
- Research Category
  
  Grant-in-Aid for Co-operative Research (A)
- Research Field
  
  統計学
- Research Institution
  University of Tokyo
Theory of Structural Change and Japanese Economy
- Principal Investigator
  
  YAMAMOTO Taku
- Project Period (FY)
  1987 – 1988
- Research Category
  
  Grant-in-Aid for Co-operative Research (A)
- Research Field
  
  統計学
- Research Institution
  University of Tsukuba
  Yokohama National University

All 2016 2015 2014 2012 2009 2008 2007 2006

All Journal Article Presentation Book

[Book] 『MBA・金融プロフェッショナルのためのファイナンスハンドブック』早稲田大学大学院ファイナンス研究科・早稲田大学ビジネススクール編2016
- Author(s)
  蟻川靖浩，池田昌幸，宇野淳，大村敬一，川口有一郎，川本裕子，岸田雅雄，斯波恒正，柴崎暁，清水信匡，鈴木一功，首藤惠，竹原均，中里大輔，森平爽一郎，四塚利樹，米澤康博，渡辺裕泰
- Total Pages
  212
- Publisher
  中央経済社
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] DIRICHLET PRIOR FOR ESTIMATING UNKNOWN REGRESSION ERROR HETEROSKEDASTICITY2015
- Author(s)
  Hiroaki Chigira and Tsunemasa Shiba
- Journal Title
  
  Center for Financial Engineering Education Discussion Paper (Graduate School of Economics, Hitotsubashi University)
  
  Volume: - Pages: 1-17
- NAID
  120006314390
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] ガウシアンコピュラの信用リスク管理への１応用について2014
- Author(s)
  斯波恒正
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 52 Pages: 10-22
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] Dirichlet Prior for Estimating Unknown Regression Error Heteroscedasticity2012
- Author(s)
  Tsunemasa Shiba
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series
  
  Volume: 248巻
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] Bayesian Estimation of Unknown Regression Error Hetero scedasticity2009
- Author(s)
  Hiroaki Chigira, Tsunemasa Shiba
- Journal Title
  
  CFEE Discussion Paper Series #2008-2
  
  Pages: 1-27
- Data Source
  KAKENHI-PROJECT-19530178
[Journal Article] Bayesian Estimation of Unknown Regression Error Heteroscedasticity2009
- Author(s)
  Hiroaki Chigira and Tsunemasa Shiba
- Journal Title
  
  Institute of Economic Research, Hitotsubashi University #51
- Data Source
  KAKENHI-PROJECT-19530178
[Journal Article] Bayesian Estimation of Unknown Regression Error Hetero scedasticity2009
- Author(s)
  Hiroaki Chigira, Tsunemasa Shiba
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series #051
  
  Pages: 1-27
- Data Source
  KAKENHI-PROJECT-19530178
[Journal Article] Bayesian Estimation of Unknown Regression Error Heteroscedasticity2007
- Author(s)
  Hiroaki Chigira and Tsunemasa Shiba
- Journal Title
  
  Hi-Stat Discussion Paper #221
  
  Pages: 1-20
- Data Source
  KAKENHI-PROJECT-19530178
[Journal Article] Bayesian Estimation of Unknown Regression Error Heteroscedasticity2007
- Author(s)
  Hiroaki Chigira and Tsunemasa Shiba
- Journal Title
  
  Institute of Economic Research, Hitotsubashi University No.221
- Data Source
  KAKENHI-PROJECT-19530178
[Journal Article] Bayesian Estimation of Unknown Heteroscedastic Variances2006
- Author(s)
  Hiroaki Chigira and Tsunemasa Shiba
- Journal Title
  
  Institute of Economic Research, Hitotsubashi University No.185
- Data Source
  KAKENHI-PROJECT-19530178
[Journal Article] 構造を仮定しない不均一分散の推定(注 : 創刊号の巻頭論文)2006
- Author(s)
  千木良弘朗, 斯波恒正
- Journal Title
  
  一橋経済学 1
  
  Pages: 1-13
- Data Source
  KAKENHI-PROJECT-19530178
[Journal Article] 構造を仮定しない不均一分散の推定2006
- Author(s)
  千木良弘, 朗斯波恒正
- Journal Title
  
  一橋経済学第1巻,第1号
  
  Pages: 1-13
- NAID
  110007622480
- Data Source
  KAKENHI-PROJECT-19530178
[Presentation] Bayesian Estimation of Unknown Regression Error Heteroscedasticity2008
- Author(s)
  Tsunemasa Shiba
- Organizer
  Far Eastern and South Asian Meeting of the Econometric Society
- Place of Presentation
  Singapore Management University
- Year and Date
  2008-07-17
- Data Source
  KAKENHI-PROJECT-19530178
[Presentation] Far Eastern Econometric Society Meeting2008
- Author(s)
  Hiroaki Chigira and Tsunemasa Shiba
- Organizer
  Singapore Management University
- Place of Presentation
  Singapore
- Year and Date
  2008-07-17
- Data Source
  KAKENHI-PROJECT-19530178

1. YAMAMOTO Taku (50104716)

# of Collaborated Projects: 4 results

# of Collaborated Products: 0 results
2. WAGO Hajime (00091934)

# of Collaborated Projects: 4 results

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3. KUNITOMO Naoto (10153313)

# of Collaborated Projects: 3 results

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4. TSUKUDA Yoshihiko (10091836)

# of Collaborated Projects: 3 results

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5. MORIMUNE Kimio (20109078)

# of Collaborated Projects: 3 results

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6. TANAKA Katsuto (40126595)

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7. KUROZUMI Eiji (00332643)

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8. TAKAHASHI Hajime (70154838)

# of Collaborated Projects: 2 results

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9. CHIGIRA Hiroaki (30447122)

# of Collaborated Projects: 1 results

# of Collaborated Products: 9 results
10. ISHIMURA Naoyuki (80212934)

# of Collaborated Projects: 1 results

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11. HONDA Toshio (30261754)

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12. YAMAMOTO Yohei (80633916)

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13. ISHIHARA Tsunehiro (60609072)

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14. YAMADA Masahiro (60732435)

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15. YAMADA Toshiro (50754701)

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16. SHIMOTSU Katsumi (50547510)

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17. WATANABE Toshiaki (90254135)

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18. KARIYA Takeaki (70092624)

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19. FUJITA Takahiko (50144316)

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20. YUKUTAKE Kiyoshi (30174832)

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21. YOSHIMOTO Atsushi (10264350)

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22. TERAOKA Yukio (40264105)

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23. OZAKI Tohru (00000208)

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24. HAYAKAWA Takeshi (00000183)

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25. KUWANA Yoichi (30272769)

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26. 小林正人 (60170354)

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27. 加納悟 (50114971)

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28. 米澤康博 (40175005)

# of Collaborated Projects: 1 results

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29. 伊藤哲 (00231150)

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30. 庄司功 (20282329)

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31. KATO Takashi

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32. HAVNES R.

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33. HAYNES Richard

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34. TORRES Juan

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35. EVISON David

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36. CERDA Arcadi

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37. PAREDES Gonz

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38. BROOKS David

# of Collaborated Projects: 1 results

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39. HAYNES Richa

# of Collaborated Projects: 1 results

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40. 古井戸宏通

# of Collaborated Projects: 1 results

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SHIBA Tsunemasa 斯波 恒正

斯波 恒正 シバ ツネマサ

斬波 恒正 シバ ツネマサ

Research Projects

Research Products

Co-Researchers

Financial Engineering to ERM: Theoretical and Empirical InvestigationPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Bayesian Estimation of Unknown Regression Error HeteroscedasticityPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Research on Statistical Theory and Time Series Analysis for Mathematical Finance

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

HJMモデルなどによる金利の期間構造の推定Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

QUANTITATIVE ANALYSIS OF TIMBER TRADE AND FOREST PROTECTION

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Econometric Methods for Financial Markets and Its Applications to Japanese Economy

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

株式・債券市場における計量経済学的分析

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

New Econometric Methods and Their Applications to Japanese Financial Markets

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Theory of Structural Change and Japanese Economy

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Book] 『MBA・金融プロフェッショナルのためのファイナンスハンドブック』早稲田大学大学院ファイナンス研究科・早稲田大学ビジネススクール編2016

Author(s)

Total Pages

Publisher

Data Source

[Journal Article] DIRICHLET PRIOR FOR ESTIMATING UNKNOWN REGRESSION ERROR HETEROSKEDASTICITY2015

Author(s)

Journal Title

NAID

Data Source

[Journal Article] ガウシアンコピュラの信用リスク管理への１応用について2014

Author(s)

Journal Title

Data Source

[Journal Article] Dirichlet Prior for Estimating Unknown Regression Error Heteroscedasticity2012

Author(s)

Journal Title

Data Source

[Journal Article] Bayesian Estimation of Unknown Regression Error Hetero scedasticity2009

Author(s)

SHIBA Tsunemasa 斯波恒正

斯波恒正シバツネマサ

斬波恒正シバツネマサ