伊藤幹夫

イトウミキオ | Mikio Itou

所属機関・部署：
職名：教授
ホームページURL (1件)： http://econ.keio.ac.jp/staff/ito/lecture/

研究分野 (3件)：理論経済学 , 経済統計 , 金融、ファイナンス

研究キーワード (7件)：株式市場 , 時系列解析 , 応用計量経済学 , 市場統合 , 市場効率性 , 外国為替市場 , 商品先物市場

競争的資金等の研究課題 (4件)：

論文 (11件)：

Mikio Ito, Akihiko Noda, Tatsuma Wada. Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach. Mathematics. 2021. 9. 8. 849-849
伊藤幹夫. The futures premium and rice market efficiency in prewar Japan. Economic History Review. 2018. 71. 3. 909-937
Akihiko Noda, Mikio Ito, Kiyotaka Maeda. Market efficiency and government interventions in prewar Japanese rice futures markets. Financial History Review. 2016. 23. 3. 325-346
Mikio Ito, Akihiko Noda, Tatsuma Wada. The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach. APPLIED ECONOMICS. 2016. 48. 7. 621-635
Mikio Ito, Akihiko Noda, Tatsuma Wada. International stock market efficiency: a non-Bayesiantime- varying model approach. APPLIED ECONOMICS. 2014. 46. 23. 2744-2754

書籍 (4件)：

講演・口頭発表等 (21件)：

Detecting Structural Breaks in Foreign Exchange Markets by Using the Group LASSO Technique
(Virtual 96th Annual conference of Western Economic Association International 2021)
An Estimation Method for State-Space Models using Generalized LASSO Techniques
(Western Economic Association International 94th Annual Conference 2019)
Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939 (with Kiyotaka Maeda and Akihiko Noda)
(18th World Economic History Conference 2018)
Market Efficiency and Price Stabilization Policy in Prewar Japanese Rice Markets (with Kiyotaka Maeda and Akihiko Noda)
(Western Economic Association International 92th Annual Conference 2017)
Market Efficiency and Integration in Foreign Exchange Markets: A Non-Bayesian Time-Varying Model Approach(with Akihiko Noda and Tatsuma Wada)
(Western Economic Association International 92th Annual Conference 2017)

学歴 (3件)：

学位 (1件)：

経歴 (5件)：

所属学会 (4件)：

日本ファイナンス学会 , Western Economic Association International , 日本経済学会 , 社会経済史学会

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伊藤 幹夫