Rchr
J-GLOBAL ID：200901053240917119
Update date: Jan. 30, 2024
Takayuki Morimoto
モリモト タカユキ | Takayuki Morimoto
Affiliation and department：
Homepage URL (1)：
http://sci-tech.ksc.kwansei.ac.jp/~morimot/
Research field (2)：
Economic statistics
, Statistical science
Research keywords (6)：
market microstructure
, multipower variation
, realized volatility
, marked point process
, duration model
, point process
Research theme for competitive and other funds (8)：
- 2021 - 2025 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
- 2018 - 2021 Study on estimation and prediction of volatility based on empirical similarity
- 2015 - 2018 A study on estimation of volatility using big data analysis
- 2014 - 2017 Monitaring of parameter chamge in economic time series model
- 2011 - 2014 Statistical inference for extended models in financial time series
- 2007 - 2010 A research on the market microstructure of financial markets by using high frequency data
- 2006 - 2008 Econometric Analysis of High Frequency Financial Time Series
- 高頻度金融データの分析
Show all
Papers (1)：
-
Hiroki Masuda, Takayuki Morimoto. OPTIMAL WEIGHT FOR REALIZED VARIANCE BASED ON INTERMITTENT HIGH-FREQUENCY DATA. JAPANESE ECONOMIC REVIEW. 2012. 63. 4. 497-527
MISC (2)：
Work history (2)：
- 2021/04 - 現在 Kwansei Gakuin University School of Science
- Hitotsubashi University Graduate School of Economics, Economic Theory and Economic Statistics Area
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