Rchr
J-GLOBAL ID:200901005961615356   Update date: Aug. 31, 2020

Tamaki Kenichiro

タマキ ケンイチロウ | Tamaki Kenichiro
Affiliation and department:
Job title: Associate Professor
Homepage URL  (2): http://www.f.waseda.jp/tamaki/http://www.f.waseda.jp/tamaki/
Research field  (1): Statistical science
Research keywords  (1): Statistical Finance, Time Series Analysis
Research theme for competitive and other funds  (4):
  • 2013 - 2017 Generalized empirical likelihood for time series
  • 2007 - 2010 Theory and Applications for Mathematical Methods in Statistical Science
  • 2005 - 2007 局外母数をもつ時系列回帰モデルのセミパラメトリックな高次漸近理論
  • Bayes approach to time series models
Papers (11):
  • Masakazu Miura, Kenichiro Tamaki, Takayuki Shiohama. Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations. Asia-Pacific Financial Markets. 2013. 20. 4. 311-344
  • Masanobu Taniguchi, Kenichiro Tamaki, Thomas J. DiCiccio, Anna Clara Monti. JACKKNIFED WHITTLE ESTIMATORS. STATISTICA SINICA. 2012. 22. 3. 1287-1304
  • Yusuke Maeyama, Kenichiro Tamaki, Masanobu Taniguchi. Preliminary test estimation for spectra. STATISTICS & PROBABILITY LETTERS. 2011. 81. 11. 1580-1587
  • Tetsuhiro Honda, Kenichiro Tamaki, Takayuki Shiohama. Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations. FINANCE RESEARCH LETTERS. 2010. 7. 1. 60-69
  • Kenichiro Tamaki. Second-order properties of locally stationary processes. JOURNAL OF TIME SERIES ANALYSIS. 2009. 30. 1. 145-166
more...
Books (1):
  • Optimal Statistical Inference in Financial Engineering
    Chapman & Hall/CRC 2008 ISBN:1584885912
Lectures and oral presentations  (3):
  • 時系列モデルに対する高次漸近理論
    (日本数学会 2008)
  • Higher order asymptotic option valuation for non-Gaussian dependent returns
    (4th World Congress of Bachelier Finance Society 2006)
  • Second order optimality for estimators in time series regression models
    (25th European Meeting of Statisticians 2005)
Professional career (1):
  • Doctor of Science (Waseda University)
Work history (2):
  • 2008/04 - Waseda University Faculty of Political Science and Economics Associate Professor
  • 2005/04 - 2008/03 Waseda University Faculty of Science and Engineering Research Associate
Association Membership(s) (4):
Mathematical Society of Japan ,  Japanese Association of Financial Econometrics and Engineering ,  Japan Statistical Society ,  International Society for Mathematical Sciences
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