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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

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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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