Rchr
J-GLOBAL ID：202201020001651961
Update date: Sep. 26, 2022
Takabatake Tetsuya
タカバタケ テツヤ | Takabatake Tetsuya
Affiliation and department：
Job title：
Assistant Professor
Research field (3)：
Economic statistics
, Applied mathematics and statistics
, Basic mathematics
Research keywords (5)：
非整数ブラウン運動
, 確率ボラティリティ
, 高頻度観測金融データ
, 確率過程の統計解析
, 数理ファイナンス
Research theme for competitive and other funds (2)：
- 2019 - 2022 ボラティリティ変動の激しさに関する統計的仮説検定理論の構築
- 2017 - 2019 ボラティリティ変動に現れる非整数Brown運動に対する高頻度データ解析
Papers (2)：
-
Masaaki Fukasawa, Tetsuya Takabatake, Rebecca Westphal. Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics. Mathematical Finance. 2022. 32. 4. 1086-1132
-
Masaaki Fukasawa, Tetsuya Takabatake. Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations. BERNOULLI. 2019. 25. 3. 1870-1900
MISC (5)：
-
Tetsuya Takabatake. Note on Error Bound for Trace Approximation of Products of Toeplitz Matrices. 2022
-
Tetsuya Takabatake. Quasi-Likelihood Analysis of Fractional Brownian Motion with Constant Drift under High-Frequency Observations. 2022
-
Kohei Chiba, Tetsuya Takabatake. Asymptotically Efficient Estimation of Ergodic Rough Fractional Ornstein-Uhlenbeck Process under Continuous Observations. 2022
-
Masaaki Fukasawa, Tetsuya Takabatake, Rebecca Westphal. Supplement to ”Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics”. 2022
-
Masaaki Fukasawa, Tetsuya Takabatake. Supplement to ”Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations”. BERNOULLI. 2019. 1-4
Lectures and oral presentations (37)：
-
Local Asymptotic Normality Property for Fractional Brownian Motion with Measurement Error
(The SH3 Conference on Econometrics 2022)
-
Local Asymptotic Normality Property for Fractional Brownian Motion with Measurement Error
(Computational and Methodological Statistics (CMStatistics) 2021)
-
ドリフトを持つ非整数Brown運動に対する疑似尤度解析
(統計関連学会連合大会 2021)
-
連続観測に基づく非整数Ornstein-Uhlenbeck過程の局所漸近正規性
(岡山確率論セミナー 2021)
-
観測誤差を含む非整数Brown運動に対する局所漸近正規性
(統計関連学会連合大会 2020)
ｍore...
Education (2)：
- 2016 - 2019 Osaka University Graduate School of Engineering Science Department of Systems Innovation, Division of Mathematical Science for Social Systems
- 2014 - 2016 Osaka University Graduate School of Science Department of Mathematics
Professional career (1)：
- Doctor of Science (Osaka University)
Work history (2)：
- 2019/04 - 現在 Hiroshima University Faculty of Economics Assistant Professor
- 2017/04 - 2019/03 Japan Society for the Promotion of Science
Awards (4)：
- 2018/09 - 統計関連学会連合 2018年度統計関連学会連合大会「優秀報告賞」
- 2018/04 - 生産技術振興協会 生産技術振興協会「海外論文発表奨励賞」
- 2016/09 - 統計関連学会連合 2016年度統計関連学会連合大会「優秀報告賞」
- 2016/03 - 日本統計学会 第10回日本統計学会春季集会「学生優秀発表賞」
Association Membership(s) (1)：
Return to Previous Page
