Rchr
J-GLOBAL ID:200901016154455711   Update date: Mar. 13, 2024

KAWASAKI Yoshinori

カワサキ ヨシノリ | KAWASAKI Yoshinori
Affiliation and department:
Job title: Professor
Other affiliations (1):
  • The Graduate University for Advanced Studies  Department of Advanced Studies, Statistical Science Program   Professor
Homepage URL  (2): http://researchmap.jp/inglewoodjack65https://researchmap.jp/inglewoodjack65/?lang=english
Research field  (2): Economic statistics ,  Statistical science
Research keywords  (3): Statistical Science ,  Econometrics ,  Time Series Analysis
Research theme for competitive and other funds  (40):
  • 2023 - 2028 Developing Information Criteria for Modern Statistics
  • 2022 - 2026 Innovative development of statistical and machine learning approaches for financial and actuarial risk measurement
  • 2022 - 2025 バイアス補正型ノンパラメトリック極値理論に基づく金融リスク管理法の研究
  • 2020 - 2023 Basic research on the effect of economic and industrial policy on the firm dynamics of SMEs
  • 2021 - 2022 新型コロナウィル感染症関連経済政策が中小企業経営に与えた効果についての調査と分析
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Papers (29):
  • Masayuki Jimichi, Yoshinori Kawasaki, Daisuke Miyamoto, Chika Saka, Shuichi Nagata. Statistical Modeling of Financial Data with Skew-Symmetric Error Distributions. Symmetry. 2023. 15. 9. 1772-1772
  • H. Kaibuchi, Y. Kawasaki, G. Stupfler. GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series. Quantitative Finance. 2022. 22. 7. 1277-1294
  • Nakajim, Masahiko Graduate, School of Science, Engineering, Chuo University, Sakaori, Fumitake Chuo, University, Kawasaki, Yoshinori Institute of, Statistical Mathematics. Recent development of integer-valued autoregressive models. Prodeedings of Institute of Statistical Mathematics. 2017. 65巻. 2号. 323-339
  • Masao Ueki, Yoshinori Kawasaki, Gen Tamiya. Detecting genetic association through shortest paths in a bidirected graph. Genetic Epidemiology. 2017. 41. 6. 481-497
  • Takayuki Morimoto, Yoshinori Kawasaki. Forecasting Financial Market Volatility Using a Dynamic Topic Model. Asia-Pacific Financial Markets. 2017. 24. 3. 149-167
more...
MISC (19):
  • 川崎 能典. 書評:岩沢宏和、平松雄司著:「入門Rによる予測モデリング-機械学習を用いたリスク管理のために-」. 数学通信. 2022. 27. 1. 95-97
  • Yoshinori Kawasaki, Takayuki Morimoto. Volatility Forecasting with the Heterogeneous AR-type Multiscale Dynamic Topic Model. Proceedings of the 55th JAFEE Meeting (2021 summer). 2021. 12-21
  • Hibiki Kaibuchi, Yoshinori Kawasaki, Gilles Stupfler. GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series. arXiv. 2021
  • 川崎 能典. 統計思考力育成事業のスペクトラムと今後の展望. 月刊統計. 2020. 第71巻. 4号. 48-51
  • 川崎 能典. ビッグデータ時代のデータサイエンティスト育成に取り組む統計思考院. 月刊統計. 2020. 第71巻. 4号. 44-47
more...
Books (11):
  • 教養としてのデータサイエンス
    講談社 2021 ISBN:9784065238097
  • 時系列回帰
    2018
  • ベイズ的セミパラメトリック回帰
    2018
  • 岩波データサイエンス Vol. 6
    岩波書店 2017 ISBN:9784000298568
  • 時系列解析ハンドブック
    朝倉書店 2016
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Lectures and oral presentations  (132):
  • Comparative VaR backtesting: GARCH-EVT versus GARCH-UGH
    (14th CEQURA Conference on Advances in Financial and Insurance Risk Management 2023)
  • 非対称分布の有限混合回帰による株式時価総額の統計モデリング
    (2023年度統計関連学会連合大会 2023)
  • 財務データの匿名化: NEEDS 財務データを利用した合成疑似データの生成
    (日本経営数学会第45回研究大会 2023)
  • GARCH-UGH: A Bias-reduced Approach for Dynamic Extreme Value-at-Risk Estimation in Financial Time Series
    (ISM Symposium on Environmental Statistics 2023 2023)
  • Comparative VaR backtesting: GARCH-EVT versus GARCH-UGH
    (ISI-ISM-ISSAS Joint Conference 2023 2023)
more...
Education (3):
  • 1988 - 1992 The University of Tokyo Graduate School of Economics Statistics Course
  • 1986 - 1988 The University of Tokyo Department of Economics Major in Economics
  • 1984 - 1986 The University of Tokyo College of Arts and Sciences Literary Course II
Professional career (2):
  • M.A. (Economics) (The University of Tokyo)
  • Ph. D. (Economics) (The University of Tokyo)
Work history (5):
  • 2024/03 - 現在 The Institute of Statistical Mathematics Department of Interdisciplinary Statistical Mathematics Professor
  • 2015/04 - 2024/02 The Institute of Statistical Mathematics Department of Statistical Modeling Professor
  • 2007/04 - 2015/03 The Institute of Statistical Mathematics Department of Statistical Modeling Associate Professor
  • 2005/12 - 2007/03 The Institute of Statistical Mathematics Department of Statistical Modeling Associate Professor
  • 1992/04 - 2005/11 The Institute of Statistical Mathematics Department of Prediction and Control Assistant Professor
Committee career (30):
  • 2023/10 - 現在 Science Council of Japan Member
  • 2023/05 - 現在 Japan Statistical Society Director-General of the Board
  • 2023/04 - 現在 Japanese Federation of Statistical Science Associations VIce Director-General, Board of Directors (2023-2024)
  • 2023/04 - 現在 Japan Statistical Society Trustee
  • 2000/04 - 現在 Society of Applied Economic Time Series Analysis Director
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Awards (3):
  • 2022/08 - The Japanese Statistical Society 15th JSS Publication Award
  • 2022/06 - Japanese Association of Financial Econometrics and Engineering JAFEE Best Paper Award Forecasting Financial Market Volatility Using a Dynamic Topic Model
  • 2017/04 - 文部科学省 平成29年度科学技術分野の文部科学大臣表彰(理解増進部門) 統計的データ解析活用力/思考力の普及啓発
Association Membership(s) (6):
Japanese Association of Financial Econometrics and Engineering ,  Japanese Economic Association ,  American Statistical Association ,  Econometric Society ,  The Japan Statistical Society ,  Society of Applied Economic Time Series Analysis
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