Rchr
J-GLOBAL ID：201401065165309378
Update date: Jul. 19, 2024
Ishihara Tsunehiro
Ishihara Tsunehiro
Affiliation and department：
Job title：
Associate Professor
Research field (1)：
Economic statistics
Research theme for competitive and other funds (1)：
- 2024 - 2027 New developments in nonlinear econometric models using statistical learning and their applications to risk evaluations
Papers (9)：
-
Shinya Sugawara, Tsunehiro Ishihara, Susumu Kunisawa, Etsu Goto, Yuichi Imanaka. A panel vector autoregression analysis for the dynamics of medical and long-term care expenditures. Health economics. 2024. 33. 4. 748-763
-
Ishihara Tsunehiro. Realized Matrix Exponential Stochastic Volatility Model: Application to Market, Size, and Value Factor Realized Covariance. Journal of the Japan Statistical Society, Japanese Issue. 2021. 51. 1. 1-39
-
Tsunehiro Ishihara, Yasuhiro Omori. PORTFOLIO OPTIMIZATION USING DYNAMIC FACTOR AND STOCHASTIC VOLATILITY: EVIDENCE ON FAT-TAILED ERRORS AND LEVERAGE. JAPANESE ECONOMIC REVIEW. 2017. 68. 1. 63-94
-
Tsunehiro Ishihara, Yasuhiro Omori, Manabu Asai. Matrix exponential stochastic volatility with cross leverage. COMPUTATIONAL STATISTICS & DATA ANALYSIS. 2016. 100. 331-350
-
景気循環の計量分析--サーベイと日本の景気動向指数への応用--. 経済研究. 2015. 66. 2. 154-168
ｍore...
Books (1)：
-
Multivariate Stochastic Volatility Model
2012
Lectures and oral presentations (3)：
-
"A realized multi-factor regression model using multivariate realized stochastic volatility
(17th International Conference on Computational and Financial Econometrics (CFE 2023) 2023)
-
A realized multi-factor regression using a multivariate stochastic volatility model
(The 5th International Conference on Econometrics and Statistics (EcoSta 2022) 2022)
-
Stochastic Offset count model with endogeneity: application to the hospital stay length
(2018 Japanese Joint Statistical Meeting 2018)
Association Membership(s) (2)：
Return to Previous Page
