※統計数理研究所リスク解析戦略研究センター金融・保険リスク研究プログラム との共催ワークショップ
※ 2008年3月30日現在の予定です。
<本年度終了分>
日時 | 2008年4月11日(金 Friday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室
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報告 | Kosuke Oya/大屋幸輔 (Osaka University / 大阪大学経済学部) A Test for Cross-sectional Dependence of Microstructure Noises and their Cross-Covariance Estimator |
要旨(Abstract) | 高頻度観測される約定データにもとづく Integrated Volatility や Integrated Covariance の推定量は Bid-Ask Bounce に代表される Market Microstructure Noise の存在により、バイアスをもち、その分散も過大なものになっている。さまざまな推定量の改良が提案されているが、それらの多くは Microstructure Noise の dependence の構造を既知としたものである。この従属性の構造を明らかにするために、本報告では直接観測できない Microstructure Noise の相互自己共分散がゼロであるかどうかを検定する統計量と相互自己共分散関数の推定量を提案する。 |
日時 | 2008年4月18日(金 Friday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室
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報告 | Shin Kanaya/金谷信 (University of Wisconsin-Madison) Non-Parametric Specification Testing for Continuous-Time Markov Processes: Do the Processes Follow Diffusions ? |
要旨(Abstract) |
I propose a new non-parametric testing procedure to determine whether an underlying
continuous-time process is a diffusion. While many papers in economics and finance presuppose
that the dynamics of economic variables are described by diffusion processes, an empirical
validation of the diffusion hypothesis is rarely found. I develop a new theorem which
non-parametrically and fully identifies diffusion processes within a class of univariate
stationary Markov processes through their infinitesimal generators - functional operators computed
via derivatives of the conditional expectations with respect to time. I construct test statistics
based on this theorem and derive their asymptotic distributions. I also propose a
simulation-based technique to approximate the asymptotic distributions, since the distributions of
the original statistics depend upon a large number of unknown parameters and functions.
Monte-Carlo simulations are conducted to study the finite-sample size and power properties of the
test. I apply the proposed method to short-term interest rates and foreign exchange rates to
examine the validity of the diffusion hypothesis.
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日時 | 2008年5月9日(金 Friday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室 |
報告 | Hiroki Masuda/増田弘毅(九州大学大学院数理学研究院) Covariation Estimation Using Realized Multipower Variations: Synchronous-Sampling Case |
要旨(Abstract) | Realized multipower variation (MPV) は実現ボラティリティの一種の拡張であり, セミマルチンゲールの第二特性量行列 (連続部分の累積ボラティリティ) の推定量と して高い汎用性を持つ.近年MPVに関する漸近理論が整備されたが,非対角要素まで 込めた第二特性量行列の推定への適用にはあまり注意が払われていない.本報告で は,異なる複数のMPVを組み合わせることで第二特性量行列の推定量を構成し,適当 な規格化を施した下での一次漸近挙動を示す.これは異なる確率過程間の共分散構造 や共ジャンプ構造の解析に関する基本的な道具となる. |
日時 | 2008年5月21日(水 Wednesday) 12:00 - 1:00※臨時ワークショップ※ |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室 |
報告 |
Joel Horowitz(Department of Economics, Northwestern University) Oracle Efficient Nonparametric Estimation of an Additive Model with an Unknown Link Function [PDF] |
日時 | ※特別講義のお知らせ※ 第1回: 2008年5月21日(水 Wednesday) 9:00 - 11:00第2回: 2008年5月22日(木 Thursday) 9:00-11:00 |
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場所 | 東京大学大学院経済学研究科棟 2階 203号室 |
報告 |
Joel Horowitz(Department of Economics, Northwestern University) Bootstrapに関する特別講義 |
日時 | 2008年5月23日(金 Friday) 3:30 - 6:10 ※時間と場所にご注意下さい。 |
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場所 | 東京大学大学院経済学研究科棟 12階 第3共同研究室 |
報告 |
1) 3:30 - 4:40 Masayuki Hirukawa/蛭川雅之(Northern Illinois University) Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes 2) 5:00 - 6:10 Seung Ahn(Arizona State University) Eigenvalue Ratio Test for the Number of Factors |
要旨(Abstract) |
1) This paper considers a nonstandard kernel regression for strongly mixing processes when the
regressor is nonnegative. The nonparametric regression is implemented using asymmetric kernels
[Gamma (Chen, 2000b), Inverse Gaussian and Reciprocal Inverse Gaussian (Scaillet, 2004)
kernels] that possess some appealling properties such as lack of boundary bias and adaptability
in the amount of smoothing. The paper investigates the asymptotic and .nite-sample properties
of the asymmetric kernel Nadaraya-Watson, local linear, and re-weighted Nadaraya-Watson
estimators. Pointwise weak consistency, rates of convergence and asymptotic normality are
established for each of these estimators. As an important economic application of asymmetric
kernel regression estimators, we reexamine the problem of estimating scalar di?usion processes. |
日時 | 2008年6月2日(月 Monday) 12:00-13:10 ※臨時ワークショップ※ ※日時と場所にご注意ください※ |
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場所 | 東京大学大学院経済学研究科棟 12階 第2共同研究室 |
報告 |
Hiroyuki Kasahara/笠原博幸 (The University of Western Ontario) Sequential Estimation of Structural Models with Fixed Point Constraint [PDF] |
要旨(Abstract) |
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日時 | 2008年6月13日(金 Friday) 4:50 - 6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室 |
報告 |
Michael McAleer(University of Western Australia) The Ten Commandments for Optimizing Value-at-Risk |
要旨(Abstract) | I have two papers relating to forecasting VaR, both of
which have just appeared in the Journal of Forecasting. Paper 1 examines very practical methods for evaluating VaR and minimizing daily capital charges: (1) McAleer, M. and B. da Veiga (2008), "Single index and portfolio models for forecasting value-at-risk thresholds", Journal of Forecasting, 27, 217-235. Paper 2 presents a new theoretical model for evaluating VaR, and evaluates the usefulness of the new model in practical VaR examples: (2) McAleer, M. and B. da Veiga (2008), "Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model", Journal of Forecasting, 27, 1-19. |
日時 | ※統計数理研究所・リスク解析戦略研究センター/ |
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場所 | 統計数理研究所・講堂 |
報告 |
統計数理研究所・リスク解析戦略研究センター主催ワークショップ |
内容 |
「信用リスクの統計解析:CDS, CDO, サブプライム問題」 |
日時 | 2008年6月27日(金 Friday) 4:50 - 6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室 |
報告 |
Taisuke Otsu/大津泰介(Yale University) On Bahadur efficiency of empirical likelihood |
要旨(Abstract) | This paper studies the Bahadur efficiency of empirical likelihood for testing moment condition models. It is shown that under mild regularity conditions, the empirical likelihood overidentifying restriction test is Bahadur efficient, i.e., its p-value attains the fastest convergence rate under each fixed alternative hypothesis. Analogous results are derived for parameter hypothesis testing and set inference problems. |
日時 | 2008年7月1日(火 Tuesday) 12:00-13:00 ※臨時ワークショップ※ ※日時と場所にご注意ください※ |
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場所 | 東京大学大学院経済学研究科棟 12階 第1共同研究室 |
報告 |
Edward Vytlacil (Yale University) Monotonicity, Instrumental Variables and the Sign of the Average Treatment Effect (joint with Cecilia Machado and Azeem Shaikh) |
要旨(Abstract) |
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日時 | ※特別講義のお知らせ※
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場所 | ※会場が異なりますのでご注意下さい※ 第1回:東京大学大学院経済学研究科棟 2階 203号室 at the Room No.203 on the 2rd floor of the Economics Research Building 第2回:東京大学大学院経済学研究科棟 3階 第4教室 |
報告 |
Richard Blundell(University College London) Lectures on the Distributional Dynamics of Income, Earnings and Consumptoin[paper1] [paper2] [lecture note] |
日時 | 2008年7月11日(金 Friday) 4:50 - 6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室 |
報告 |
Richard Blundell(University College London) Employment, Hours of Work and the Optimal Design of Earned Income Tax Credits |
要旨(Abstract) | This paper examines the optimal schedule of marginal tax rates and the design of earned income tax credits. The analysis is based on a structural labour supply model which incorporates unobserved heterogeneity, fixed costs of work and the detailed non-convexities of the tax and transfer system. An analytical framework is developed that allows explicitly for an extensive margin in work choices and also the partial observability of hours of work. This is contrasted to the standard case in which only earnings (and non-labour income) are observable to the government. The empirical motivation is the earned income tax credit reforms in Britain which include a minimum hours requirement at 16 hours per week and a further bonus at 30 hours. Our analysis examines the case for the use of hours-contingent payments and lends support for the overall structure of the British tax credit reforms. However, we also provide a strong case for a further reduction of marginal rates for lower earners but only those with school age children. |
連続講義「統計的リスク管理と保険」のお知らせ
研究会「金融と保険の統計学2008」では,「応用統計ワークショップ」及び「統計数理研究所
リスク解析センター」と共同して東京大学大学院経済学研究科(CIRJE)において,
統計的リスク管理論の理論と応用において国際的に著名な研究者であるAlexander J. McNeil教授
による連続講義を計画中です。
<参加をご希望の方へ> |
|
日時 | 第1回 2008年9月16日(火 Tuesday) 4:30 - 6:30 |
場所 | 東京大学大学院経済学研究科棟 3階 第3教室 |
報告 |
Alexander J. McNeil (Heriot-Watt University, Edinburgh) Statistical Risk Managements and its Applications |
概要 |
内容: 前半は近年発展が目覚ましい統計的リスク管理論と保険業などへの応用についての
入門的講義(2回)を行う。最後の1回は最近の話題に関するセミナーとなる予定である。
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日時 | 2008年10月17日(金 Friday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室
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報告 | Tsunao Okumura/奥村綱雄 (横浜国立大学経済学部) Concave-Monotone Treatment Response and Monotone Treatment Selection: With Returns to Schooling Application(共著者:臼井恵美子(名古屋大学大学院経済学研究科) |
要旨(Abstract) |
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日時 | 2008年10月24日(金 Friday) 12:00-1:00 |
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場所 | 東京大学大学院経済学研究科棟 12階 第2共同研究室 ※日時と場所が通常と異なりますのでご注意ください |
報告 | Ming-Tien Tsai (Institute of Statistical Science, Academia Sinica) The optimal rank tests for modal directions on spheres |
要旨(Abstract) | For a general class of unipolar, rotationally symmetric distributions on the multidimensional unit spherical surface, a characterization of locally best rotation-invariant test statistics is exploited in the construction of locally best rotation-invariant rank tests for modal location. Finite sample permutational distributional perspectives are appraised. Allied statistical distributional problems are appraised, and in the light of these assessments, asymptotic relative efficiency of a class of rotation-invariant rank tests (with respect to some of their parametric counterparts) is studied. Two-sample problem is also investigated. |
日時 | 2008年10月29日(水 Wednesday) 4:00-6:10 |
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場所 | 東京大学大学院経済学研究科棟 12階 第1共同研究室 ※日時と場所が通常と異なりますのでご注意ください |
報告 | (1) 4:00 - 5:00 Fulvio Corsi (University of Siena) Volatility forecasting: the jumps do matter(2) 5:10 - 6:10 Torben Andersen (Northwestern University) Model-Free Implied Volatility |
要旨(Abstract) |
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日時 | 2008年11月14日(金 Friday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室
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報告 | Seiya Imoto/井元清哉 (東京大学医科学研究所) Temporal and Spatial Modeling in Systems Biology and Pharmacogenomics |
要旨(Abstract) | In this talk, we present a statsitical method for extracting information about gene networks from genome-wide transcriptome data such as microarray data and proteome data like protein-protein interactions; those data are typicallly composed of several thousands or more feature variables. Our aims of the analysis are to gain better understanding of cellular response against a chemical compound like drug and to accelarate the development of genome-based medicine. To understand response of the cells for external stimulus, we should know the following information: when genes are transcribed and where proteins work in the cell. We create a new short time-course microarray dataset of human umbilical vein endothelial cell (HUVEC) treated with fenofibrate that is a drug for hyperlipidemia and apply our method to elucidate how cells respond to the stimulus of fenofibrate in terms of time and space; this response is summarized as a gene network that could show the drug efficacy of fenofibrate. Based on the results obtained by our approach, we would like to discuss the possibility to find novel drug targets. |
日時 | 2008年11月19日 (水 Wednesday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 12階 第1共同研究室 |
報告 | William Dunsmuir (University of New South Wales, Australia) Parsimonious Garch Modelling of Australian Yield Curves with Multivariate Asymmetric t-Distribution |
要旨(Abstract) |
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日時 | 2008年12月5日(金 Friday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室
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報告 | Fumikazu Miwakeichi/三分一史和 (千葉大学工学部) 時空間脳信号データの統計解析 |
要旨(Abstract) |
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日時 | 2008年12月12日(金 Friday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室
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報告 | Atsushi Inoue/井上篤 (North Carolina State University) Testing for Identification in Possibly Nonlinear Models |
要旨(Abstract) | In this paper we propose a chi-square test for identification. Our proposed test statistic is based on the distance between two bias-corrected shrinkage extremum estimators. The two estimators converge in probability to the same limit when identification is strong, and they converge weakly to different random variables when identification is weak. The proposed test is consistent not only for the alternative hypothesis of no identification but also for the alternative of weak identification, which is confirmed by our Monte Carlo experiment results. We apply the proposed technique to test whether the structural parameters of a representative Taylor-rule monetary policy reaction function are identified. |
日時 | 2009年1月9日(金 Friday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室
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報告 | Paul Embrechts (ETH, Switzerland) Extremes from meta distributions and the shape of the sample clouds |
要旨(Abstract) |
In several recent applications in financial risk management,
models used build on so-called meta distributions. Examples include
the Li Gaussian copula model and the t-based Merton-KMV model
for the pricing of credit risk. The credit crisis has shown that
several models used have serious problems in correctly describing
the extremal behaviour of underlying events. In this talk
we investigate the behaviour of (multivariate) extremes in meta distributions
based on the recent, more geometric theory of extremes as presented in [1].
It turns out that the asymptotic properties of the level sets of
the underlying distribution functions play a crucial role.
The results of this talk are derived in [2] which can be found on
www.math.ethz.ch/~embrechts.
References: |
日時 | 2009年1月23日(金 Friday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室
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報告 | Nabil Maghrebi (和歌山大学) Estimation of Japanese equity risk with the model-free Nikkei 225 implied volatility index |
要旨(Abstract) | This study addresses some numerical issues in calculating the model-free Nikkei225 implied volatility index, as well as its stochastic properties and forecasting power. It examines the significance of truncation errors associated with the calculation methodology underlying the VIX New index and the limited spectrum of strike prices. It addresses also the long- term relationship between implied volatility and realized volatility in the Japanese and US markets. There is evidence of higher out-of-sample forecasting performance for the implied volatility index relative to alternative GARCH specifications. The results indicate that despite its upward bias, the model-free implied volatility index is able to capture the dynamics of market volatility better than volatility models based on historical returns, even upon accounting for asymmetric effects. This empirical evidence lends support to drawing inference about economic uncertainty from options markets. |
日時 | 2009年1月30日(金 Friday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室
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報告 | 下津克己(Queen's University) Sequential Estimation of Structural Models with a Fixed Point Constraint |
要旨(Abstract) | This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL) algorithm achieves convergence and derive its convergence rate. We find that the NPL algorithm may not necessarily converge when the fixed point mapping does not have a local contraction property. To address the issue of non-convergence, we propose alternative sequential estimation procedures that can achieve convergence even when the NPL algorithm does not. Upon convergence, some of our proposed estimation algorithms produce more efficient estimators than the NPL estimator. |
日時 | 2009年2月6日(金 Friday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室
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報告 | Yang Feng(Princeton University) Local Quasi-Likelihood with a parametric guide |
要旨(Abstract) | Generalized linear models and quasi-likelihood method extend the ordinary regression models to accommodate more general conditional distributions of the response. Nonparametric methods need no explicit parametric specification and the resulting model is completely determined by the data themselves. However nonparametric estimation schemes generally have a slower convergence rate such as the local polynomial smoothing estimation of nonparametric generalized linear models studied in Fan, Heckman and Wand (1995). In this work, we propose a unified family of parametrically-guided nonparametric estimation schemes. Asymptotic results and numerical simulations demonstrate the improvement of our new estimation schemes over the original nonparametric counterpart. This is joint work with Prof. Jianqing Fan and Prof. Yichao Wu. |
日時 | 2009年3月27日(金 Friday) 4:50-6:10 |
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場所 | 東京大学大学院経済学研究科棟 3階 第3教室
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報告 | Walter Beckert(University of London) Maximal Uniform Convergence Rates in Parametric Estimation Problems (joint with Daniel L. McFadden) |
要旨(Abstract) | This paper considers parametric estimation problems with independent, identically, non-regularly distributed data. It focuses on rate-efficiency, in the sense of maximal possible convergence rates of stochastically bounded estimators, as an optimality criterion, largely unexplored in parametric estimation. Under mild conditions, the Hellinger metric, defined on the space of parametric probability measures, is shown to be an essentially universally applicable tool to determine maximal possible convergence rates. These rates are shown to be attainable in general classes of parametric estimation problems. |