研究者情報 - 生方　雅人

ウブカタ　マサト UBUKATA Masato
生方　雅人

所属明治学院大学経済学部国際経営学科

職種教授

学会発表
2023/08/30	Variance risk premium components in Japan for predictability: Evidence from the COVID-19 pandemic (統計学・計量経済学の理論とマクロ経済・ファイナンスへの応用)
2022/08/23	A time-varying jump tail risk measure using high-frequency options data (応用計量経済学の展開)
2021/10/19	オプション情報を用いた下方ジャンプリスクと応用研究 (計量経済学ワークショップ)
2021/06/24	A time-varying jump tail risk measure using high-frequency options data (The 4th International Conference on Econometrics and Statistics)
2021/06/07	オプション情報を用いた下方ジャンプリスクと応用研究 (丸の内QFセミナー第62回研究会)
2020/10/31	Time-varying jump tail risk measure using high-frequency options data (HSI2020-The 6th Hitotsubashi Summer Institute “Macro- and Financial Econometrics”)
2019/06/25	Realized jump beta: Evidence from high-frequency data on Tokyo stock exchange (The 3rd international conference on econometrics and statistics)
2019/03/13	Tail risk and return predictability for the Japanese equity market (VXJ10周年記念ワークショップ)
2018/07/17	Tail risk and return predictability for the Japanese equity market (計量経済学ワークショップ)
2018/06/19	Risk premia dynamics of the Japanese financial markets (The 2st international conference on econometrics and statistics)
2018/02/20	Implied and realized jump risks in aggregate Japanese stock returns (釧路公立大学研究集会)
2018/02/10	Risk premia dynamics of the Japanese financial markets (一橋大学経済研究所共同利用・共同研究拠点プロジェクト研究集会)
2017/12/01	Risk premia dynamics of the Japanese financial markets (金融工学・数理計量ファイナンスの諸問題2017)
2017/06/16	Jump tail risk premium and predicting credit spreads (The 1st international conference on econometrics and statistics)
2016/06/03	Decompositions of variance risk premium in Japan for asset predictability (Seminar Series on Quantitative Finance)
2015/11/20	Dynamic hedging performance and downside risk:evidence from Nikkei index futures (Seminar Series on Quantitative Finance)
2015/08/07	Effectiveness of time-varying minimum value at risk and expected shortfall hedging
2015/08/05	Effectiveness of time-varying minimum value at risk and expected shortfall hedging (Hitotsubashi Summer Institute on Econometrics)
2014/12/05	Evaluating the performance of futures hedging using multivariate realized volatility (金融工学・数理計量ファイナンスの諸問題 2014)
2014/09/15	Evaluating the performance of futures hedging using multivariate realized volatility (統計関連学会連合大会2014)
2014/02	An empirical analysis of futures hedge using multivariate realized volatility (Workshop on high-frequency data and financial econometrics)
2013/10	Market variance risk premiums in Japan for asset predictability (ICSファカルティーセミナー)
2013/02	The role of implied volatility and jump risk component in forecasting realized volatility (共同利用プロジェクト研究会)
2013/02	The role of implied volatility and jump risk component in forecasting realized volatility (クラスター研究ファイナンスセミナー)
2012/11	The role of implied volatility and jump risk component in forecasting realized volatility (The Third International Conference "High-frequency Data Analysis in Financial Markets")
2012/08	The information content of model-free implied variance and jump risk (Topics in Volatility and Forecasting)
2012/07	Market variance risk premiums in Japan as predictor variables and indicators of risk aversion (ims-APRM 2012)
2012/07	Market variance risk premiums in Japan as predictor variables and indicators of risk aversion (近経研究会)
2012/03	Market variance risk premiums in Japan as predictor variables and indicators of risk aversion (The Joint Usage and Research Center Project Workshop "The Estimation of Financial Volatility Using High-Frequency Data with Applications to Financial Risk Management")
2011/10	Market variance risk premiums in Japan as predictor variables and indicators of risk aversion (The Second International Conference "High-frequency Data Analysis in Financial Markets")
2011/03	実現分散共分散行列を用いた大規模ポートフォリオのパフォーマンスについて (プロジェクト研究ワークショップ)
2010/12	Large-scale portfolios using realized covariance matrix: evidence from the Japanese stock market (1st Workshop on Finance and Accounting Research in the Asian Pacific Region)
2010/11	Pricing Nikkei 225 options using realized volatility
2010/11	Option pricing using realized volatility and ARCH type models (応用統計計量ワークショップ)
2010/10	Large-scale portfolios using realized covariance matrix: evidence from the Japanese stock market (クラスター研究ファイナンスセミナー)
2010/01	Does Pre-trade Transparency Affect Market Quality in Tokyo Stock Exchange? (2010年度関西計量経済学研究会)
2009/02	Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity (Recent developments in Finance and Econometrics)
2009/01	Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity (2008年度 (第17回) 関西計量経済学研究会)
2008/11	Estimation and Testing for Dependence of Market Microstructure Noise (Research Forum on Finance and Decision Making)
2008/10	Estimation and Testing for Dependence of Market Microstructure Noise (International conference: High-Frequency Data Analysis in Financial Markets)
2008/09	マイクロストラクチャーノイズの従属性の検証：個別銘柄の高頻度データによる分析 (日本経済学会2008年度秋季大会)
2008/08	A Test for Dependence and Covariance Estimator of Market MicrostructureNoise (2008 Daiwa Lecture Series and International Workshopon Financial Engineering)
2007/12	Instantaneous Error Term and Yield Curve Estimation (International Congress on Modelling and Simulation 2007)
2007/12	Bias Correct Cumulative Covariance Estimatorのパラメータの選択法について (金融工学・数理・計量ファイナンスの諸問題)
2007/11	Finite Sample Analysis of Integrated Covariance Estimators in the Presence of Noise (Hitotsubashi Conference on Econometrics 2007)
2007/06	Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise (日本経済学会2007年度春季大会)
2007/03	Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise (2006年度計量ファイナンス研究会)
2006/12	Integrated Covariance 推定における観測誤差の問題とその検出 (南山大学ファイナンス・ワークショップ)
2006/04	注文駆動型市場におけるＩＲ活動のスプレッド要因への影響 (MEW)
2005/09	Realized Volatilityを用いたオプション価格付けモデルの検証 (日本統計学会第73回大会)