Institute for Economic Studies, Keio University

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Econometrics Workshop

Past seminars (AY 2015)

2015/4/7(Tue)
Fumio Hayashi (Hitotsubashi University)

"Exiting from QE"

Abstract Working Paper

Joint with Macroeconomics Workshop and Econometrics Workshop 

Room (Note the change): 131-A:First Building

Chair: Ippei Fujiwara

Presentation in English

2015/4/14(Tue)
Yuki Sato (University of Lausanne and Swiss Finance Institute (SFI))

"Innovation, Delegation, and Asset Price Swings"

Abstract Working Paper

Chair: Daisuke Nagakura

Presentation in English

2015/4/24(Fri)
Takahiro Hoshino (Keio University)

"Heterogeneous treatment effect estimation under endogenous allocation to clusters"

Abstract

Joint with Applied Economics Workshop and Econometrics Workshop 

Room (Note the change): 107:First Building

Chair: Masao Ogaki

2015/4/28(Tue)
Junichi Imai (Keio University)

"An Efficient Numerical Procedure for Financial Engineering Using Quasi-Monte Carlo Method"

Abstract

Chair: Takuji Arai

Presentation in Japanese

2015/5/12(Tue)
Keita Owari (University of Tokyo)

"Robust Utility Indifference Valuation Revisited: A View from Optimal Transport"

Abstract

Chair: Takuji Arai

Presentation in Japanese

2015/5/26(Tue)
Hideatsu Tsukahara (Seijo University)

"Distortion Risk Measures in Action"

Abstract

Chair: Takuji Arai

Presentation in Japanese

2015/6/9(Tue)
Nobuyoshi Kikuchi (University of Tokyo)

"Marginal returns to schooling and education policy change in Japan"

Abstract

Chair: Hideo Akabayashi

Presentation in Japanese

2015/6/16(Tue)
Hideo Akabayashi (Keio University)

"Does After-School Education Voucher Improve Educational Outcomes? Evaluation of an Education Voucher Program after the Great East Japan Earthquake (joint with Hiroko Araki, Makiko Nakamuro, and Ryuichi Tanaka)"

Abstract

Joint with Econometrics Workshop and Applied Economics Workshop 

Room (Note the change): 132:First Building

Chair: Takahiro Hoshino

Presentation in Japanese

2015/6/23(Tue)
Toshihiro Yamada (Hitotsubashi University)

"A new second order weak approximation of SDEs"

Abstract

Chair: Takuji Arai

Presentation in Japanese

2015/6/30(Tue)
Yuta Koike (The Institute of Statistical Mathematics)

"Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise"

Abstract Working Paper

Chair: Daisuke Nagakura

Presentation in Japanese

2015/7/7(Tue)
Taisuke Otsu (London School of Economics and Political Science)

"Extending the Scope of Cube Root Asymptotics"

Abstract・Paper

Joint with Econometrics Workshop and Macroeconomics Workshop 

Room (Note the change): First School Building, #132 (3rd fl.)

Chair: Daisuke Nagakura

Presentation in Japanese

2015/7/14(Tue)
Kaiji Mogi (Waseda University)

"Simple Granger Causality Tests for Mixed Frequency Data"

Abstract・Working Paper

Chair: Daisuke Nagakura

Presentation in Japanese

2015/9/29(Tue)
Yohei Yamamoto (Hitotsubashi University)

"Asymptotic Inference for Common Factor Models in the Presence of Jumps"

Working Paper

Chair: Daisuke Nagakura

Presentation in Japanese

2015/10/6(Tue)
Teppei Ogiwara (The Institute of Statistical Mathematics)

TBA

Abstract

Chair: Takuji Arai

Presentation in Japanese

2015/10/20(Tue)
Ryo Okui (Institute of Economic Research, Kyoto University)

"DOUBLY ROBUST UNIFORM CONFIDENCE BAND FOR THE CONDITIONAL AVERAGE TREATMENT EFFECT FUNCTION"

Abstract

Chair: Takahiro Hoshino

Presentation in Japanese

2015/11/3(Tue)
Jouchi Nakajima (Bank of Japan)

"Has trend inflation shifted?: An empirical analysis with a regime-switching model"

Abstract Working Paper

Joint with Econometrics Workshop and Macroeconomics Workshop 

Room (Note the change): First School Building, #132(3rd fl.)

Chair: Daisuke Nagakura

Presentation in Japanese

2015/11/3(Tue)
Shonosuke Sugasawa (University of Tokyo)

"Heteroscedastic Nested Error Regression Models with Variance Functions"

Abstract Working Paper

Room (Note the change): South School Building #476 (7th fl.) / Time (Note the change): 14:45-16:15

Chair: Daisuke Nagakura

2015/11/10(Tue)
Yoann Potiron (The University of Chicago, Department of Statistics)

"The locally parametric model: a new class of models in high frequency data"

Abstract Working Paper

Chair: Daisuke Nagakura

Presentation in English

2017/11/17(Fri)
Toshinao Yoshiba (Bank of Toyko)

"Maximum likelihood estimation of skew-t copulas and its applications to financial econometrics"

Abstract

Chair: Takuji Arai

Presentation in Japanese

2015/11/27(Fri)
Yasutora Watanabe (Hong Kong University of Science and Technology)

"Voter Turnout and Preference Aggregation"

abstract

Joint with Applied Economics Workshop and Econometrics Workshop 

Room (Note the change): First School Building , #107 (1st fl.)

Chair: Takahiro Hoshino

2015/12/9(Wed)
Katsutoshi Shimizu (Nagoya University)

Systemic risk and crisis management: A CoVaR approach

Working Paper Abstract

Joint with KEO Seminar and Econometrics Workshop 

Room (Note the change): Graduate School Building 8F meeting room / Time (Note the change): 18:10 - 19:40

Chair: Wako Watanabe

Sponsored by Business and Economics Workshop, scientific research fund.

2015/12/22(Tue)
Kenichiro Shiraya (University of Tokyo)

"Variance Reduction for Multi-Asset Options"

Abstract

Chair: Takuji Arai

Presentation in Japanese

2016/1/19(Tue)
Yoichi Miyata (Takasaki City University of Economics)

"Bayesian information criteria in misspecified models: validity and consistency"

Abstract

Chair: Daisuke Nagakura

Presentation in Japanese

Other Academic Years