Econometrics Workshop

Past seminars (AY 2016)

2016/04/12(Tue)
Kazuhiko Kakamu (Kobe University)
"Bayesian Estimation of Beta-Type Distribution Parameters Based on Grouped Data"
Chair: Daisuke Nagakura
Presentation in Japanese
2016/04/19(Tue)
Tetsuya Yamada (Bank of Japan)
Chair: Daisuke Nagakura
Presentation in Japanese
2016/05/10(Tue)
Yuta Koike (Tokyo Metropolitan University)
「Estimation of lead-lag effects in ultra high frequency data」
Chair: Daisuke Nagakura
Presentation in Japanese
2016/05/17(Tue)
Yasutaka Shimizu (Waseda University)
"Insurance mathematics and Gerber-Shiu analysis: applications and a statistical point of view"
Chair: Takuji Arai
Presentation in Japanese
2016/05/24(Tue)
Naoshi Tsuchida (Bank of Japan)
"The Intraday Liquidity of the Japanese Government Bond Futures"
Chair: Daisuke Nagakura
Presentation in Japanese
2016/05/31(Tue)
Keisuke Hirano (Univeristy of Arizona)
"Forecasting with Model Uncertainty: Representations and Risk Reduction"
Joint with Special Workshops and Macroeconomics Workshop Econometrics Workshop Applied Economics Workshop 
Room (Note the change): South School Building, #457 (5th fl.) / Time (Note the change): 16:30-18:00
Chair: Masao Ogaki
Presentation in English
2016/06/07(Tue)
Syohei Hasegawa (Hosei University)
"An analysis of TV viewing behavior by direct utility model"
Chair: Takahiro Hoshino
Presentation in Japanese
2016/06/14(Tue)
Kensuke Ishitani (Tokyo Metropolitan University)
"Computation of Greeks for barrier options using chain rules for Wiener path integrals between two curves"
Chair: Takuji Arai
Presentation in Japanese
2016/06/21(Tue)
Tsuyoshi Kunihama (Nagoya University)
"Nonparametric Bayes models for mixed-scale longitudinal surveys"
Chair: Takahiro Hoshino
Presentation in Japanese
2016/06/28(Tue)
Tetsuya Kaji (Massachusetts Institute of Technology)
Rescheduled to July 7th
2016/07/05(Tue)
Yuto Imai (Waseda University)
"Numerical approaches to local risk-minimization for exponential Lévy models"
Chair: Takuji Arai
Presentation in Japanese
2016/07/07(Thu)
Tetsuya Kaji (Massachusetts Institute of Technology)
"Testing Outlier Sensitivity via Integrable Empirical Processes"
Room (Note the change): Graduate School Building, #325-B (2th fl.) / Time (Note the change): 13:15-14:30
Chair: Daisuke Nagakura
Presentation in English
2016/07/12(Tue)
Yoshio Nozawa (FRB)
"Option-Based Credit Spreads"
Joint with Macroeconomics Workshop and Econometrics Workshop 
Room (Note the change): Graduate School Building, #313 (1th fl.) / Time (Note the change): 14:45-16:15
Chair: Keiichiro Kobayashi
Presentation in English
2016/07/19(Tue)
Kenichiro McAlinn (Duke University)
"Bayesian predictive synthesis for time series forecasting"
Chair: Teruo Nakatsuma
Presentation in English
2016/07/19(Tue)
Jan J. J. Groen (Federal Reserve Bank of New York)
"Oil Market Shocks and the U.S. Economy: Redux"
Joint with Macroeconomics Workshop and Econometrics Workshop 
Room (Note the change): Graduate School Building, #313 (1th fl.) / Time (Note the change): 14:45-16:15
Chair: Sagiri Kitao
Presentation in English
2016/09/27(Tue)
Taiga Saito (Financial Services Agency)
"Derivatives Pricing with Market Impact and Limit Order Book"
Chair: Teruo Nakatsuma
Presentation in Japanese
2016/09/28(Wed)
Tatsushi Oka (National University of Singapore)
"Quantile Treatment Effects in Difference in Differences Models under Dependence Restrictions and with only Two Time Periods"
Room (Note the change): Graduate School Building, #323(2nd fl.) / Time (Note the change): 16:30-18:00
Chair: Daisuke Nagakura
Presentation in Japanese
2016/10/03(Mon)
Ryuichi Tamura
Training Session 1 for Python
2016/10/06(Thu)
Yoshihiro Otsuka (Tohoku Gakuin University)
"Bayesian analysis of a factor model for measuring business cycle in Japan"
Room (Note the change): South School Building, #477 (7th fl.) / Time (Note the change): 16:30-18:00
Chair: Teruo Nakatsuma
Presentation in Japanese
2016/10/17(Mon)
Ryuichi Tamura
Training Session 2 for Python
2016/10/18(Tue)
Kaoru Irie (University of Tokyo)
”Bayesian emulation for optimization in multi-step portfolio decisions”
Chair: Teruo Nakatsuma
Presentation in English
2016/10/24(Mon)
Ryuichi Tamura
Training Session 3 for Python
2016/10/25(Tue)
Yuri Imamura (Tokyo University of Science)
"The Value of Timing Risk"
Presentation in Japanese
2016/10/31(Mon)
Ryuichi Tamura
Training Session 4 for Python
2016/11/01(Tue)
Kazuo Yamaguchi (University of Chicago)
"DECOMPOSITION ANALYSIS OF SEGREGATION"
Joint with Special Workshops and Econometrics Workshop Applied Economics Workshop 
Room (Note the change): South School Building, #457 / Time (Note the change): 16:30-18:00
Chair: Hideo Akabayashi /Takahiro Hoshino
Presentation in Japanese
2016/11/08(Tue)
Freddy Delbaen (ETH Zurich)
"Risk Measures on Orlicz spaces: some new characterisation of convex closed sets"
Joint with Special Workshops and Econometrics Workshop 
Chair: Takuji Arai
Presentation in English
2016/11/22(Tue)
Simon Clinet (University of Tokyo)
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Chair: Daisuke Nagakura
Presentation in English
2016/12/06(Tue)
Yoshiyuki Nakazono (Yokohama City University)
"Federal Reserve Information by Forecasting Horizon"
Chair: Daisuke nagakura
Presentation in Japanese
2016/12/13(Tue)
Hidehiko Ichimura (University of Tokyo)
"The Influence Function of Semiparametric Estimators"
Joint with Special Workshops and Applied Economics Workshop Econometrics Workshop 
Room (Note the change): South School Building, #457 (5th fl.)
Chair: Hideo Akabayashi
Presentation in Japanese
2016/12/20(Tue)
Yoko Konishi (RIETI)
“Satisfaction, Loyalty and Productivity: A Case of Beauty Salon”
Chair: Daisuke Nagakura
Presentation in Japanese
2016/12/27(Tue)
Kenji Suganuma・Tetsuya Yamada (Bank of Japan)
"Forward rate models under negative interest rate environment"
Chair: Takuji Arai
Presentation in Japanese
2017/01/17(Tue)
Tatsuyoshi Okimoto (Australian National University)
"Analysis of monetary policy in Japan using the smooth-transition models"
Chair: Daisuke Nagakura
Presentation in Japanese
2017/01/17(Tue)
Mototsugu Shintani (University of Tokyo)
Bayesian estimation of New Keynesian Phillips curves and DSGE model selection
Joint with Special Workshops and Macroeconomics Workshop Econometrics Workshop 
Room (Note the change): Graduate School Building, #313 (1st fl.) / Time (Note the change): 14:45-16:15
Chair: Teruo Nakatsuma, Ippei Fujiwara, Daisuke Nagakura
Presentation in English
2017/01/24(Tue)
Benjamin Poignard (CREST)
"Asymptotic Theory of the Sparse Group LASSO"
Room (Note the change): Graduate School Building 8F meeting room
Chair: Daisuke Nagakura
Presentation in English
2017/01/25(Wed)
Simon Clinet (University of Tokyo)
"Statistical Inference for Ergodic Point Processes and Application to Limit Order Book"
Room (Note the change): Graduate School Building 8F meeting room
Chair: Daisuke Nagakura
Presentation in English
2017/01/31(Tue)
Reza Solgi  (Harvard University)
Cancelled
2017/03/15(Wed)
Cheng Hsiao (University of Southern California)
"Panel Models with Interactive Effects"
Joint with Special Workshops and Applied Economics Workshop Econometrics Workshop 
Room (Note the change): East Research Building ,GSEC lab (6th fl.) / Time (Note the change): 16:00-17:30
Chair: Hideo Akabayashi, Teruo Nakatsuma
Presentation in English