Institute for Economic Studies, Keio University

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Econometrics Workshop

Past seminars (AY 2016)

2016/4/12(Tue)
Kazuhiko Kakamu (Kobe University)

"Bayesian Estimation of Beta-Type Distribution Parameters Based on Grouped Data"

Abstract Working Paper

Chair: Daisuke Nagakura

Presentation in Japanese

2016/4/19(Tue)
Tetsuya Yamada (Bank of Japan)

Chair: Daisuke Nagakura

Presentation in Japanese

2016/5/10(Tue)
Yuta Koike (Tokyo Metropolitan University)

「Estimation of lead-lag effects in ultra high frequency data」

Abstract

Chair: Daisuke Nagakura

Presentation in Japanese

2016/5/17(Tue)
Yasutaka Shimizu (Waseda University)

"Insurance mathematics and Gerber-Shiu analysis: applications and a statistical point of view"

Abstract

Chair: Takuji Arai

Presentation in Japanese

2016/5/24(Tue)
Naoshi Tsuchida (Bank of Japan)

"The Intraday Liquidity of the Japanese Government Bond Futures"

Abstract

Chair: Daisuke Nagakura

Presentation in Japanese

2016/5/31(Tue)
Keisuke Hirano (Univeristy of Arizona)

"Forecasting with Model Uncertainty: Representations and Risk Reduction"

Working Paper Abstract

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

2016/6/7(Tue)
Syohei Hasegawa (Hosei University)

"An analysis of TV viewing behavior by direct utility model"

Abstract

Chair: Takahiro Hoshino

Presentation in Japanese

2016/6/14(Tue)
Kensuke Ishitani (Tokyo Metropolitan University)

"Computation of Greeks for barrier options using chain rules for Wiener path integrals between two curves"

Abstract

Chair: Takuji Arai

Presentation in Japanese

2016/6/21(Tue)
Tsuyoshi Kunihama (Nagoya University)

"Nonparametric Bayes models for mixed-scale longitudinal surveys"

Working Paper

Chair: Takahiro Hoshino

Presentation in Japanese

2016/6/28(Tue)
Tetsuya Kaji (Massachusetts Institute of Technology)

Rescheduled to July 7th

2016/7/5(Tue)
Yuto Imai (Waseda University)

"Numerical approaches to local risk-minimization for exponential Lévy models"

Abstract

Chair: Takuji Arai

Presentation in Japanese

2016/7/7(Thu)
Tetsuya Kaji (Massachusetts Institute of Technology)

"Testing Outlier Sensitivity via Integrable Empirical Processes"

Abstract

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

2016/7/12(Tue)
Yoshio Nozawa (FRB)

"Option-Based Credit Spreads"

Working Paper

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

2016/7/19(Tue)
Kenichiro McAlinn (Duke University)

"Bayesian predictive synthesis for time series forecasting"

Abstract Working Paper

Chair: Teruo Nakatsuma

Presentation in English

2016/7/19(Tue)
Jan J. J. Groen (Federal Reserve Bank of New York)

"Oil Market Shocks and the U.S. Economy: Redux"

Abstract

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

2016/9/27(Tue)
Taiga Saito (Financial Services Agency)

"Derivatives Pricing with Market Impact and Limit Order Book"

Abstract

Chair: Teruo Nakatsuma

Presentation in Japanese

2016/9/28(Wed)
Tatsushi Oka (National University of Singapore)

"Quantile Treatment Effects in Difference in Differences Models under Dependence Restrictions and with only Two Time Periods"

Abstract

Room (Note the change): Graduate School Building, #323(2nd fl.) / Time (Note the change): 16:30-18:00

Chair: Daisuke Nagakura

Presentation in Japanese

2016/10/3(Mon)
Ryuichi Tamura

Training Session 1 for Python

2016/10/6(Thu)
Yoshihiro Otsuka (Tohoku Gakuin University)

"Bayesian analysis of a factor model for measuring business cycle in Japan"

Abstract

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”

Abstract

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"

Abstract

Presentation in Japanese

2016/10/31(Mon)
Ryuichi Tamura

Training Session 4 for Python

2016/11/1(Tue)
Kazuo Yamaguchi (University of Chicago)

"DECOMPOSITION ANALYSIS OF SEGREGATION"

Working Paper

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

2016/11/8(Tue)
Freddy Delbaen (ETH Zurich)

"Risk Measures on Orlicz spaces: some new characterisation of convex closed sets"

Abstract

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

Abstract

Chair: Daisuke Nagakura

Presentation in English

2016/12/6(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"

Abstract Working Paper

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”

Abstract

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"

Abstract

Chair: Takuji Arai

Presentation in Japanese

2017/1/17(Tue)
Tatsuyoshi Okimoto (Australian National University)

"Analysis of monetary policy in Japan using the smooth-transition models"

Abstract Working Paper

Chair: Daisuke Nagakura

Presentation in Japanese

2017/1/17(Tue)
Mototsugu Shintani (University of Tokyo)

Bayesian estimation of New Keynesian Phillips curves and DSGE model selection

Abstarct

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

2017/1/24(Tue)
Benjamin Poignard (CREST)

"Asymptotic Theory of the Sparse Group LASSO"

Abstract

Room (Note the change): Graduate School Building 8F meeting room

Chair: Daisuke Nagakura

Presentation in English

2017/1/25(Wed)
Simon Clinet (University of Tokyo)

"Statistical Inference for Ergodic Point Processes and Application to Limit Order Book"

Abstract

Room (Note the change): Graduate School Building 8F meeting room

Chair: Daisuke Nagakura

Presentation in English

2017/1/31(Tue)
Reza Solgi  (Harvard University)

Cancelled

2017/3/15(Wed)
Cheng Hsiao (University of Southern California)

"Panel Models with Interactive Effects"

abstract

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

Other Academic Years