International University of Health and Welfare · Faculty of Health and Welfare · 教授

Research keywordsfinancial time series・regime shifts・commodity futures・hedge fund returns・statistical modeling・trading rules

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• An Approach to Modeling on Financial Time Series Data with Regime Shifts2020 · Hitotsubashi journal of commerce and management
• Change in trading rules and its impact on the distributional properties of commodity futures2015 · JSM Proceedings, Business and Economic Statistics Section
• 価格変動に制限を課した商品先物市場におけるリスクの考察2014
• 金融危機前後の商品先物取引における証拠金不足に起因するリスクの評価2014 · 統計数理 = Proceedings of the Institute of Statistical Mathematics

• クラスタ点過程モデルを用いた高頻度外国為替取引の流動性の研究2015

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