Saitama University · Graduate School of Humanities and Social Sciences · 准教授

Research keywordsdownside risk・expectile regression・conditional stressed VaR・copula functions・density estimation・orthogonal polynomial expansion・nonparametric finance

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• Downside risk in Australian and Japanese stock markets: evidence based on the expectile regression Kohei Marumo and Steven Li Journal of Risk and Financial Management, 巻：17 , 開始ページ：1 , 終了ページ：17 , 2024年, ［査読有り］ 英語, 研究論文（学術雑誌）2024
• A Non-parametric Method for Calculating Conditional Stressed Value at Risk Kohei Marumo Faculty of Economics Working Paper, Saitama University Japan, 巻：14 , 開始ページ：1 , 終了ページ：17 , 2017年2017
• A Non-parametric Method for Calculating Conditional Stressed Value at Risk Kohei Marumo Statistics and Economics, 巻：14 , 号：5 , 開始ページ：42 , 終了ページ：48 , 2017年2017
• On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods Kohei Marumo and Rodney C Wolff Journal of Risk, 巻：18 , 号：3 , 開始ページ：47 , 終了ページ：76 , 2016年2016

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