Graduate School of Mathematical Sciences, University of Tokyo
Graduate School of Mathematical Sciences, University of Tokyo.
3-8-1 Komaba, Meguro-ku, Tokyo 153-8914, Japan
E-mail : kyuta (at) ms.u-tokyo.ac.jp
Fields of Interest
Asymptotic statistics, Financial econometrics, High Frequency Data, Mathematical statistics, Statistics for stochastic processes.
Apr. 2006-Mar. 2010: Department of Mathematics, Tokyo Institute of Technology, Japan [Bachelor (Science), 2010]
Apr. 2010-Mar. 2012: Master course of Graduate School of Mathematical Sciences, University of Tokyo, Japan [Master (Mathematical Science), 2012]
Master Thesis: An estimator for the cumulative co-volatility of nonsynchronously observed semimartingales with jumps
Apr. 2012-Jul. 2014: Doctoral course of Graduate School of Mathematical Sciences, University of Tokyo, Japan (withdrawal for getting a job at The Institute of Statistical Mathematics)
Apr. 2015: Ph.D. (Mathematical Science; Doctorate by way of Dissertation), Graduate School of Mathematical Sciences, University of Tokyo, Japan
Dissertation: Covariance estimation from ultra-high-frequency data
Aug. 2014-Jul. 2015: Project Researcher at Risk Analysis Research Center, The Institute of Statistical Mathematics
Aug. 2015-Mar. 2016: Project Assistant Professor at Risk Analysis Research Center, The Institute of Statistical Mathematics
Apr. 2016-Oct. 2017: Assistant Professor at Department of Business Administration, Graduate School of Social Sciences, Tokyo Metropolitan University
Nov. 2017-present: Associate Professor at Graduate School of Mathematical Sciences,
University of Tokyo
Wavelet-based methods for high-frequency lead-lag analysis (with T. Hayashi). To appear in SIAM Journal on Financial Mathematics. arXiv:1612.01232
Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data. To appear in Annals of Statistics. arXiv:1709.00353
Asymptotic properties of the realized skewness and related statistics (with Z. Liu). To appear in Annals of the Institute of Statistical Mathematics. arXiv:1612.08526
Mixed-normal limit theorems for multiple Skorohod integrals in high-dimensions, with application to realized covariance. arXiv:1806.05077
Other unpublished manuscripts
Central limit theorems for pre-averaging covariance estimators under endogenous sampling times. arXiv:1305.1229
(This is a preliminary version of "Time endogeneity and an optimal weight function in pre-averaging covariance estimation")
Higher order realized power variations of semi-martingales with applications (with Z. Liu). SSRN
(This is a preliminary version of "Asymptotic properties of the realized skewness and related statistics")
Seminars and conferences
Currently only after 2018
Oct. 4, 2018 : CEQURA Conference 2018 on Advances in Financial and Insurance Risk Management, Katholische Akademie in Bayern, Munich, Germany.
July 17, 2018 : 10th World Congress of the Bachelier Finance Society (Bachelier 2018), Trinity College Dublin, Dublin, Ireland.
June 29, 2018 : The 5th Institute of Mathematical Statistics Asia Pacific Rim Meeting (IMS-APRM 2018), National University of Singapole, Singapole.
June 19, 2018 : The 2nd International Conference on Econometrics and Statistics (EcoSta 2018), City University of Hong Kong, Hong Kong, China.
Mar. 27, 2018 : Computational Aspects of Simulation and Inference for Stochastic Processes and the YUIMA Project, University of Milan, Milan, Italy.
Mar. 3, 2018 : 2018 Kagawa International Symposium "Recent Developments in Statistics and Econometrics", Kagawa University, Kagawa, Japan.
Feb. 5, 2018 : ASC2018 : Asymptotic Statistics and Computations, The University of Tokyo, Tokyo, Japan.