Graduate School of Mathematical Sciences, University of Tokyo
Contact Information
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.
Education
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
Work experiences
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
Published papers
Oracle inequalities for sign constrained generalized linear models (with Y. Tanoue). To appear in Econometrics and Statistics. arXiv:1711.03342
Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data. To appear in Annals of Statistics. arXiv:1709.00353
Inference for time-varying lead-lag relationships from ultra high frequency data. SSRN
Multi-scale analysis of lead-lag relationships in high-frequency financial markets (with T. Hayashi). arXiv:1708.03992
No arbitrage and lead-lag relationships (with T. Hayashi). arXiv:1712.09854
Mixed-normal limit theorems for multiple Skorohod integrals in high-dimensions, with application to realized covariance. arXiv:1806.05077
High-dimensional central limit theorems for homogeneous sums. arXiv:1902.03809
Other unpublished manuscripts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
Jan. 30, 2019 : ASC2019 : Asymptotic Statistics and Computations, The University of Tokyo, Tokyo, Japan.
Jan. 29, 2019 : 4th Yuima Users Workshop, The University of Tokyo, Tokyo, Japan.
Dec. 15, 2018 : 11th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2018), University of Pisa, Pisa, Italy.
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.
Others
This web page was created by the cooperation of Simon Clinet.