Yuta Koike

Associate Professor

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.


Work experiences

Published papers

  1. Oracle inequalities for sign constrained generalized linear models (with Y. Tanoue). To appear in Econometrics and Statistics. arXiv:1711.03342
  2. Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data. To appear in Annals of Statistics. arXiv:1709.00353
  3. Asymptotic properties of the realized skewness and related statistics (with Z. Liu). To appear in Annals of the Institute of Statistical Mathematics.
  4. Wavelet-based methods for high-frequency lead-lag analysis (with T. Hayashi). SIAM Journal on Financial Mathematics, 9 (2018), no.4, pp 1208-1248.
  5. On the asymptotic structure of Brownian motions with a small lead-lag effect. Journal of the Japan Statistical Society, 47 (2017), no.2, 1-31.
  6. Time endogeneity and an optimal weight function in pre-averaging covariance estimation. Statistical Inference for Stochastic Processes, 20 (2017), no.1, pp 15–56.
  7. Realized volatility and related topics (in Japanese). Journal of Business and Institutions, 15 (2017), pp 15–42.
  8. Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise. Bernoulli, 22 (2016), no.3, pp 1894–1936.
  9. Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps. Econometric theory, 32 (2016), no.3, pp 533–611.
  10. Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling. Stochastic Processes and their Applications, 124 (2014), no.8, pp 2699–2753.
  11. An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps. Scandinavian Journal of Statistics, 41 (2014), no.2, pp 460-481.
  12. The YUIMA project: A computational framework for simulation and inference of stochastic differential equations (with A. Brouste, M. Fukasawa, H. Hino, S. Iacus, H. ​Masuda, R. Nomura, T. Ogihara, Y. Shimizu, M. Uchida, N. Yoshida). Journal of Statistical Software, 57 (2014), no.4, pp 1-51.

Working papers

  1. Inference for time-varying lead-lag relationships from ultra high frequency data. SSRN
  2. Multi-scale analysis of lead-lag relationships in high-frequency financial markets (with T. Hayashi). arXiv:1708.03992
  3. No arbitrage and lead-lag relationships (with T. Hayashi). arXiv:1712.09854
  4. Mixed-normal limit theorems for multiple Skorohod integrals in high-dimensions, with application to realized covariance. arXiv:1806.05077
  5. High-dimensional central limit theorems for homogeneous sums. arXiv:1902.03809

Other unpublished manuscripts

  1. 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")
  2. 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


This web page was created by the cooperation of Simon Clinet.