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

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

- On the asymptotic structure of Brownian motions with a small lead-lag effect. arXiv:1601.03614
*Journal of Japan Statistical Society*, 47 (2017), no.2, 1-31. - Time endogeneity and an optimal weight function in pre-averaging covariance estimation.
*Statistical Inference for Stochastic Processes*, 20 (2017), no.1, pp 15–56. - Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise.
*Bernoulli*, 22 (2016), no.3, pp 1894–1936. - Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps.
*Econometric theory*, 32 (2016), no.3, pp 533–611. - Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling.
*Stochastic Processes and their Applications*, 124 (2014), no.8, pp 2699–2753. - An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps.
*Scandinavian Journal of Statistics*, 41 (2014), no.2, pp 460-481. - 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.

- Wavelet-based methods for high-frequency lead-lag analysis (with T. Hayashi). arXiv:1612.01232
- Asymptotic properties of the realized skewness and related statistics (with Z. Liu). arXiv:1612.08526
- 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
- Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data. arXiv:1709.00353
- Oracle inequalities for sign constrained generalized linear models (with Y. Tanoue). arXiv:1711.03342
- No arbitrage and lead-lag relationships (with T. Hayashi). arXiv:1712.09854

- 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")