KOIKE, Yuta
Title
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Associate Professor |
Field
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Theoretical Statistics and Probability Theory |
Research interests
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Statistics for stochastic processes and high-dimensional data, and its applications to high-frequency financial data |
Current research
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I am studying statistical inferences for continuous-time stochastic processes observed at a high-frequency in a fixed interval. Since such a model typically appears as high-frequency financial data, it is actively studied in financial econometrics. In the meantime, from a mathematical point of view, its study requires stochastic calculus and limit theorems for semimartingales as central tools, so there are also many researchers on statistical inferences for stochastic processes in this area. I am one of such researchers. More concretely, I am studying estimation of the covariance structure of a continuous-time stochastic process from its high-frequency observation data. In such a model, the problems of non-synchronous observations, microstructure noise and jumps have been studied for the past two decades as major issues. However, the central part of these problems has been resolved in recent studies, so the researchers turn to refining the details. Although I am interested in such a problem, I am recently studying how to model and estimate lead-lag relationships between two continuous-time stochastic processes. I am also interested in the relationship between high-frequency data analysis and high-dimensional statistics. |
Selected publications
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Memberships, activities and Awards |
Japan Statistical Society, Mathematical Society of Japan, Japanese Association of Financial Econometrics and Engineering (JAFEE) Visiting Associate Professor, Institute of Statistical Mathematics (2017-), Asia-Pacific Financial Markets, Associate Editor(2019-) The 32nd JSS Ogawa Award |