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.

Education

Work experiences

Published papers

  1. New error bounds in multivariate normal approximations via exchangeable pairs with applications to Wishart matrices and fourth moment theorems (with X. Fang). To appear in Annals of Applied Probability. arXiv:2004.02101
  2. High-dimensional central limit theorems by Stein’s method (with X. Fang). Annals of Applied Probability, 31 (2021), no. 4, pp 1660-1686. arXiv:2001.10917
  3. Inference for time-varying lead-lag relationships from ultra high frequency data. Japanese Journal of Statistics and Data Science, 4 (2021), no. 1, pp 643–696. SSRN
  4. Notes on the dimension dependence in high-dimensional central limit theorems for hyperrectangles. Japanese Journal of Statistics and Data Science, 4 (2021), no. 1, pp 257–297. arXiv:1911.00160
  5. De-biased graphical Lasso for high-frequency data. Entropy, 22 (2020), no. 4, 456. arXiv:1905.01494
  6. No arbitrage and lead-lag relationships (with T. Hayashi). Statistics and Probability Letters, 154 (2019), 108530. arXiv:1712.09854
  7. Asymptotic properties of the realized skewness and related statistics (with Z. Liu). Annals of the Institute of Statistical Mathematics, 71 (2019), no. 4, pp 703-741.
  8. Covariance estimation and quasi-likelihood analysis (with N. Yoshida). In: J. Chevallier, S. Goutte, D. Guerreiro, S. Saglio and B. Sanhaji, eds., Financial mathematics, volatility and covariance modelling, vol. 2., chap. 12. Routledge, pp 308-335.
  9. Oracle inequalities for sign constrained generalized linear models (with Y. Tanoue). Econometrics and Statistics, 11 (2019), pp 145-157. arXiv:1711.03342
  10. Mixed-normal limit theorems for multiple Skorohod integrals in high-dimensions, with application to realized covariance. Electronic Journal of Statistics, 13 (2019), no.1, pp 1443-1522. arXiv:1806.05077
  11. Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data. Annals of Statistics, 47 (2019), no.3, pp 1663-1687. arXiv:1709.00353
  12. Wavelet-based methods for high-frequency lead-lag analysis (with T. Hayashi). SIAM Journal on Financial Mathematics, 9 (2018), no.4, pp 1208-1248.
  13. On the asymptotic structure of Brownian motions with a small lead-lag effect. Journal of the Japan Statistical Society, 47 (2017), no.2, pp 1-31.
  14. Time endogeneity and an optimal weight function in pre-averaging covariance estimation. Statistical Inference for Stochastic Processes, 20 (2017), no.1, pp 15–56.
  15. Realized volatility and related topics (in Japanese). Journal of Business and Institutions, 15 (2017), pp 15–42.
  16. Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise. Bernoulli, 22 (2016), no.3, pp 1894–1936.
  17. Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps. Econometric theory, 32 (2016), no.3, pp 533–611.
  18. Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling. Stochastic Processes and their Applications, 124 (2014), no.8, pp 2699–2753.
  19. An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps. Scandinavian Journal of Statistics, 41 (2014), no.2, pp 460-481.
  20. 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. Multi-scale analysis of lead-lag relationships in high-frequency financial markets (with T. Hayashi). arXiv:1708.03992
  2. High-dimensional central limit theorems for homogeneous sums. arXiv:1902.03809
  3. Improved central limit theorem and bootstrap approximation in high dimensions (with V. Chernozhukov, D. Chetverikov, K. Kato). arXiv:1912.10529
  4. Large-dimensional central limit theorem with fourth-moment error bounds on convex sets and balls (with X. Fang). arXiv:2009.00339
  5. Nearly optimal central limit theorem and bootstrap approximations in high dimensions (with V. Chernozhukov, D. Chetverikov). arXiv:2012.09513

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")

Presentations at seminars/conferences

Currently only after 2018

Domestic seminars/conferences (in Japanese)

Teaching

2021 2020 2019 2018 2017 2016

Editorial board

Others

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