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-dimensional statistics, 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
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. (2019), chap. 12. Routledge, pp 308-335.
Multi-scale analysis of lead-lag relationships in high-frequency financial markets (with T. Hayashi). arXiv:1708.03992
High-dimensional central limit theorems by Stein's method in the degenerate case (with X. Fang, S.-H. Liu, Y.-K. Zhao). arXiv:2305.17365
Spectral norm bounds for high-dimensional realized covariance matrices and application to weak factor models. arXiv:2310.06073
High-dimensional bootstrap and asymptotic expansion. arXiv:2404.05006
Other unpublished manuscripts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")
Presentations at seminars/conferences
Currently only after 2018
Dec. 14, 2024 : 17th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2024), King’s College London, London, UK (hybrid).
Dec. 6, 2024 : International Symposium on Theories, Methodologies and Applications for Large Complex Data, Tsukuba International Congress Center, Tsukuba, Japan.
Aug. 12, 2024 : Bernoulli-ims 11th World Congress in Probability and Statistics, Ruhr University Bochum, Bochum, Germany.
Aug. 7, 2024 : 2024 Joint Statistical Meetings (JSM 2024), Oregon Convention Center, Portland, USA.
July 17, 2024 : The 7th International Conference on Econometrics and Statistics (EcoSta 2024), Beijing Normal University, Beijing, China (hybrid).
July 13, 2024 : The 2nd Joint Conference on Statistics and Data Science in China (JCSDS 2024), Yunnan Haigeng Auditorium, Kunming, China.
June 19, 2024 : Asia-Pacific Seminar in Probability and Statistics (APSPS), online.
Feb. 7, 2024 : Stochastic Analysis and Statistics 2024, University of Tokyo, Tokyo, Japan (hybrid).
Dec. 16, 2023 : 16th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2023), HTW Berlin, University of Applied Sciences, Berlin, Germany (hybrid).
July 27, 2023 : 43rd Conference on Stochastic Processes and their Applications (SPA 2023), University of Lisbon, Lisbon, Portugal.
July 8, 2023 : The 12th ICSA International Conference, Chinese University of Hong Kong, Hong Kong, China.
Mar. 31, 2023 : Workshop on Mathematical Statistics in the Information Age, University of Freiburg, Freiburg, Germany.
Dec. 17, 2022 : 15th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2022), King's College London, London, UK (hybrid).
July 20, 2021 : Bernoulli-IMS 10th World Congress in Probability and Statistics, online.
June 25, 2021 : The 4th International Conference on Econometrics and Statistics (EcoSta 2021), online.
Dec. 1, 2020 : The LiU Seminar Series in Statistics and Mathematical Statistics, online.
Sep. 25, 2020 : CEQURA Conference 2020 on Advances in Financial and Insurance Risk Management, online.
Dec. 22, 2019 : The 11th ICSA International Conference, Hangzhou Dragon Hotel, Hangzhou, China.
Dec. 16, 2019 : 12th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2019), University of London, London, UK.
Aug. 21, 2019 : The 62nd ISI World Statistics Congress 2019, Kuala Lumpur Convention Centre, Kuala Lumpur, Malaysia.
July 25, 2019 : The 32nd European Meeting of Statisticians, University of Palermo, Palermo, Italy.
July 17, 2019 : The 3rd KAFE-JAFEE International Conference on Financial Engineering, Busan International Finance Center, Busan, Korea.
June 27, 2019 : The Third YUIMA Conference, Università di Padova, Brixen-Bressanone, Italy.
Mar. 25, 2019 : The Second YUIMA Conference, SAPIENZA University of Rome, Rome, Italy.
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.