顔写真

PHOTO

Kosuke Oya
大屋 幸輔
Kosuke Oya
大屋 幸輔
Institutional repository
Graduate School of Economics　Business and Management, Professor

keyword econometrics，statistics

Institutional repository

Research History 5

  1. 2005/01 - Present
    Osaka University　Graduate School of Economics　Professor

  2. 1998/04 - 2004/12
    Osaka University　Graduate School of Economics　Associate Professor

  3. 1994/03 - 1998/03
    Osaka University　School of Economics　Associate Professor

  4. 1993/04 - 1994/02
    Osaka University　School of Economics

  5. 1991/04 - 1993/03
    Kyoto University　Institute of Economic Research

Education 2

  1. Kyushu University

    1986/04 - 1991/03

  2. Kyushu University　School of Economics　Department of Economic Engineering

    1982/04 - 1986/03

Professional Memberships 10

  1. 日本計算機統計学会

  2. 行動経済学会

  3. 日本経営財務研究学会

  4. The International Statistical Institute

  5. The Econometric Society

  6. Nippon Finance Association

  7. The Japanese Association of Financial Econometrics and Engineering

  8. The Operations Research Soceity of Japan

  9. Japan Statistical Society

  10. Japanese Economic Association

Research Areas 1

  1. Humanities & social sciences / Economic statistics /

Papers 29

  1. インプライド・モーメントがもたらす情報：VIXは何を伝えているのか

    大屋 幸輔

    現代経済学の潮流 2019　2019/08　Research paper (scientific journal)

    Publisher: 東洋経済新報社

  2. Financial instability and the short-term dynamics of volatility expectations

    Nabil Maghrebi, Mark J. Holmes, Kosuke Oya

    Applied Financial Economics　Vol. 24　No. 6　p. 377-395　2014/03　Research paper (scientific journal)

  3. Measurement of Causality Change between Multiple Time Series

    Kinoshita Ryo, Oya Kosuke

    Journal of the Japan Statistical Society, Japanese Issue　Vol. 44　No. 1　p. 19-40　2014　Research paper (scientific journal)

    Publisher: Japan Statistical Society

  4. Model-free implied volatility: From surface to index

    M. Fukasawa, I. Ishida, N. Maghrebi, K. Oya, M. Ubukata, K. Yamazaki

    International Journal of Theoretical and Applied Finance　Vol. 14　No. 4　p. 433-463　2011/06　Research paper (scientific journal)

  5. Estimation and testing for dependence in market microstructure noise

    Masato Ubukata, Kosuke Oya

    Journal of Financial Econometrics　Vol. 7　No. 2　p. 106-151　2009　Research paper (scientific journal)

  6. Dickey-Fuller, Lagrange multiplier and combined tests for a unit root in autoregressive time series

    Kosuke Oya, Hiro Y. Toda

    Journal of Time Series Analysis　Vol. 19　No. 3　p. 325-347　1998/05　Research paper (scientific journal)

  7. Wald, LM and LR test statistics of linear hypothese in a strutural equation model

    Kosuke Oya

    Econometric Reviews　Vol. 16　No. 2　p. 157-178　1997　Research paper (scientific journal)

  8. Limited information estimation and testing subject to linear constraints

    Kimio Morimune, Kosuke Oya

    Journal of Statistical Planning and Inference　Vol. 50　No. 2　p. 223-240　1996/03/01　Research paper (scientific journal)

  9. オプションの残存期間とボラティリティ・インデックスの算出

    大屋 幸輔

    先物・オプションレポート　Vol. 34　No. 5　p. 1-5　2022/05　Research paper (bulletin of university, research institution)

  10. 日経平均先物市場の市場の質の計測

    大屋 幸輔

    先物・オプションレポート　Vol. 34　No. 4　p. 1-5　2022/04　Research paper (bulletin of university, research institution)

  11. 市場価格急変予兆の検出について

    大屋幸輔

    先物・オプションレポート　Vol. 32　No. 10　p. 1-6　2020/10/23　Research paper (bulletin of university, research institution)

  12. 周波数分解された分散リスク・プレミアムの予測力

    大屋幸輔

    先物・オプションレポート　Vol. 31　No. 1　p. 1-5　2019/01

    Publisher: 大阪取引所

  13. Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX

    Isao Ishida, Michael McAleer, Kosuke Oya

    Managerial Finance　Vol. 37　No. 11　p. 1048-1067　2011/09/27　Research paper (scientific journal)

  14. Bias-corrected realized variance under dependent microstructure noise

    Kosuke Oya

    Mathematics and Computers in Simulation　Vol. 81　No. 7　p. 1290-1298　2011/03　Research paper (international conference proceedings)

  15. Statistical Properties of Covariance Estimator of Microstructure Noise: Dependence, Rare Jumps and Endogeneity

    Masato Ubukata, Kosuke Oya

    Recent Advances in Financial Engineering　2009/06　Research paper (scientific journal)

    Publisher:

  16. Analysis of Bull and Bear Market - Bayesian Approach -

    T. OGA, K. OYA

    JAFEE Journal　p. 112-150　2009/03　Research paper (scientific journal)

    Publisher:

  17. Estimation of Autocorrelation of Market Microstructure Noise

    Oya Kosuke

    Osaka Economic Papers　Vol. 57　No. 4　p. 229-241　2008/03

    Publisher: The Economic Society of Osaka University

  18. A Test for Dependence and Covariance Estimator of Market Microstructure Noise

    Masato Ubukata, Kosuke Oya

    Discussion Papers In Economics And Business, Osaka University　2007/02　Research paper (scientific journal)

  19. Forecasting Turning Point of Business Cycle

    Oya Kosuke

    No. 333　p. 12-17　2006/03

    Publisher:

  20. Properties of estimators of count data model with endogenous switching

    K Oya

    MATHEMATICS AND COMPUTERS IN SIMULATION　Vol. 68　No. 5-6　p. 539-547　2005/05　Research paper (scientific journal)

  21. Measurement of volatility of diffusion processes with noisy high frequency data

    K. Oya

    MODSIM05 - International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, Proceedings　p. 940-945　2005　Research paper (international conference proceedings)

  22. Test of random effects with incomplete panel data

    K Oya

    MATHEMATICS AND COMPUTERS IN SIMULATION　Vol. 64　No. 3-4　p. 409-419　2004/02　Research paper (scientific journal)

  23. Poisson Regression Model with Endogenous Ordered Categorical Variable

    Kosuke OYA

    Osaka Economic Papers　Vol. 53　No. 3　p. 152-163　2003/12　Research paper (scientific journal)

    Publisher:

  24. On the model selection criteria for demand system: Theil's minimum entropy measure and its modification

    Mototsugu Fukushige, Kosuke Oya

    Mathematics and Computers in Simulation　Vol. 59　No. 1-3　p. 171-177　2002/05/10　Research paper (international conference proceedings)

  25. Size corrections for the Wald statistic in structural equation models

    Kosuke Oya

    Mathematics and Computers in Simulation　Vol. 39　No. 3-4　p. 317-322　1995/11/24　Research paper (scientific journal)

  26. 経済現象における構造変化の統計的検証

    大屋幸輔

    学位論文（九州大学）　1994/03　Research paper (scientific journal)

  27. 'On the approximated distribution of restricted structural estimators and the third order efficiency'

    OYA Kosuke

    1993/12　Research paper (bulletin of university, research institution)

    Publisher:

  28. 可変係数回帰モデルの理論的側面と応用上の問題点

    大屋幸輔

    フィナンシャル・レビュー　No. 23　p. 12-28　1992/06

    Publisher: 大蔵省財政金融研究所

  29. The distribution of the full information maximum likelihood estimator

    Kosuke Oya, Kimio Morimune

    Mathematics and Computers in Simulation　Vol. 33　No. 5-6　p. 569-574　1992/04　Research paper (scientific journal)

Publications 6

  1. Characterizing interdependencies of multiple time series : theory and applications

    Yuzo Hosoya, Kosuke Oya, Taro Takimoto, Ryo Kinoshita

    Springer　2017/11　Scholarly book

    ISBN: 9789811064357

  2. コア・テキスト統計学 第3版

    大屋, 幸輔

    新世社　2020/03/25

    ISBN: 9784883843077

  3. 基本演習統計学

    大屋, 幸輔, 各務, 和彦

    新世社,サイエンス社 (発売)　2012

    ISBN: 9784883841820

  4. コアテキスト 統計学 第2版

    大屋幸輔

    新世社　2011/12/25　Textbook, survey, introduction

    ISBN: 9784883841783

  5. 世界同時不況と景気循環分析

    浅子 和美

    東京大学出版会　2011/03　Scholarly book

    ISBN: 9784130402514

  6. コア・テキスト 統計学

    新世社　2003/02/25

Presentations 5

  1. Bayesian analysis of price discovery on time-varying partial adjustment model

    Kenji Hatakenaka, Kosuke Oya

    The 4th International Conference on Econometrics and Statistics (EcoSta2021)　2021/06/04

  2. 高頻度観測データによる証券市場の価格調整速度の計測

    畠中賢治, 大屋幸輔

    統計関連学会連合大会　2019/09/11

  3. Estimation of smoothly time varying coefficient partial adjustment model

    Kosuke Oya

    The 3rd International Conference on Econometrics and Statistics　2019/06/25

  4. Frequency-wise causality analysis in infinite order vector autoregressive processes

    Ryo Kinoshita, Kosuke Oya, Mototsugu Shintani

    The 15 International Symposium on Econometric Theory and Applications　2019/06/02

  5. インプライド・モーメントがもたらす情報：VIXは何を伝えているのか

    大屋幸輔

    日本経済学会2018年度秋季大会　2018/09/08

Institutional Repository 5

Content Published in the University of Osaka Institutional Repository (OUKA)

  1. Bayesian inference for time varying partial adjustment model with application to intraday price discovery

    Hatakenaka Kenji, Oya Kosuke

    Discussion Papers In Economics And Business　Vol. 21-19　p. 1-22　2021/11

  2. Measurement of causality change between multiple time series

    Kinoshita Ryo, Oya Kosuke

    Discussion Papers In Economics And Business　Vol. 14-09　p. 1-29　2014/02

  3. Bias-Corrected Realized Variance under Dependent Microstructure Noise

    Oya Kosuke

    Discussion Papers In Economics And Business　Vol. 09-39　2009/12

  4. Estimation of Autocorrelation of Market Microstructure Noise

    Oya Kosuke

    Osaka Economic Papers　Vol. 57　No. 4　p. 229-241　2008/03

  5. A Test for Dependence and Covariance Estimator of Market Microstructure Noise

    Ubukata Masato, Oya Kosuke

    Discussion Papers In Economics And Business　Vol. 07-03-Rev.2　2008/03