Papers

Papers

査読あり論文

1. Shigemoto, H,, Morimoto, T. (2022). Forecasting High-Dimensional Covariance Matrices Using High-Dimensional Principal Component Analysis. Axioms, 11(12), 692.

2. Shigemoto, H,. Morimoto, T. (2022). Volatility Spillover among Japanese Sectors in Response to COVID-19. Journal of Risk and Financial Management, 15(10), 480.

3. Shigemoto, H,. Morimoto, T. (2020). An Integrated Framework for Visualizing and Forecasting Realized Covariance Matrices. Japanese Journal of Statistics and Data Science, 4, 577-599.

4. 重本秀人, 森本孝之 (2020). "実現ネットワークによる日本株の依存構造分析". 日本統計学会誌, 49(2), 241-264 .

査読なし論文

1. Shigemoto, H., Morimoto, T. (2022) Dynamic Conditional Correlation Models With Time-varying Parameters Incorporating for Realized Covariance Matrices, SSRN.

2. Shigemoto, H., Morimoto, T. (2022). Investment Strategy Based on Time-Varying Volatility Spillover, SSRN.

3. Hideto Shigemoto, Takayuki Morimoto. "Analyzing Structural Breaks and Volatility Spillover due to Infections Disease in Japan: Using Spillover Networks", SSRN (2020).

学位論文

• Dependency Structure Analysis of the Japanese Stock Market Based on a Graphical Model. 関西学院大学大学院 理工学研究科 数理科学専攻 修士論文, 2020年3月.