English

International Workshop on Bayesian Econometrics and Statistics
4-5 February 2010, University of Tokyo

(山上会館，東京大学 本郷キャンパス)
周辺地図, 本郷キャンパスへのアクセス，本郷キャンパスへのアクセス（都外から）
科学研究費による研究集会：
科研費基盤研究(A)「アクチュアリーとファイナンスにおけるベイジアン・モデリング」（研究代表者:中妻照雄(慶応大学)）
科研費基盤研究(A)「金融リスクと経済行動のベイズ計量経済分析」（研究代表者:大森裕浩(東京大学)）
日本統計学会，計量経済・計量ファイナンス分科会と共催

※発表はすべて英語で行われます．

Program:
2月4日（木）

Session Chair 和合肇 (京都産業大学)
13:00 - 13:40 Wolfgang Polasek (Institute for Advanced Studies, Austria)
"Marketing and regional sales: Spatial sales response functions"
13:40 - 14:10 照井伸彦 (東北大学)
"Dynamic joint space map by using scanner panel data" (with Shohei Hasegawa )
14:10- 14:40 中妻照雄 (慶応大学)
"A Markov chain Monte Carlo implementation of the Bayesian method of moments for linear regression models"
14:40 - 14:50 Coffee Break
Session Chair 古澄英男 (神戸大学)
14:50 - 15:30 Cathy Chen (逢甲大学, 台湾)
"Multiple-regime threshold heteroskedastic models: A Bayesian perspective"
15:30 - 16:00 各務和彦 (千葉大学)
"Spatio-temporal dynamics in economic growth" (Hideo Kozumi)
16:00 - 16:30 宮脇幸治 (国立環境研究所)
"A Bayesian estimation of the residential gas demand on the nonconvex budget set'' (with Yasuhiro Omori and Akira Hibiki)
16:30 - 17:00 小林弦矢 (神戸大学・院)
"Bayesian analysis of quantile regression for dynamic censored panel data" (with Hideo Kozumi)

夕食

2月5日 (金)

Session Chair 照井伸彦 (東北大学)
9:30 - 10:00 大森裕浩 (東京大学)
"Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution" (with Jouchi Nakajima)
10:00 - 10:30 西埜晴久 (千葉大学)
"Bayesian estimation of ARFIMA model" (with Kazuhiko Kakamu)
10:30 - 10:40 Coffee Break
10:40 - 11:10 渡部敏明 (一橋大学)
“Bayesian analysis of structural changes in ARFIMA Models with an application to realized volatility”
11:10 - 11:40 浅井学 (創価大学)
"The structure of conditional, stochastic and realized covariance matrices　(with Mike So)"
11:40 - 13:00 昼食
Session Chair 渡部敏明 (一橋大学)
13:00 - 13:40 Mike So (香港科技大学, 香港)
"Bayesian analysis of multivariate volatility models"
13:40 - 14:10 安道知寛（慶応大学）
"Predictive Bayesian model selection"
14:10 - 14:40 福元健太郎 (学習院大学)
"Estimation of incumbency advantage and campaign spending effect without the simultaneity bias by way of a new MCMC method"(with Kohei Ichikawa)
14:40 - 15:10 Leon Gonzalez Roberto (政策研究大学院大学)
"Bayesian Inference in the time-varying cointegration model "(with G. Koop and R. Strachan)
15:10 - 15:30 Coffee Break
Short Sessions Session Chair: 中妻照雄 (慶応大学)
15:30- 15:45 菅原慎矢 (東京大学・院)
"Refining the incoherency problem via compatibility with applications to entry game and discrete peer effect models"
15:45 - 16:00 石原庸博 (東京大学・院)
"Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage"
16:00 - 16:15 Kenichiro McAlinn (慶応大学・院)
"Evaluating mutual funds based on their posterior alphas and other performance measures"
16:15 - 16:30 大塚芳宏　(一橋大学・院)
“Space-time model versus VAR model: Forecasting electric demand in Japan” (with Kazuhiko Kakamu)
16:30 - 16:45 大西裕子 (東京大学・院)
"Bayesian estimation of entry games with multiple player and multiple equilibria"
16:45 - 17:00 国浜剛 (東京大学・院)
"Bayesian analysis of max-stable processes with application to high frequency stock returns"