|KUNITOMO, Naoto||Personal Homepage|
|Faculty of Economics,
The University of Tokyo,
7-3-1 Hongo, Bunkyo-ku, Tokyo, 113-0033
|Statistics, Econometrics, Financial Econometrics|
|My research interests have been mainly in the area of statistical methods of econometric analyses. I have done some works on the statistical time series analyses and have developed new nonlinear time series models called the simultaneous switching autoregressive (SSAR) models. I have written several papers on the theoretical sides of the non-linear modeling of econometric time series analyses and the applications which are related to the statistical problems in the macroeconomics and finance.
Also since the high frequency data have been available in the process of internationalization of the Japanese economy I have been working on some problems in the framework of continuous time stochastic processes. In particular I have written several papers on the contingent claim valuation problems involving options and interest rates derivatives mainly from the viewpoint of the Malliavin-Watanabe Calculus newly developed in stochastic analysis.