62 citations
- National Institute of GeneticsJP4 papers
- The Graduate University for Advanced Studies, SOKENDAIJP4 papers
- Duke UniversityUS2 papers
- Sony Computer Science LaboratoriesJP2 papers
- The University of TokyoJP2 papers
- Tokyo Institute of TechnologyJP2 papers
- Aoyama Gakuin UniversityJP1 paper
- Bank for International SettlementsCH1 paper
- BI Norwegian Business SchoolNO1 paper
- Deutsche BundesbankDE1 paper
- Fujitsu (Japan)JP1 paper
- Future University HakodateJP1 paper
13 papers
Indexing and Visualization of Climate Change Narratives Using BERT and Causal Extraction
Hiroki Sakaji, Noriyasu Kaneda
In this study, we propose a methodology to extract, index, and visualize ``climate change narratives'' (stories about the connection between causal and consequential events related…
Numerical methods for backward stochastic differential equations: A survey
Jared Chessari, Reiichiro Kawai, Yuji Shinozaki +1
Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of social and natural sciences, such as the pricing and hedging of financial derivativ…
Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk
Tetsuo Kurosaki, Young Shin Kim
We study portfolio optimization of four major cryptocurrencies. Our time series model is a generalized autoregressive conditional heteroscedasticity (GARCH) model with multivariate…
Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
Kenichiro McAlinn, Knut Are Aastveit, Jouchi Nakajima +1
We develop the methodology and a detailed case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the rece…
Dynamics and sparsity in latent threshold factor models: A study in multivariate EEG signal processing
Jouchi Nakajima, Mike West
We discuss Bayesian analysis of multivariate time series with dynamic factor models that exploit time-adaptive sparsity in model parametrizations via the latent threshold approach.…
Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective
Aki-Hiro Sato, Paolo Tasca, Takashi Isogai
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market ris…