IKEDA, Shinsuke

Position Assistant Professor
Degree Ph.D. in Economics, Boston University
Specialty Econometrics, Finance
Current Research Interests Financial Econometrics, Econometric Theory, Asset Pricing, Market Microstructure
  • Professional Career

2000 BA, International Christian University

2003 MA, University of Tokyo

2010 Ph.D., Boston University

Assistant Professor, GRIPS

 

  • Selected publications
WORKING PAPERS
"Two Scale Realized Kernels: A Univariate Case", Revision Requested.

"A Bias Corrected Estimator of the Integrated Covariance of Security Prices with Serially Dependent Noise", Revision Requested.

"A Kernel Estimator of the Spot Volatility of Security Returns with Stationary Noise, Diurnal Seasonality and Leverage Effect", April 2010.

WORK IN PROGRESS
"Model Instability, Model Averaging and Forecasting of Aggregate Stock Returns" (joint with Professor Zhongjun Qu)

"Realized Copula"

"High Frequency Estimation of Security Market General Equilibrium Models"

"Estimating the Memory of Quadratic Variations of Returns with Trend, Noise and Jumps"
 
  • Other notable activities

FELLOWSHIPS AND AWARDS
Boston University Department of Economics Summer Research Grant, Summer 2008, 2009
Distinction in Ph.D. Macro Qualifier Exam, Boston University, Spring 2006
The Nakajima Foundation Scholarship Program, Tokyo Japan, 2005-2010
Boston University Graduate School of Management Finance Fellowship, Fall 05, Spring 06.
Akira Takayama Economics Thesis Award, International Christian University, 2001

 

  • E-mail:s-ikeda

*Please add”@grips.ac.jp” to send a message.

Shinsuke Ikeda's personal webpage

7-22-1 Roppongi, Minato-ku, Tokyo 106-8677

TEL : +81-(0)3-6439-6000     FAX : +81-(0)3-6439-6010

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