Yoshinori KAWASAKI Associate Professor, Spatial and Time Series Modeling Group, Department of Statistical Modeling

Phone: +81-50-5533-8535 E-mail: kawasaki Personal Homepage: http://www.ism.ac.jp/~kawasaki/ Date of Birth: February, 1965 Education: Bachelor of Arts, Department of Economics, The University of Tokyo, 1988 Master of Arts, Graduate School of Economics, The University of Tokyo, 1991 Degree: Ph.D. in Economics, The University of Tokyo, 2004, Title of Ph.D. Thesis: Smoothness Priors Analysis of Economic and Financial Time Series. Employment: April 1992, employed as an Assistant Professor at Department of Prediction and Control, ISM. April 2005, due to reorganization, appointed as an Assistant Professor at Department of Statistical Modeling, ISM. December 2005, promoted to an Associate Professor at Department of Statistical Modeling, up to date. Research Fields: Time Series Analysis, Econometrics Research Themes: Bayesian modeling of economic time series, Statistical modeling of financial time series

Selected Papers
(1) Kawasaki, Y. (1991): Bayesian vector autoregression and its forecasting performance (in Japanese), Monetary and Economic Studies, 10, 79-101.
(2) Kawasaki, Y. (1992): On Johansen's LR test for cointegration (in Japanese), Monetary and Economic Studies, 11, 99-120.
(3) Kawasaki, Y. (1993): Econometric models and spurious regressions (in Japanese with English abstract), Proceedings of the Institute of Statistical Mathematics, 41, 33-46.
(4) Kawasaki, Y. and Sato, S. (1997): On the 'optimality' of seasonal adjustment procedure (in Japanese with English abstract), Proceedings of the Institute of Statistical Mathematics, 45, 245-263.
(5) Kawasaki, Y., Sato, S. and Tachiki, S. (2000): Vector-valued multiple regression model with time varying coefficients and its application to predict excess stock returns, Proceedings of IEEE/IAFE/INFORMS Conference on Computational Intelligence for Financial Engineering, 162-165.
(6) Kuwana, Y., Susai, M. and Kawasaki, Y. (2000): How the scheduled macroeconomic announcements influence foreign exchange markets (in Japanese with English abstract), Proceedings of the Institute of Statistical Mathematics, 48, 213-227.
(7) Kawasaki, Y. (2001): Principal component and factor analysis for multiple time series (in Japanese with English abstract), Proceedings of the Institute of Statistical Mathematics, 49 , 109-131.
(8) Kawasaki, Y. and Ando, T. (2002): Nonlinear regression models with regularization and their application to yield curve estimation (in Japanese with English abstract), Proceedings of the Institute of Statistical Mathematics, 50, 149-164.
(9) Kawasaki, Y. and Franses, P. H. (2003): Detecting seasonal unit roots in a structural time series model, Journal of Applied Statistics, 30, 373-387.
(10) Kawasaki, Y., Tachiki, S., Udaka, H. and Hirano, T. (2003): A characterization of long-short trading strategies based on cointegration, Proceedings of IEEE International Conference on Computational Intelligence for Financial Engineering, 411-416.
(11) Kawasaki, Y. and Franses, P. H. (2004): Do seasonal unit roots matter for forecasting monthly industrial production? Journal of Forecasting, 23, 77-88.
(12) Kawasaki, Y., Udaka, H. and Hirano, T. (2004): Do size and sector classification matter for long-short trading strategies? Computational Finance and Its Applications, 3-11.
(13) Kawasaki, Y. and Ando, T. (2004): Functional data analysis of the dynamics of yield curves, CompStat 2004 - Proceedings in Computational Statistics: 16th Symposium held in Prague, 1309-1316.
(14) Konishi, Y., Nihsiyama, Y., Ando, T. and Kawasaki, Y. (2004): Nonparametric statistical inference in production functions (in Japanese with English abstract), Journal of Japanese Society of Applied Statistics, 33, 157-179.
(15) Kawasaki, Y. and Ando, T. (2005): Estimating term structure using nonlinear splines: a penalized likelihood approach, MODSIM05 International Congress on Modeling and Simulation, Advances in Applications for Management and Decision Making, 864-870.
(16) Morimoto, T. and Kawasaki, Y. (2006): An empirical comparioson of GARCH models based on intraday Value at Risk (in Japanese with English abstract), Proceedings of the Institute of Statistical Mathematics, 54 , 5-21.
(17) Kawasaki, Y., Koga, T. and Kanefuji, K. (2007): Common intervention analysis in multivariate nonstationary time series, in Oxley, L. and Kulasiri, D. (eds) , MODSIM07 International Congress on Modeling and Simulation, 2989-2995.
(18) Kanefuji, K., Kawasaki, Y., Sato, S., Sumiya, T. and Ochi, Y. (2008): Statistical courseware with synchronized web-based statistical analysis system, Proceedings of 7th Hawaii International Conference on Statistics, Mathematics and Related Fields, Vol. 7, 84-87.
(19) Nishiyama, Y., Hitomi, K., Kawasaki, Y. and J. Kiho (2009): Consistent nonparametric tests for Granger causality, Proceedings of Joint Statistical Meeting 2008, American Statistical Association, 3131-3138.
(20) Kawasaki, Y., Kawai, K., Okubo, T. and Kanefuji, K. (2009): Long term trend analysis of water quality in Lake Biwa, Proceedings of 18th World IMACS Congress and MODSIM09 International Congress on Modeling and Simulation, 3172-3178.

Membership of Academic Societies
Japan Statistical Society, Japanese Economic Association, Japanese Society of Computational Statistics, Society of Applied Economic Time Series Analysis, Econometric Society, American Statistical Association, Society for Risk Analysis, International Association for Statistical Computing, International Society for Bayesian Analysis

Teaching at The Graduate University for Advanced Studies
Concurrently appointed as an associate professor of Statistical Modeling course in GUAS.

Professional Services
(1) Advisory committee at 'Investigation and Analysis of Industrial Structure in Kanagawa prefecture' conducted by Kanagawa local government. (Appointed from April 1994 to March 1995 by the Kanagawa local governor.)
(2) Board member of 'Society of Applied Economic Time Series Analysis' appointed from April 2001 to March 2011.
(3) Scientific Program Committee of 'The 2006 Japanese Joint Statistical Meeting', appointed from October 2005 to September 2006.
(4) Associate editor of 'Journal of Japan Statistical Society (English volumes)', Japan Statistical Society, appointed from September 2005 to September 2007.
(5) Director in general affairs, Japan Statistical Society, appointed from September 2006 to September 2008.
(6) Trustee, Japan Statistical Society, appointed from September 2006 to September 2010.

HOME