Last modified:July 1, 2010

• Research and education of statistics, econometrics, and mathematical finance

• Visiting Position (Cabinet Office) (2010 April-)

• Visiting Position (Institute of Statistical Mathematics) (2008 April-)

• Japan Statistical Society Award (2005 September, Japan Statistical Society)

• Nikkei Book Award (To "A Foundation of Mathematical Finance: Applications of Asymptotic Expansions and Malliavin Calculus" in Japanese, 2004 November, Nikkei Journal)

• Recent Published Papers (see Japanese HP for Papers in Japanese)

  Kunitomo and Sato (2011), Mathematics and Computers in Simulation, Vol.81, 1272-1289 ( SIML Estimation of Nikkei225-Futures ,2008-11-version) ; Anderson, Kunitomo and Matsushita (2010), Journal of Econometrics Vol.157, 191-204 ( On Asymptotic Optimality of LIML,2008-1-version) ; Kunitomo and Matsushita (2009), Journal of Multivariate Analysis, Vol.100, 1725-1751 ( Asymptotic Expansion of Semi-Parametric Estimators ,2006Nov.-Version) ; Kunitomo and Kim (2007), The Japanes Economic Review, Vol.58-1, 71-106 (Effects of Stochastic Interest Rates and Volatility on Contingent Claims, 2004 April-Version).

• Recent Unpublished Papers (see Japanese HP for Papers in Japanese)

  Improving LIML(forthcoming, AISM, 2009-6-version) ; On Finite Sample Properties(forthcoming, Journal of Econometrics, 2008-8-version) ; A Robust Estimation of Realized Volatility(2011, June) ; An Aysmptotically Optimal Modification of Panel LIML(2010, Nov.) ; Properties of SIML with Micro-Market Noise(2010, Aug.) ; Robustness of SIML(2010 April) Dynamic-Panel-LIML(2010 January) Dynamic-Panel-Structural-Equation(2010 January) Angle-LIML(2009 April) Nikkei-225 Futures with Micro-Market Noise(2008 November) Improving Anderson-Rubin Test(2008 Sptember) Separating Information Maximum Likelihood(2008 August) On Finite Sample Properties(2008 August) Improving LIML(2008 July) On Likelihood Ratio Tests of Structural Coefficients: Anderson-Rubin (1949) revisited (2007 May) (2005 Sptember) A New Light from Old Wisdoms: Alternative Estimation Methods od Simultaneous Equations and Microeconometric Models (2005 February) Empirical Liklihood of Levy Processes (Revised 2006”N12ŒŽ)

My research writings in the past

My books

My career

Naoto Kunitomo

Faculty of Economics, University of Tokyo
Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033, Japan

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