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YAMASHITA Mamiko

Field of Research

Financial Econometrics, Finance

Research Topics

Risk management, Forecasting

Overview of Research 

My research field is financial econometrics. I analyze the time series data of prices/returns of various assets traded in financial markets to forecast future prices/returns or measure the risk in an investment.

I mainly study the returns on the S&P500 index. For example, the closing price of the S&P500 on 10/12/2022 and 10/13/2022 can be expressed as a 2×1 vector, which is thought to be a realization of the Data Generating Process (DGP). If the state of the world were different, the realized vector would have been different; however, this “what if” situation can never be observed without traveling to a parallel world. In other words, the time-series data are the only realization of the DGP, which is the difference between independent and identically distributed (i.i.d.) data, in which there are n (i.e., the sample size) realizations of the DGP. Thus, assumptions are necessary to obtain useful information from the time-series data. For example, forecasts of the returns can be obtained by assuming that the stationarity holds for past and future returns. Although stationarity is testable based on previous series data, we will never know if it will still hold for the future.

I am particularly interested in cases in which these assumptions or the time-series models used in analyses are incorrect. If that is the case, to what extent are the results affected? Is there any method to incorporate possible misspecifications of the model into the analyses?

As an alternative approach, I consider the “robustness” in which an analyst believes one of the models they are considering is right. This is more flexible than the standard approach, which is based on the belief that one specific model is right. To apply this approach, I study option-implied forecasts. European options give the right to buy or sell an underlying asset at a fixed price (strike) at a fixed maturity date. Using the cross-section of the option prices with various strikes, it is possible to derive the investors’ outlook. Option-implied forecasts are therefore said to be forward-looking, and a stationarity assumption on the return process is not necessary. One challenge with this approach is that option prices only indicate risk-neutral distributions, artificial distributions different from the actual distribution. A transformation from risk-neutral to actual distributions is thus needed, and I try to introduce robustness theory into the transformation from risk-neutral to actual distributions.

These figures demonstrate two commonly used risk measures, value-at-risk (VaR) and expected shortfall (ES), which are computed with option prices. The one based on the risk-neutral distribution is indicated in blue, and the one based on the robust transformation is in red. With VaR and ES, the robustness results in more conservative forecasts; that is, the risk is estimated to be larger.

YAMASHITA, Mamiko
Assistant Professor
Degree: Ph.D. in Economics(Toulouse 1 Capitole University)
yamashitam@osipp.osaka-u.ac.jp

OU Researcher Database

 

OSIPP Faculty

AKAI, Nobuo

Professor
Public Economics
Hasao-sensei-OSIPP-Osaka-University

HASUO, Ikuyo 

Professor
Global Governance, International Public Administration

HAWKINS, Virgil

Professor
International Politics, Media Studies

HOSHINO, Toshiya

Professor
International Politics, United Nations Studies

IKEFUJI, Masako
Professor

Macroeconomics, Environmental Economics

ISHISE, Hirokazu

Associate Professor
Macroeconomics, International Economics

KATAGIRI, Azusa

Associate Professor
International Relations, Political Methodology

KAMADA, Takuma

Associate Professor
Criminology, Urban Sociology, Social Inequality
Kawamura-professor-OSIPP-Osaka-University

KAWAMURA, Michiya

Associate Professor
Multiculturalism, Liberalism, Migration

KIDO, Eiichi

Professor
Contemporary German Politics, Peace Studies

KOHARA, Miki

Professor
Labor Economics, Applied Econometrics

MAEKAWA, Wakako

Associate Professor
International Relations, Conflict Resolution, Peace Studies

MATSUBAYASHI, Tetsuya

Professor
Political Science, Political Economics, Social Epidemiology

MINAMI, Kazushi

Associate Professor
International Relations of East Asia, U.S. Foreign Relations, Cold War

MUROOKA, Takeshi

Associate Professor
Psychology and Economics, Industrial Organization, Microeconomic Theory

NAKAJIMA, Hiroo

Professor
History of American Foreign Relations, International History

NISUGI, Kento

Associate Professor
International Law

NIWA, Hidekazu

Assistant Professor
Macroeconomics

OKUBO, Kunihiko

Professor
Civil Law

OTSUKI, Tsunehiro

Professor
Development Economics

SAIRENJI, Takayuki

Associate Professor
EU Law

SUNAGA, Miho

Assistant Professor

Macro Economics

TABUCHI, Yumi

Assistant Professor
History of U.S. Foreign Relations

TAKATA, Hinako

Associate Professor
International Law

WANG,Dongqin

Assistant  Professor
Development Economics, Health Economics

TAKII, Katsuya

Professor
Economics of Human Resource Allocation, Economics of Human Capital and Organization, Search and Matching Theory

WANI, Kentaro

Professor
International Law

YAMASHITA, Mamiko

Assistant  Professor
Financial Econometrics, Finance

YAMASHITA, Takuro

Professor
Microeconomic theory

ABE, Shuya

Assistant Professor
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