"Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems," 2004, In Stochastic Processes and Applications to Mathematical Finance, Edited by S. Watanabe, World Scientific Press, 195-232.


"On Validity of the Asymptotic Expansion Approach in Contingent Claim Analysis" 2003, Annals of Applied Probability, Vol.13, No.3, 914-952, with A.Takahashi.


"Estimation of Asymmetrical Volatility for Asset Prices: The Simultaneous Switching ARIMA Approach" 2002, Journal of Japan Statistical Association,119-140 (with S.Sato).


"The Asymptotic Expansion Approach to the Valuation of Interest Rates Contingent Claims" 2001, Mathmatical Finance, Vol.11, No1., 117-151, with A.Takahashi.


"On Simultaneous Switching Autoregressive Model," 2000, In "Nonlinear Statistical Inference" edited by C.Hsiao, Cambridge University Press, in Press.
Final Version (August 1999)(pdf)


"Stationary and Non-stationary Simultaneous Switching Autoregressive Models with an Application to Financial Time Series," 1999, Japanese Economic Review, Vol.50, No.2, 161-190, with S.Sato.


"Pricing Options under Stochastic Interest Rates: A New Approach," 1999, Asia-Pacific Financial Markets, Vol6, 49-70, with Y.Kim.


"Some Properties of the Maximum Likelihood Estimator in Simultaneous Switching Autoregressive Models" 1996, Journal of Time Series Analysis, Vol.17, 287-307, with S.Sato.


"Asymmetry in Economic Time Series and Simultaneous Switching Autoregressive Models" 1996, Structural Change and Economic Dynamics, Vol.7, 1-34, Elsevier.


"Tests of Unit Roots and Cointegration hypotheses in Econometric Models" 1996,
Japanese Economic Review, Vol.47, No.1, 79-109.


"Asymptotic Robustness of Tests of Overidentifications and Predeterminedness" 1994,
Journal of Econometrics, Vol.2, 383-414, with T.W.Anderson.


"Pricing Options with Curved Boundaries," 1992, Mathematical Finance (Basil Blackwell), Vol.2, 275-298, with M.Ikeda.
Correction (February 2000)(pdf)


"Tests of Overidentification and Predeterminedness in Simultaneous Equation Models," 1992, Journal of Econometrics, 49-79, with T.W.Anderson.


"Asymptotic Distributions of Regression and Autoregression Coefficients with Martingale Differences," 1992, Journal of Multivariate Analysis, Vol.40, 221-243, with T.W.Anderson.


"Improving the Parkinson Method of Estimating Security Price Volatilities" 1992,
Journal of Business, Vol.65, 295-302.


"Conditions on Consistency for Testing Rational Expectation Hypotheses by Vector Autoregressive Models and Cointegration," 1990, The Economic Studies Quarterly, 41, 15-33, with T.Yamamoto.


"Approximate Distributions and Power of Test Statistics for Over- identifying Restrictions in a Simultaneous Equations System," 1988, Vol.4, 248-274, Econometric Theory.


"A Third Order Aymptotic Efficency of the Maximum Likelihood Estimator in Linear Functional Relationship and Simultaneous Equations," 1987, Annals of the Insitute of Statistical Mathematics, Vol.39, 575-591.


"Comparing Some Modified Maximum Likelihood Estimators of a Slope Coefficient in a Linear Functional Reltionship", 1986, Journal of Japan Statistical Society, Vol.16, 173-186.


"Comparing Single Equation Estimators in a Simultaneous Equation System," 1986, Econometric Theory, Vol.2, 1-32, with T.W.Anderson and K.Morimune.


"Properties of Predictors in Misspecified Autoregressive Time Series Models," 1985, Journal of the American Statistical Association, Vol.80, 941-950, with T.Yamamoto.


"Asymptotic Bias of the Least Squares Estimator for Multivariate Autoregressive Models," 1984, Annals of the Institute of Statistical Mathematics, Vol. 36, 419-430, with T.Yamamoto.


"Comparison of the Densities of the TSLS and LIMLK Estimators for Simultaous Equations," in Global Econometrics (Essays in Honor of Lawrence R. Klein), 1983, MIT Press, with T.W.Anderson and T. Sawa.


"Asymptotic Expansions of the Distributions of the Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations," 1983, International Economic Review, Vol.24, 199-215, with Y.Tsukuda and K. Morimune.


"Asymptotic Expansion of the Distributions of the Estimators of Coefficients in a Simultaneous Equation System," 1982, Journal of Econometrics, Vol.18, 191-205, wih Y.Fujikoshi, M.Taniguchi, and K. Morimune.


"Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimators," 1982, Econometrica, Vol.50, 1009-1027, with T.W. Anderson and T.Sawa.


"Asymptotic Expansions of the Distributions of k-Class Estimators When the Disturbances are Small", 1981, Economic Studies Quarterly, Vol.24, 156-163, with Y.Tsukuda and K.Morimune.


"Improving the Maximum Likelihood Estimate in Linear Functional Relationship for Alternative Parameter Sequences," 1980, Journal of the American Statistical Association, Vol.75, 230-237, with K.Morimune.


"Asymptotic Optimality of the Limited Information Maximum Likelihood Estimator in Large Econometric Models," 1981, Economic Studies Quarterly, Vol.32, 247-266.


"Asymptotic Expansions of the Distributions of Estimates in a Linear Functional Relationship and Simultaneous Equations," 1980, Journal of the American Statistical Association, Vol.75, 693-700.


"A Note on the Efficiency of Zellner's Estimator for the Case of Two Seemingly Unrelated Regression Equations," 1977, Economic Studies Quarterly, Vol.28, 73-78.

"A New Light from Old Wisdoms : Alternative Estimation Methods of Simultaneous Equations and Microeconometric Models," 2005, CIRJE-F-321, Graduate School of Economics, University of Tokyo, with T.W. Anderson and Y. Matsushita
(http://www.e.u-tokyo.ac.jp/cirje/research/dp/2005/2005cf321.pdf).


"Empirical Likelihood Estimation of Levy Processes", 2004, CIRJE-F-272, Graduate School of Economics, University of Tokyo
(http://www.e.u-tokyo.ac.jp/cirje/research/dp/2004/2004cf272.pdf).


"Asymptotic Expansions of the Distributions of Semi-Parametric Estimators in a Linear Simultaneous Equations System", 2003, CIRJE-F-237, Graduate School of Economics, University of Tokyo, with Y. Matsushita
(http://www.e.u-tokyo.ac.jp/cirje/research/dp/2003/2003cf237.pdf).


"Finite Sample Distributions of the Empirical Likelihood Estimator and the GMM Estimator," 2003, CIRJE-F-200, Graduate School of Economics, University of Tokyo, with Y. Matsushita.


"Improving Small Sample Properties of the Empirical Likelihood Estimation", 2002, CIRJE-F-173, Graduate School of Economics, University of Tokyo.


"On RegARIMA Model, RegSSARMA Model, and Seasonality" 2002, Discussion Paper CIRJE-F-146, Graduate School of Economics, University of Tokyo, with M. Takaoka.


"A Genralized SSAR Model and Predictive Distribution with an Application to VaR," 2001, Discussion Paper CIRJE-F-122, Graduate School of Economics, University of Tokyo, with S. Sato.


"Effects of Stochastic Interest Rates and Volatility on Contingent Claims," 2001, Discussion Paper CIRJE-F-129, Faculty of Economics, University of Tokyo, with Y. Kim. A Revision will be forthcoming in Japanese Economic Review.
Revised Version (October 2000)(pdf)


"On Ergodicity of Some TAR(2) Processes," 1999, Discussion Paper CIRJE-F-55, Faculty of Economics, University of Tokyo.


"On Validity of the Asymptotic Expansion Approach in Contingent Claim Analysis," 1998, Discussion Paper No.98-F-6, Faculty of Economics, University of Tokyo, with A.Takahashi.
Revised Version (April 2000)(pdf)


"Estimation of Asymmetrical Volatility for Asset Prices: The Simultaneous Switching ARIMA Approach" 1996, Discussion Paper No.96-E-24, Institute for Monetary and Economic Studies, Bank of Japan .
Revised Version (August 2000)(pdf)


"The Asymptotic Expansion Approach to the Valuation of Interest Rates Contingent Claims"1995, Discussion Paper No.95-F-19, Faculty of Economics, University of Tokyo. With A.Takahashi.


"A Stationary and Non-stationary Simultaneous Switching Autoregressive Models with an Application to Financial Time Series" 1995, Discussion Paper No.95-F-13, Faculty of Economics, University of Tokyo.


"Long-Term Memory and Fractional Brownian Motion in Financial Markets" 1992, Discussion Paper No.92-F-12, Faculty of Economics, University of Tokyo.

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"Asymptotic Efficiency and Higher Order Efficiency of the Limited Information Maximum Likelihood Estimator in Large Econometric Models," Stanford University, Department of Economics, 1981 , Principal Advisor : Professor T.W. Anderson.

「多期間リスク管理法と変額年金保険」, 2004, CIRJE-F-321, 東京大学大学院経済学研究科、 (共著）一場知之
（http://www.e.u-tokyo.ac.jp/cirje/research/dp/2004/2004cj113.pdf）


「解説X-12-ARIMA(2002)」（編）,2004, Research Report CIIRJE-R-1, 東京大学経済学研究科。


「数理ファイナンスと計量ファイナンスの展開」2002年、計測と制御(計測自動制御学会）、 Vol. 41, 844-849.


「季節調整法X-12-ARIMA（2000）の利用：法人統計の事例」2001年, 経済学論集(東京大学経済学部)、 67巻3号、2-29。


「季節調整法X-12-ARIMAの特長と問題点」,1997年,「経済統計研究」Vol.25-1, 13-55, (通産統計協会)


「季節調整に関する実務的諸問題へのコメント」,1997年,「統計数理」Vol.45-2, 202-204, (統計数理研究所)


「構造変化と単位根・共和分仮説：マクロ時系列への応用」,1996年,「金融研究」 Vol.15-5, 1-43. (日本銀行金融研究所)


「経済時系列における非線形性と不均衡計量経済モデル」,1994年,「数理統計学の理 論と応用」東京大学出版会.


「人口予測を巡る諸問題」,1993年,長寿社会開発センター報告.


「ファイナンスと確率解析」,1992年,日本アクチュアリー会会報.


「平均オプションの評価法」,1992年, ファイナンス研究, No.14, 高橋明彦氏との共 同論文.


「経済学におけるベイズ統計学の発展」,1989年,「ベイズ統計学とその応用」収録, 東京大学出版会.


「予想と時系列(1)・(2)」,経済学論集, 1988年,Vol.54, 36-55, 1989年 ,Vol.54,110-128.


「計量経済分析における検定問題」,1987年, 竹内・鈴木編「社会科学の計量分析」 収録, 東京大学出版会.


「時系列における因果尺度と日本のマクロ分析」,1986年, 中村・林編「日本経済の 統計的分析」収録, 東京大学出版会.


「多変量時系列における因果序列と仮説検定及びマクロ経済分析への応用 (1)・(2) 」,1986年, 経済学論集, Vol.51, 15-27, Vol.52, 30-50, 山本拓氏との共同.

[B]Books

「数理ﾌｧｲﾅﾝｽの基礎：マリアバン解析と漸近展開の応用」(2003)東洋経済新報社
("A Fiundation of Mathematical Finance : Applications of Malliavin Calculus and Asymptotic Expansions," 2003, Toyokeizai.)
「現代統計学」(1991,1994)日経文庫
("Contemporary Statistics 1/2," 1991, 1994, Nikkei Library.)
「金融における統計的方法」(1992)日本経済研究センター
「ベイズ統計学とその応用」(1989)（共編）東京大学出版会
("A Bayesian Statistics and its Applications," 1989, Tokyo University Press.)
「時系列モデル入門」(1985)（共訳）東京大学出版会
("Time Series Models (A Translation of A.C.Harvey's Book)," 1985, Tokyo University Press.)

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