Jun-ichiro FUKUCHI

Profile

[Education]
Ph. D., Department of Statistics, Iowa State University (December 1994).
Master of Science, Department of Statistics, Iowa State University (December 1992).

[Positions]
Professor, Faculty of Economics, Gakushuin University (September 2000-Present).
Associate Professor, Faculty of Economics, Hiroshima University (April 1995-August 2000).
Visiting fellow, Centre of Mathematical Sciences, Australian National University, October,1997-March 1998.
Visiting fellow, Stern School of Business, New York University, April 1997-March 2007.
Visiting professor, Graduate School of Arts and Sciences, University of Tokyo, April 2015-March 2016.

Contact Information

E-mail：

Research Fields

Statistics, Econometrics

Publications

[Refereed Articles]

• "Bootstrapping extremes of i.i.d. Random variables" (Jointly with K.B. Athreya), in Extreme Value Theory and Applications, Volume 3, NIST Special Publication 866 (1994).
• "Confidence Intervals for endpoints of a cdf via bootstrap"(Jointly with K.B. Athreya), Journal of Statistical Planning and Inference (1997), 58, 299-320.
• "On the bootstrap and the moving block bootstrap for the maximum of a stationary process" (Jointly with K. B. Athreya , S. N. Lahiri), Journal of Statistical Planning and Inference (1999), 76, 1-17.
• "Subsampling and model selection in time series analysis", Biometrika (1999), 86, 591-604.
• "Estimation of the risk of the optimal portfolio in mean-variance model" (In Japanese, Jointly with A. Yoshida) JAFEE Journal 2003, (2003) Toyo Keizai Shinpo-sha.
• "A Note on Bootstrap for Gupta's Subset Selection Procedure", Sankhya A, 2019, 1-19.

[Other publications]

• "Modeling daily return and volatility time series" (Jointly with J. M. Pinto DosSantos), Proceedings of the 4th JAFEE International Conference on Investments and Derivatives (1997), 23-30.
• "Method of Moments","Sampling distribution" (in Japanese, Kinyu-Kogaku Jiten), 2004, Asakura-shoten.
• "Statistical methods in revenue management" (in Japanese, Jointly with S.Sunami), Gakushuin economic papers, 42(1), 33-45 (2005).
• "On a bias corrected prediction for the number of hotel rooms reserved" (in Japanese, Jointly with S.Sunami), GEM bulletin, 20, 69-77 (2006).
• "Variable Life Insurance Risks and VaR Estimation" (in Japanese; Jointly with Y. Kuwana), in A. Kogure, et al. (eds) "Risk of Science: Analysis of Finance and Insurance Models," Asakura Publishing Co., Ltd., 2 (2007).
• "Econometric Analysis with R" (in Japanese; Jointly with Y. Itoh), Asakura Publishing Co., Ltd. (2011).

Memberships

Japan Statistical Society (member of the board of directors, 2007-2009), Japanese Association of Financial Econometrics and Engineering (member of the board of directors, 2000-2008).