Overview
Hiroki Tsurumi is an econometrician at Rutgers University (New Brunswick, NJ). His research focuses on Bayesian approaches to nonlinear time-series and GARCH models, with applications to financial markets. He is also the author of a 2000 survey of Bayesian statistical computation for nonlinear financial time-series models published in the same journal as his Korean-crisis paper.
Key Contributions / Features
- Korean Currency Crisis (Kim-Tsurumi 2000) — With Suduk Kim, applied CCC-MGARCH with Laplace-approximation Bayesian structural break detection to four Korean financial series, finding a multivariate break date of 20 October 1997. See Kim-Tsurumi (2000).
- Bayesian Nonlinear TS Survey (Tsurumi 2000) — "Bayesian Statistical Computations of Nonlinear Financial Time Series Models: A Survey with Illustrations," Asia-Pacific Financial Markets 7: 41–68. Companion survey piece in the same journal issue covering MCMC approaches for nonlinear financial models.
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