Curriculum Vitae – Shin Kanaya
July 2023
E-mail: shin.kanaya@essex.ac.uk
Website: https://sites.google.com/view/econkanaya/
Education:
University of Wisconsin-Madison, Madison, WI, USA
Ph.D., Economics, 24 August, 2008
Dissertation Title: Non-Parametric Econometric Methods for Continuous-Time Diffusion Models
Dissertation Advisors: Bruce E. Hansen (Chair), Dennis Kristensen, Jack R. Porter
M.S., Economics, May 2006
University of Tokyo, Tokyo, Japan
M.A., Economics, March 2002
B.A., Economics, March 2000
Employment:
July 2020 Dec 2019 2016 - 20192012 - 20162008 - 2012

Associate Professor, Kyoto Institute of Economic Research, Kyoto University(with a cross-appointment contract)
Associate Professor (Senior Lecturer), Department of Economics, University of Essex
Associate Professor, Department of Economics, University of Aarhus & CREATES(with a non-fixed-term, tenured contract from September 2017)
Assistant Professor, Department of Economics, University of Aarhus & CREATES(Center for Research in Econometric Analysis of Time Series)
Post-Doctoral Research Fellow, Department of Economics, Nuffield College & OxfordMan Institute of Quantitative Finance, University of Oxford

Research Interests:
Econometric Theory, Nonparametric Methods, Microeconometrics, Financial/Time-Series
Econometrics
Honors, Scholarships and Grants:
Grant-in-Aid for Scientific Research (C, 21K01425), Japan Society for the Promotion of Science,2021-2024
AUFF NOVA Small Project Grant, Aarhus University Research Foundation, Aarhus University, 20202022 (joint with Marija Banovic; approx. 48,000 Euro)
Nomination for the Aarhus Business & Social Sciences Research Prize (by the Head of the Economics
Department), Aarhus University, Summer 2018
Econometric Theory Multa Scripsit Award, 2018
Seed Funding for Young Researchers, Aarhus University Research Foundation & School of Businessand Social Sciences, Aarhus University, 2016 (approx. 4,000 Euro)
Research Project 1 Grant, the Danish Council for Independent Research, Social Sciences (DFF - 418200279), 2015-2018 (approx. 177,000 Euro)
Dr. Taro Yamame Memorial Scholarship, University of Wisconsin-Madison, 2003-2004
Teaching Experiences:
University of Essex
Spring 2021 - 2024

Time Series Econometrics (for MSc & MRes students), Lecturer
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Spring 2020 - 2024

Microeconometrics (for MSc & MRes students), Lecturer

Kyoto University
Summer 2021, 2023

Nonparametric Econometrics (for PhD & master students), Lecturer

University of Aarhus
Fall 2018, 2019
Spring 2016 - 2019,
Fall 2012 - 2014

Mathematical Analysis (for PhD & master students in economics), Lecturer
Advanced Econometrics (for PhD & master students; main topics covered:asymptotic theory, extremum estimators, nonparametric identification &estimation of econometric models), Lecturer

University of Oxford
Michaelmas 2011,2010 & 2009, andHilary 2009
Hilary 2010 & 2009

Advanced Econometrics (for 2nd year MPhil students): Time Series Asymptotics,Lecturer

Econometrics (for 1st year MPhil students), Class Teacher
University of Wisconsin-Madison
Spring 2006
Economic Statistics and Econometrics II (G), Teaching Assistant for Professor
Bruce E. Hansen (evaluated as an Excellent TA; Evaluation: 4.5/5)
Fall 2005
Economic Statistics and Econometrics I (G), Teaching Assistant for Professor
Jack R. PorterSpring 2005
Introductory Microeconomics (U), Teaching Assistant for Professor John Karl
ScholzFall 2004
Economic Statistics: Measurement in Economics (U), Teaching Assistant forProfessor Menzie Chinn
University of Tokyo
Summer 2002
Microeconomics (U), Teaching Assistant for Professor Masahiro OkunoFujiwara
Research Experiences and Affiliations:2022 Internal Fellow, Centre for Macro and Financial Econometrics, University of Essex
2020 - 2022 International Fellow, CREATES (Center for Research in Econometric Analysis ofTime Series), University of Aarhus, Aarhus, Denmark
Summer 2019 Visiting Scholar, Kyoto Institute of Economic Research, Kyoto University, Kyoto,
Japan
Fall 2016
Visiting Scholar, Indiana University
SummerVisiting Scholar/Visiting Associate Professor, the Institute of Economic Research,2015 - 2018
Hitotsubashi University, Tokyo, Japan
SummerVisiting Researcher, the Institute of Statistical Mathematics, Tokyo, Japan
2015, Spring2009

2007-2008
2006-20072002
2000-2001

Project Assistant for Professor Bruce E. Hansen, University of Wisconsin-Madison
Project Assistant for Professor Dennis Kristensen, University of Wisconsin-Madison
Short-Term Research Staff, Financial Market Department, Bank of Japan, Tokyo,Japan
Short-Term Research Staff, Research and Statistics Department, Bank of Japan,Tokyo, Japan

Conference Presentations:“Causal Learning with Interactions” Workshop, UCL/IFS, London, UK, Dec 2019
Annual Meeting of the Midwest Econometrics Group, Madison, WI, USA, Oct 2018
Stanford Institute for Theoretical Economics (SITE) Summer Workshop, Stanford, CA, USA, July 2018
The 11th International Conference on Computational and Financial Econometrics, London, UK, Dec 2017
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Royal Economic Society Conference, Bristol, UK, April 2017
Annual Meeting of the Midwest Econometrics Group, Urbana-Champaign, IL, USA, Oct 2016
Hitotsubashi Summer Institute Workshop “Frontiers in Financial Econometrics,” Tokyo, Japan, Aug 2015
The 11th International Symposium on Econometric Theory and Applications (SETA), Tokyo, Japan, May
2015
AHOI Workshop on Tempo-Spatial Stochastic Processes and Stochastic Volatility, London, UK, Feb 2015
Workshop on Advances in Microeconometrics, Hakone, Japan, June 2014
The 10th International Symposium on Econometric Theory and Applications (SETA), Taipei, Taiwan, May
2014
The 24th EC2 Conference, University of Cyprus, Nicosia, Cyprus, December 2013
Bilkent Annual Summer Workshop in Economics, Bilkent University, Ankara, Turkey, July 2013
Conference on Financial Risk, Center for the Study of Finance and Insurance, Osaka University, Osaka,Japan, March 2013
Southampton Spring Econometrics Event, Southampton, UK, June 2012
Royal Economic Society PhD Meetings, London, UK, January 2012
Annual Meeting of the Midwest Econometrics Group, Chicago, IL, USA, October 2011
CIREQ Time-Series Conference, Montreal, Canada, May 2011
The 28th European Meeting of Statisticians, Piraeus, Greece, August 2010
Far East and South Asia Meeting of the Econometric Society, Tokyo, Japan, August 2009
North American Summer Meeting of the Econometric Society, Boston, MA, USA, June 2009
The 43rd Annual Conference of the Canadian Economics, Toronto, Canada, May 2009
The 4th London-Oxbridge Time-Series Conference, London, UK, March 2009
Spring Meeting of the Japan Statistical Society, Tokyo, Japan, March 2009
Annual Meeting of the Midwest Econometrics Group, St. Louis, MO, USA, October 2007
North American Summer Meeting of the Econometric Society, Durham, NC, USA, June 2007
Seminar Presentations:2021-2022
University of York (Mathematics Department), London School of Economics
2020-2021

Osaka Univesity

2018-2019

University of Luxembourg, Queen Mary University of London, University of Essex

2017-20182016-2017

National University of Singapore, University of Nottingham, University of York, Kyoto
University
Indiana University, Vanderbilt University, University of Tokyo

2015-2016

Toulouse School of Economics, University of Southern Denmark, University of Liverpool

2014-2015

Johns Hopkins University, Indiana University, Osaka University, Institute of StatisticalMathematics, Hitotsubashi University
Hitotsubashi University, Kyoto University, Okayama University
City University London, Bilkent University, University of Cyprus
University of Wisconsin-Madison, Indiana University, University of Montreal, Toulouse
School of Economics, University of Leicester, University of Aarhus, University ofCopenhagen, University of Mannheim, University of Southampton
University of Oxford (Statistics Department)
Indiana University, Oxford-Man InstituteNuffield College, London School of Economics, University of Manchester, Institute of
Statistical Mathematics, Okayama University
University of Wisconsin-Madison, Columbia University, University of Oxford, Universityof Connecticut, Texas A&M University, University of Tokyo, Kyoto University, OsakaUniversity
University of Wisconsin-Madison, Osaka University, Kyoto University
Page 3 of 62013-20142012-20132011-20122010-20112009-20102008-20092007-2008
2006-2007

Referee/Reviewer Activity:
Annals of Applied Probability; Annals of the Institute of Statistical Mathematics; Bernoulli; Japan and theWorld Economy; Japan Society for the Promotion of Science London Fellowship; Journal of Applied
Econometrics; Journal of Business and Economic Statistics; Journal of Econometrics; Journal ofEconomics Dynamics and Control; Journal of Financial Econometrics; Journal of Nonparametric
Statistics; Econometric Reviews; Econometrics and Statistics; Econometric Theory; Economics Letters;
Finance and Stochastics; Oxford Bulletin of Economics and Statistics; New Generation Computing;
Proceedings of the Institute of Statistical Mathematics; Review of Economic Studies; Scandinavian Journalof Statistics
Editorial Activity:
2021 Co-Editor, Economics Open-Access Journal

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List of Publications
Peer reviewed:
1. Debopam Bhattacharya, Pascaline Dupas & Shin Kanaya (2022) Demand and welfare analysis in discrete
choice models with social interactions. Forthcoming in The Review of Economic Studies.
2. Debopam Bhattacharya, Shin Kanaya & Margaret Stevens (2017) Are university admissions academicallyfair? The Review of Economics and Statistics 99, 449-464.
3. Shin Kanaya (2017) Convergence rates of sums of α-mixing triangular arrays: With an application to
nonparametric drift function estimation of continuous-time processes, Econometric Theory 33, 11211153.
4. Shin Kanaya (2017) Uniform convergence rates of kernel-based nonparametric estimators forcontinuous time diffusion processes: A damping function approach, Econometric Theory 33, 874-914.
5. Shin Kanaya & Dennis Kristensen (2016) Estimation of stochastic volatility models by nonparametricfiltering, Econometric Theory 32, 861-916.
6. Jiti Gao, Shin Kanaya, Degui Li & Dag Tjøstheim (2015) Uniform consistency for nonparametricestimators in null recurrent time series, Econometric Theory 31, 911-952.
7. Shin Kanaya & Taisuke Otsu (2012) Large deviations for realized volatility, Stochastic Processes and theirApplications 122, 546-581.
Unpublished manuscripts, work-in-progress projects:
1. Type I and type II error probabilities in the courtroom, with Luke Taylor (University of Aarhus),submitted for publication.
2. Uniform convergence of smoothed distribution functions with an application to Delta method for theLorenz curve, with Debopam Bhattacharya (University of Cambridge).
3. Asymptotic properties of kernel estimators of multivariate diffusion processes, with Dennis Kristensen,(University College London).
4. Nonparametric estimation for decomposable data possibly with mixed-frequency observations.
5. Moduli of continuity of Brownian motion and related processes over an expanding time interval, withJihyun Kim (Toulouse School of Economics) & Joon Y. Park (Indiana University).
6. Adaptive inference in continuous-time asset pricing factor models, with Dennis Kristensen (UniversityCollege London) & Yang Zu (University of Nottingham).

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7. Uniform convergence rates of kernel estimators with nonstationary regressors and autocorrelated
errors, with Dennis Kristensen (University College London).
8. Non-parametric specification testing for continuous-time Markov processes: Do processes follow
diffusions?
9. A nonparametric test for stationarity in continuous-time Markov processes.
10. An ambiguity-free asset and its bid-ask spread under maxi-min expected utility, with Takao Asano(Okayama University) & Satoru Takahashi (National Singapore University), revision requested, underrevision.

Other papers:
1. Debopam Bhattacharya, Pascaline Dupas & Shin Kanaya (2013) Estimating the impact of means-tested
subsidies under treatment externalities with application to anti-malarial bednets. NBER Working Paper
No. 18833, 57 pages.
2. Shin Kanaya & Hideaki Hirata (2007) The structural approach to default risk revisited: Calibration tostock and bond market data (in Japanese, peer reviewed), JCER Economic Journal 56, 26-51.
3. Masahiro Higo, Tomohiro Sugo & Shin Kanaya (2001) Japanese household saving rates and theirdeterminants: An analysis of household surveys (in Japanese), Bank of Japan Working Paper Series
WP01-4, Research and Statistics Department, Bank of Japan.

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