Institute of Economic Research,Research Division of Theories in Economics and Statistics
WATANABE Toshiaki
  • Curriculum Vitae
  • Research Results
  • Educational and Social Activities

日本語

Books

1.Econometric Analysis of Finance and Business Cycle(co-authored and co-edited)
Minerva-shobo 2011
ISBN 9784623060474
2.Volatility Changing Model
pp.1-146 2000
ISBN 9784254275049

Paper

1.Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility (forthcoming)(jointly worked)
Econometrics and Statistics 2021 Academic journal
ISSN 2452-3062
2.Bayesian estimation of realized GARCH-type models with application to financial tail risk management (forthcoming)(jointly worked)
Econometrics and Statistics 2021 Academic journal
ISSN 2452-3062doi
3.Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility(jointly worked)
Applied Stochastic Models in Business and Industry Vol.35,pp.747-765 2019 Academic journal
ISSN 1526-4025doi
4.Econometric Analysis of Japanese Exports Using a Time-Varying Parameter Vector Autoregressive Model(jointly worked)
Economic Review Vol.68,No.3 2017 Academic journal
HERMES-IR
5.Bayesian Forecasting of Value-at-Risk Based on Variant Smooth Transition Heteroskedastic Models(jointly worked)
Statistics and Its Interface Vol.10,No.3,pp.451-470 2017 Academic journal
ISSN 1938-7989doi
6.The Intraday Market Liquidity of Japanese Government Bond Futures(jointly worked)
Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan Vol.34,pp.67-96 2016 Academic journal
Link
7.Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(jointly worked)
International Journal of Forecasting Vol.32,No.2,pp.437-457 2016 Academic journal
ISSN 0169-2070doiLink
8.Evaluating the Performance of Futures Hedging Using Multivariate Realized Volatility(jointly worked)
Journal of the Japanese and International Economies Vol.38,pp.148-171 2015 Academic journal
ISSN 0889-1583doiLink
9.A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise(jointly worked)
Journal of Financial Econometrics Vol.13,No.1,pp.45-82 2015 Academic journal
ISSN 1479-8409doiLink
10.Stochastic Volatility and Realized Stochastic Volatility Models(jointly worked)
S. K. Upadhyay, U. Singh, D. K. Dey and A. Loganathan eds. Current Trends in Bayesian Methodology with Applications, Chapman & Hall/CRC Press pp.435-456 2015 Book
ISBN 9781482235111
11.Econometric Analysis of Business Cycles: A Survey with the Application to the Composite Index in Japan(jointly worked)
The Economic Review Vol.66,No.2,pp.145-168 2015 Academic journal
HERMES-IR
12.Pricing Nikkei 225 Options Using Realized Volatility(jointly worked)
Japanese Economic Review Vol.65,No.4,pp.431-467 2014 Academic journal
ISSN 1468-5876doiLink
13.Market Variance Risk Premiums in Japan for Asset Predictability(jointly worked)
Empirical Economics Vol.47,No.1,pp.169-198 2014 Academic journal
ISSN 1435-8921doiLink
14.Bayesian Analysis of Business Cycle in Japan using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution
The Economic Review Vol.65,No.2,pp.156-167 2014 Academic journal
HERMES-IR
15.Pricing Nikkei 225 Options Using Realized Volatility(jointly worked)
Japanese Economic Review Vol.65,No.4,pp.431-467 2013 Academic journal
ISSN 1352-4739doiLink
16.News Impact Curve for Stochastic Volatility Models(jointly worked)
Economics Letters Vol.120,No.1,pp.130-134 2013 Academic journal
ISSN 0165-1765doiLink
17.Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data-(jointly worked)
The Economic Review (Keizai Kenkyu) Vol.63,No.3,pp.193-208 2012 Academic journal
ISSN 00229733HERMES-IR
18.Realized Stochastic Volatility Model : Bayesian Analysis Using Markov Chain Monte Carlo(jointly worked)
Vol.42,No.2,pp.273-303 2012 Academic journal
ISSN 03895602CiNii
19.Quantile Forecasts of Financial Returns Using Realized GARCH Models
Japanese Economic Review Vol.63,No.1,pp.68-80 2012 Academic journal
ISSN 1352-4739doiLink
20.Bayesian Analysis of Time-varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy(jointly worked)
Journal of the Japanese and International Economies Vol.25,No.3,pp.225-245 2011 Academic journal
ISSN 0889-1583doiLink
21.Realized volatility: development of measuring volatility and application to risk management(jointly worked)
Vol.49,No.8,pp.16-26 2011 Academic journal
ISSN 02877929CiNii
22.Dynamic General Equilibrium Model--A Survey with the Application to the Japanese Macroeconomic Date--(jointly worked)
The Economic Review (Keizai Kenkyu) Vol.62,No.1,pp.66-93 2011 Academic journal
ISSN 00229733HERMES-IR
23.Applications of Gram-Charlier Expansion and Bond Moments for Pricing of Interest Rates and Credit Risk(jointly worked)
Quantitative Finance Vol.10,No.6,pp.645-662 2010 Academic journal
ISSN 1469-7696doiLink
24.Testing Nonlinear Dependence of TOPIX Daily Returns Using GARCH Models and Realized Volatility(jointly worked)
Vol.39,No.1,pp.65-94 2009 Academic journal
ISSN 03895602CiNii
25.Econometric Analysis of Business Cycles in Japan Using Markov Switching Models
The Economic Review (Keizai Kenkyu) Vol.60,No.3,pp.253-265 2009 Academic journal
ISSN 00229733HERMES-IR
26.Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously(jointly worked)
Computational Statistics & Data Analysis Vol.53,No.6,pp.2404-2426 2009 Academic journal
ISSN 0167-9473doiLink
27.Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models(jointly worked)
Computational Statistics & Data Analysis Vol.52,No.6,pp.2892-2910 2008 Academic journal
ISSN 0167-9473doiHERMES-IR
28.Effects of the Bank of Japan's Intervention on Yen/Dollar Exchange Rate Volatility(jointly worked)
Journal of the Japanese and International Economies Vol.20,pp.99-111 2006 Academic journal
ISSN 0889-1583HERMES-IR
29.Bayesian Analysis of a Markov Switching Stochastic Volatility Model(jointly worked)
Journal of the Japan Statistical Society Vol.35,No.2,pp.205-219 2005 Academic journal
ISSN 1882-2754Link
30.A Multi-move Sampler for Estimating Non-Gaussian Time Series Models: Comments on Shephard & Pitt (1997)(jointly worked)
Biometrika Vol.91,No.1,pp.246-248 2004 Academic journal
ISSN 0006-3444doiLink
31.Bayesian Analysis of GARCH Option Pricing Models(jointly worked)
Vol.33,No.3,pp.307-324 2003 Academic journal
ISSN 03895602CiNii
32.The Estimation of Dynamic Bivariate Mixture Models: Reply to Liesenfeld and Richard Comments
Journal of Business & Economic Statistics Vol.21,No.4,pp.577-580 2003 Academic journal
ISSN 0735-0015doiLink
33.Margin Requirements, Positive Feedback Trading, and Stock Return Autocorrelations: The Case of Japan
Applied Financial Economics Vol.12,No.6,pp.395-403 2002 Academic journal
ISSN 1466-4305doiLink
34.Price Volatility, Trading Volume, and Market Depth: Evidence from the Japanese Stock Index Futures Market
Applied Financial Economics Vol.11,No.6,pp.651-658 2001 Academic journal
ISSN 1466-4305doiLink
35.On Sampling the Degree-of-Freedom of Student's-t Disturbances
Statistics & Probability Letters Vol.52,No.2,pp.177-181 2001 Academic journal
ISSN 0167-7152doiLink
36.Excess Kurtosis of Conditional Distribution for Daily Stock Returns: The Case of Japan
Applied Economics Letters Vol.7,No.6,pp.353-355 2000 Academic journal
ISSN 1350-4851doiLink
37.Bayesian Analysis of Dynamic Bivariate Mixture Models: Can They Explain the Behavior of Returns and Trading Volume?
Journal of Business & Economic Statistics Vol.18,No.2,pp.199-210 2000 Academic journal
ISSN 0735-0015doiLink
38.A Nonlinear Filtering Approach to Stochastic Volatility Models with an Application to Daily Stock Returns
Journal of Applied Econometrics Vol.14,No.2,pp.101-121 1999 Academic journal
ISSN 1099-1255doiLink

Other

1.Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility(jointly worked)
Discussion paper series HIAS-E-104, Hitotsubashi Institute for Advanced Study, Hitotsubashi University 2021 Other
HERMES-IR
2.Stock Return Predictability and Variance Risk Premia around the ZLB(jointly worked)
IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, 2020-E-9 2020 Other
Link
3.The Intraday Market Liquidity of Japanese Government Bond Futures(jointly worked)
IMES Discussion Paper Series, 2106-E-7, Institute for Monetary and Economic Studies, Bank of Japan 2016 Other
Link
4.Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management(jointly worked)
Discussion Paper, HIAS-E-16, Hitotsubashi Institute for Advanced Studies 2015 Other
HERMES-IR
5.Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(jointly worked)
Discussion Paper Series, CIRJE-F-921, Faculty of Economics, University of Tokyo 2014 Other
Link
6.Pricing Nikkei 225 Options Using Realized Volatility(jointly worked)
Global COE Hi-Stat Discussion Paper Series, Hitotsubashi University Vol.273 2013 Other
HERMES-IR
7.News Impact Curve for Stochastic Volatility Models(jointly worked)
Global COE Hi-Stat Discussion Paper Series, Hitotsubashi University Vol.242 2012 Other
HERMES-IR
8.Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion(jointly worked)
Global COE Hi-Stat Discussion Paper Series, Hitotsubashi University Vol.214 2011 Other
HERMES-IR
9.A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise(jointly worked)
Global COE Hi-Stat Discussion Paper Series , Hitotsubashi University Vol.200 2011 Other
HERMES-IR
10.Pricing Nikkei 225 Options Using Realized Volatility(jointly worked)
IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan Vol.2011-E-18 2011 Other
Link
11.Quantile Forecasts of Financial Returns Using Realized GARCH Models
Global COE Hi-Stat Discussion Paper Series, Hitotsubashi University Vol.195 2011 Other
HERMES-IR
12.Bayesian Analysis of Time-varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy(jointly worked)
Global COE Hi-Stat Discussion Paper Series, Hitotsubashi University Vol.196 2011 Other
HERMES-IR
13.A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise(jointly worked)
Global COE Hi-Stat Discussion Paper Series Vol.115 2010 Other
HERMES-IR
14.Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy(jointly worked)
Global COE Hi-Stat Discussion Paper Series Vol.72 2009 Other
HERMES-IR
15.Option Pricing Using Realized Volatility and ARCH Type Models(jointly worked)
Global COE Hi-Stat Discussion Paper Series Vol.66 2009 Other
HERMES-IR
16.A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component(jointly worked)
Global COE Hi-Stat Discussion Paper Series Vol.55 2009 Other
HERMES-IR

Oral Presentation

NOName of subject/Conference NameYearSite
1.High-frequency realized stochastic volatility model(4th International Conference on Econometrics and Statistics (EcoSta 2021))
2021.06Zoom (Hong Kong University of Science and Technology, Hong Kong)
2.Stochastic volatility models with time-varying leverage effect(4th International Conference on Econometrics and Statistics (EcoSta 2021))
2021.06Zoom (Hong Kong University of Science and Technology, Hong Kong)
3.High-frequency realized stochastic volatility model (Special Invited Session “Advances in Bayesian analysis and applications”)(14th International Conference on Computational and Financial Econometrics (CFE 2020))
2020.12Zoom (King’s College, London)
4.High-frequency Realized Stochastic Volatility Model(HSI2020-6th Hitotsubashi Summer Institute)
2020.10-2020.11Zoom (Hitotsubashi Institute for Advanced Study, Hitotsubashi University)
5.High-frequency Stochastic Volatility Models(HSI2019-5th Hitotsubashi Summer Institute)
2019.08Hitotsubashi University, Kunitachi, Japan
6.Intraday Range-based Stochastic Volatility Models with Application to the Japanese Stock Index(The 4th Eastern Asia Chapter Meeting on Bayesian Statistics, EAC-ISBA2019)
2019.07Kobe University, Kobe, Japan
7.Intraday Range-Based Stochastic Volatility Models with Application to the Japanese Stock Index(3rd International Conference on Econometrics and Statistics (EcoSta 2019))
2019.06National Chung Hsing University
8.High-frequency Stochastic Volatility Models for the Japanese Stock Index(International Workshop on “One Belt & One Road”)
2019.03Aoyama Gakuin University
9.High-frequency Stochastic Volatility Models for the Japanese Stock Index(The 12th International Conference on Computational and Financial Econometrics (CFE 2018))
2018.12University of Pisa,Italy
10.Bayesian Analysis of Time-Varying Heterogeneous Autoregressive Models(2018 ISBA World Meeting)
2018.06University of Edinburgh, UK
11.Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk(Workshop “Financial/Economic Analytics”)
2018.03Hung Hom Bay Campus, The Hong Kong Polytechnic University SPEED
12.Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk(The 11th International Conference on Computational and Financial Econometrics (CFE 2017))
2017.12Senate House, University of London, UK
13.Bayesian Estimation of Time-varying Price Impact in Financial Markets Using Intraday Data(The International Society for Bayesian Analysis (ISBA) 2016 World Meeting)
2016.06Forte Village Resort Convention Center Sardinia, Italy
14.Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(Seminar at the Department of Statistics, Feng Chia University, Taichung, Taiwan)
2016.04Feng Chia University, Taichung, Taiwan
15.The Predictability of the Market Variance Risk Premium in Japan(Seminar at the Department of Economics, Feng Chia University, Taichung, Taiwan)
2016.04Feng Chia University, Taichung, Taiwan
16.The Predictability of the Market Variance Risk Premium in Japan(Computational and Financial Econometrics)
2015.12University of London, London, UK
17.Stock Return Predictability of the Market Variance Risk Premium in Japan(Hitotsubashi Summer Institute Workshop "Frontiers in Financial Econometrics")
2015.08Hitotsubashi University, Tokyo, Japan
18.Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(Computational and Financial Econometrics)
2014.12University of Pisa, Pisa, Italy
19.Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(China Meeting of Econometric Society)
2014.06Xiamen University, Xiamen, China
20.Modelling the Dynamics of Realized Volatility: Long Memory or Smooth Transition?(Workshop on High-frequency data and Financial Econometrics)
2014.02IER, Hitotsubashi University
21.Bayesian Analysis of Multiple Structural Changes in ARFIMA Models with an Application to Realized Volatility(ISBA Section on Economics, Finance and Business at Bayes 250 Workshop)
2013.12Duke University, Durham, NC, USA
22.Bayesian Analysis of Business Cycle in Japan Using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution(2013 Annual Meeting of the Taiwan Mathematical Society)
2013.12National Sun Yat-sen University, Kaohsiung, Taiwan
23.Bayesian Analysis of Multiple Structural Changes in ARFIMA Models with an Application to Realized Volatility(Joint Meeting of the IASC Satellite Conference for the 59th ISI WSC and the 8th Asian Regional Section (ARS) of the IASC)
2013.08Yonsei University
24.Bayesian Analysis of Multiple Structural Changes in ARFIMA Models with an Application to Realized Volatility(Workshop on Measuring and Modeling Financial Returns with High Frequency Data)
2013.06European University Institute, Florence, Italy
25.Bayesian Analysis of Business Cycles in Japan Using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution(International Conference "Frontiers in Macroeconometrics")
2013.03Hitotsubashi University, Tokyo
26.Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(ISBA Regional Meeting)
2013.01Banaras Hindu University, Varanasi, India
27.Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(The Third International Conference "High-Frequency Data Analysis in Financial Markets")
2012.11Hiroshima University of Economics, Hiroshima
28.Bayesian Analysis of Identifying Restrictions for the Time-Varying Parameter Vector Autoregressive Model(11th World Meeting of the International Society of Bayesian Analysis (ISBA 2012))
2012.06Kyoto Terrsa, Kyoto
29.Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(The Joint Usage and Research Center Project Workshop "The Estimation of Financial Volatility Using High-Frequency Data with Applications to Financial Risk Management")
2012.03Hiroshima University of Economics Tatemachi Campus, Hiroshima
30.Bayesian Analysis of Time-varying Parameter Vector Auto- regressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy(International Workshop on Statistical Computing in Quantitative Finance and Biostatistics: A Satellite Meeting for the 7th IASC-ARS Conference)
2011.12Feng Chia University, Taichung, Taiwan
31.Bayesian Analysis of Time-varying Parameter Vector Auto- regressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy(Joint Meeting of the 2011 Taipei International Statistical Symposium and 7th Conference of the Asian Regional Section of the IASC)
2011.12Academia Sinica, Taipei, Taiwan
32.Estimating Realized GARCH Models with Different Volatility Measures(The Second International Conference "High Frequency Data Analysis in Financial Markets")
2011.10Osaka University Nakanoshima Center, Osaka
33.Bayesian Analysis of Time-varying Parameter Vector Auto- regressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy(5th Japanese-European Bayesian Econometrics and Statistics Meeting)
2011.08Norges Bank, Oslo, Norway
34.Quantile Forecasts of Financial Returns Using Realized GARCH Models(Stanford Institute for Theoretical Economics Summer 2011 Workshop)
2011.06Stanford University, Stanford, CA, USA
35.Bayesian Analysis of Time-varying Parameter Vector Auto- regressive Model with the Ordering of Variables for the Japanese Economy and Monetary policy(Recent Developments in Dynamic Analysis in Economics-30 Years after Macroeconomics and Reality (Conference in Honor of Christopher A. Sims))
2011.05Seoul National University, Seoul, Korea
36.Pricing Nikkei 225 Options Using Realized Volatility(日本大学経済学部セミナー)
2011.01
37.Pricing Nikkei 225 Options Using Realized Volatility(計量経済学・計量ファイナンス研究集会)
2010.12Hiroshima University
38.A New Method for the Evaluation of Dynamic Stochastic General Equilibrium Models(4th CSDA International Conference on Computational and Financial Econometrics (CFE'10))
2010.12University of London, UK
39.Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility(International Workshop on Bayesian Econometrics and Statistics)
2010.02University of Tokyo
40.Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy(Globa COE Hi-Stat)
2009.09Hitotsubashi University
41.Bayesian analysis of structural changes in ARFIMA models with an application to realized volatility(Japan Statistical Society)
2007.09Kobe

Scientific Research Funds Results

NOResearch subjectResearch itemYear
1.
Link
Scientific Research (A)2020-2022
2.
Link
Scientific Research (A)2017-2019
3.
Scientific Research (A)2010-2012
4.
Scientific Research (A)2006-2008
5.
Link
Scientific Research (C)2003-2004
to back page