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Books and Other Publications
| 1. | 日本の物価・資産価格 : 価格ダイナミクスの解明
渡辺, 努, 清水, 千弘 (Contributor) 東京大学出版会 2023.6 (ISBN : 9784130403108) |
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| 2. | Stochastic Volatility and Realized Stochastic Volatility Models (SpringerBriefs in Statistics)
Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe (Joint author) Springer 2023.4 (ISBN : 9819909341) |
| 3. | ファイナンス・景気循環の計量分析
浅子, 和美, 渡部, 敏明 (Joint editor) ミネルヴァ書房 2011.12 (ISBN : 9784623060474) |
| 4. | ボラティリティ変動モデル
渡部, 敏明 (Sole author) 朝倉書店 2003.2 (ISBN : 9784254275049) |
Papers
| 1. | Bayesian estimation of realized GARCH-type models with application to financial tail risk management (Peer-reviewed) Cathy W.S. Chen, Toshiaki Watanabe, Edward M.H. Lin Econometrics and Statistics Vol.28,pp.30-46 2023.10 
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| 2. | Tail risk forecasting of realized volatility CAViaR models (Peer-reviewed) Cathy W.S. Chen, Hsiao-Yun Hsu, Toshiaki Watanabe Finance Research Letters Vol.51,pp.103326 2023.1
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| 3. | Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility (Peer-reviewed) Makoto Takahashi, Toshiaki Watanabe, Yasuhiro Omori Econometrics and Statistics 2021.8
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| 4. | Realized Stochastic Volatility Model : Extensions and Application to Japanese Stock Index (Peer-reviewed) 高橋慎, 大森裕浩, 渡部敏明 『統計数理』 Vol.68,No.1,pp.65-85 2020.6 
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| 5. | Heterogeneous Autoregressive モデルーサーベイと日経225 株価指数の実現ボラティリティへの応用ー
渡部 敏明 『広島経済大学経済研究論集』 Vol.42,No.3,pp.5-18 2020.3 |
| 6. | Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility (Peer-reviewed) Cathy W.S. Chen, Toshiaki Watanabe Applied Stochastic Models in Business and Industry Vol.35,No.3,pp.747-765 2019.6
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| 7. | Econometric Analysis of Japanese Exports Using a Time-Varying Parameter Vector Autoregressive Model (Peer-reviewed) Jouchi Nakajima, Toshiaki Watanabe Economic Review Vol.68,No.3,pp.237-249 2017.7
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| 8. | Bayesian Forecasting of Value-at-Risk Based on Variant Smooth Transition Heteroskedastic Models (Peer-reviewed) Cathy W. S. Chen, Monica M. C. Weng, Toshiaki Watanabe STATISTICS AND ITS INTERFACE Vol.10,No.3,pp.451-470 2017.1
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| 9. | Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (Peer-reviewed) Makoto Takahashi, Toshiaki Watanabe, Yasuhiro Omori INTERNATIONAL JOURNAL OF FORECASTING Vol.32,No.2,pp.437-457 2016.4
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| 10. | Evaluating the performance of futures hedging using multivariate realized volatility (Peer-reviewed) Masato Ubukata, Toshiaki Watanabe JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES Vol.38,pp.148-171 2015.12
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| 11. | A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise (Peer-reviewed) Daisuke Nagakura, Toshiaki Watanabe Journal of Financial Econometrics Vol.13,No.1,pp.45-82 2015.6
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| 12. | Stochastic Volatility and Realized Stochastic Volatility Models (Peer-reviewed) Yasuhiro Omori, Toshiaki Watanabe 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 2015.5 |
| 13. | Econometric Analysis of Business Cycles: A Survey with the Application to the Composite Index in Japan (Peer-reviewed) Tsunehiro Ishihara, Toshiaki Watanabe The Economic Review Vol.66,No.2,pp.145-168 2015.4
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| 14. | Pricing Nikkei 225 Options Using Realized Volatility (Peer-reviewed) Masato Ubukata, Toshiaki Watanabe Japanese Economic Review Vol.65,No.4,pp.431-467 2014.12
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| 15. | Market Variance Risk Premiums in Japan for Asset Predictability (Peer-reviewed) Masato Ubukata, Toshiaki Watanabe Empirical Economics Vol.47,No.1,pp.169-198 2014.8
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| 16. | アメリカにおける量的緩和の効果－実証分析のサーベイ－
渡部 敏明 『証券アナリストジャーナル』 Vol.52,No.4,pp.28-34 2014.4
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| 17. | Bayesian Analysis of Business Cycle in Japan using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution (Peer-reviewed) Toshiaki Watanabe 『経済研究』 Vol.65,No.2,pp.156-167 2014.4
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| 18. | News Impact Curve for Stochastic Volatility Models (Peer-reviewed) Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe ECONOMICS LETTERS Vol.120,No.1,pp.130-134 2013.7
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| 19. | Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data- (Peer-reviewed) Jouchi Nakajima, Toshiaki Watanabe The Economic Review (Keizai Kenkyu) Vol.63,No.3,pp.193-208 2012.7
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| 20. | Realized Stochastic Volatility Model : Bayesian Analysis Using Markov Chain Monte Carlo
Omori Yasuhiro, Watanabe Toshiaki 『日本統計学会誌』 Vol.42,No.2,pp.273-303 2012.6 |
| 21. | Quantile Forecasts of Financial Returns Using Realized GARCH Models (Peer-reviewed) Toshiaki Watanabe Japanese Economic Review Vol.63,No.1,pp.68-80 2012.3
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| 22. | 中原奨励賞受賞講演 MCMCのマクロ計量モデルへの応用
渡部 敏明 『景気とサイクル』 Vol.53,No.53,pp.63-72 2012.3 |
| 23. | Bayesian Analysis of Time-varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy (Peer-reviewed) Jouchi Nakajima, Munehisa Kasuya, Toshiaki Watanabe JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES Vol.25,No.3,pp.225-245 2011.9
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| 24. | Realized volatility: development of measuring volatility and application to risk management (jointly worked)
生方雅人, 渡部敏明 Security analysts journal Vol.49,No.8,pp.16-26 2011.8 |
| 25. | Dynamic General Equilibrium Model--A Survey with the Application to the Japanese Macroeconomic Date-- (Peer-reviewed) Ippei Fujiwara, Toshiaki Watanabe The Economic Review (Keizai Kenkyu) Vol.62,No.1,pp.66-93 2011.1
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| 26. | Applications of Gram-Charlier Expansion and Bond Moments for Pricing of Interest Rates and Credit Risk (Peer-reviewed) Keiichi Tanaka, Takeshi Yamada, Toshiaki Watanabe Quantitative Finance Vol.10,No.6,pp.645-662 2010.6
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| 27. | 日本の景気循環の構造変化
渡部 敏明 深尾京司 編 『バブル/デフレ期の日本経済と経済政策１－マクロ経済と産業構造－』慶應義塾大学出版会 pp.429-456 2009.9 |
| 28. | Testing Nonlinear Dependence of TOPIX Daily Returns Using GARCH Models and Realized Volatility (Peer-reviewed) Watanabe Toshiaki, Nagakura Daisuke Journal of the Japan Statistical Society Japanese issue Vol.39,No.1,pp.65-94 2009.9 |
| 29. | Econometric Analysis of Business Cycles in Japan Using Markov Switching Models (Peer-reviewed) Toshiaki Watanabe The Economic Review (Keizai Kenkyu) Vol.60,No.3,pp.253-265 2009.7
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| 30. | Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously (Peer-reviewed) Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe COMPUTATIONAL STATISTICS & DATA ANALYSIS Vol.53,No.6,pp.2404-2426 2009.4
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| 31. | 日本の株式市場におけるボラティリティの長期記憶性とオプション価格 (Peer-reviewed) 竹内明香, 渡部敏明 『現代ファイナンス』 Vol.24,No.24,pp.45-74 2008.9 |
| 32. | MCMC法とその確率的ボラティリティ変動モデルへの応用
大森裕浩, 渡部敏明 国友直人 監修・編, 山本拓 監修・編『21世紀の統計科学 I 社会・経済と統計科学』東京大学出版会 pp.223-266 2008.7 |
| 33. | Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (Peer-reviewed) Yasuhiro Omori, Toshiaki Watanabe COMPUTATIONAL STATISTICS & DATA ANALYSIS Vol.52,No.6,pp.2892-2910 2008.2
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| 34. | Realized Volatility－サーベイと日本の株式市場への応用 (Peer-reviewed) 渡部敏明 『経済研究』 Vol.58,No.4,pp.352-373 2007.10
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| 35. | Effects of the Bank of Japan's Intervention on Yen/Dollar Exchange Rate Volatility (Peer-reviewed) Toshiaki Watanabe, Kimie Harada Journal of the Japanese and International Economies Vol.20,pp.99-111 2006.4
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| 36. | Bayesian Analysis of a Markov Switching Stochastic Volatility Model (Peer-reviewed) Mai Shibata, Toshiaki Watanabe Journal of the Japan Statistical Society Vol.35,No.2,pp.205-219 2005.4
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| 37. | A Multi-move Sampler for Estimating Non-Gaussian Time Series Models: Comments on Shephard & Pitt (1997) (Peer-reviewed) Toshiaki Watanabe, Yasuhiro Omori Biometrika Vol.91,No.1,pp.246-248 2004.3
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| 38. | Bayesian Analysis of GARCH Option Pricing Models (jointly worked) (Peer-reviewed) Hidetoshi Mitsui, Toshiaki Watanabe Journal of the Japan Statistical Society Vol.33,No.3,pp.307-324 2003.12 |
| 39. | The estimation of dynamic bivariate mixture models: Reply to Liesenfeld and Richard comments (Peer-reviewed) T Watanabe JOURNAL OF BUSINESS & ECONOMIC STATISTICS Vol.21,No.4,pp.577-580 2003.10
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| 40. | Margin Requirements, Positive Feedback Trading, and Stock Return Autocorrelations: The Case of Japan (Peer-reviewed) Toshiaki Watanabe Applied Financial Economics Vol.12,No.6,pp.395-403 2002.6
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| 41. | Price Volatility, Trading Volume, and Market Depth: Evidence from the Japanese Stock Index Futures Market (Peer-reviewed) Toshiaki Watanabe Applied Financial Economics Vol.11,No.6,pp.651-658 2001.12
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| 42. | On sampling the degree-of-freedom of Student's- t disturbances (Peer-reviewed) Toshiaki Watanabe Statistics and Probability Letters Vol.52,No.2,pp.177-181 2001.4
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| 43. | 日本の商品先物市場における価格と出来高の変動：動学的2変量分布混合モデルによる分析
渡部敏明, 大森裕浩 先物取引研究 Vol.5,No.1,pp.111-130 2000.9 |
| 44. | Excess kurtosis of conditional distribution for daily stock returns: the case of Japan (Peer-reviewed) T Watanabe APPLIED ECONOMICS LETTERS Vol.7,No.6,pp.353-355 2000.6
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| 45. | Bayesian analysis of dynamic bivariate mixture models: Can they explain the behavior of returns and trading volume? (Peer-reviewed) T Watanabe JOURNAL OF BUSINESS & ECONOMIC STATISTICS Vol.18,No.2,pp.199-210 2000.4
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| 46. | A Nonlinear Filtering Approach to Stochastic Volatility Models with an Application to Daily Stock Returns (Peer-reviewed) Toshiaki Watanabe Journal of Applied Econometrics Vol.14,No.2,pp.101-121 1999.3
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Misc.
| 1. | 一橋大、72年ぶり新学部
渡部敏明 日本経済新聞朝刊 pp.27 2023.4 |
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| 2. | 新型コロナウイルス禍での日経平均株価のボラティリティと分散リスクプレミアム(2)
渡部敏明 日本取引所グループ『先物・オプションレポート』 Vol.33,No.3,pp.1-5 2021.3 |
| 3. | 新型コロナウイルス禍での日経平均株価のボラティリティと分散リスクプレミアム(1)
渡部敏明 日本取引所グループ『先物・オプションレポート』 Vol.33,No.2,pp.1-8 2021.2 |
| 4. | Stock Return Predictability and Variance Risk Premia around the ZLB
Toshiaki Ogawa, Masato Ubukata, Toshiaki Watanabe IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, 2020-E-9 2020.7 |
| 5. | 「ベイズ計量経済学へのいざない～入門から実践へ」第6回(ファイナンスやマクロ経済学への応用(2))
大森裕浩, 渡部敏明 『経済セミナー』 No.2019年2・3月号,pp.94-98 2019.1 |
| 6. | 日経 225 先物のリターン、ボラティリティ、出来高の日中周期性
渡部敏明 日本取引所グループ『先物・オプションレポート』 Vol.30,No.11,pp.1-10 2018.11 |
| 7. | 「ベイズ計量経済学へのいざない～入門から実践へ」第5回(ファイナンスやマクロ経済学への応用(1))
大森裕浩, 渡部敏明 『経済セミナー』 No.2018年12・2019年1月号 2018.11 |
| 8. | 「ベイズ計量経済学へのいざない～入門から実践へ」第4回(さまざまなミクロ計量経済モデル)
大森裕浩, 渡部敏明 『経済セミナー』 No.2018年10・11月号 2018.9 |
| 9. | 「ベイズ計量経済学へのいざない～入門から実践へ」第3回(シミュレーションで問題を解く)
大森裕浩, 渡部敏明 『経済セミナー』 No.2018年8・9月号 2018.7 |
| 10. | 「ベイズ計量経済学へのいざない～入門から実践へ」第2回(役に立つモデルとは)
大森裕浩, 渡部敏明 『経済セミナー』 No.2018年6・7月号 2018.5 |
| 11. | 「ベイズ計量経済学へのいざない～入門から実践へ」第1回(データを使って学習する)
大森裕浩, 渡部敏明 『経済セミナー』 No.2018年4・5月号 2018.3 |
| 12. | クリストファー・シムズ教授講演“Credit and Crises”解説
渡部 敏明 『経済セミナー』 No.2017年6・7月号,pp.51-55 2017.6
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| 13. | 日経225分散リスク・プレミアムの予測力
渡部 敏明 日本取引所『先物・オプションレポート』 Vol.28,No.11,pp.1-8 2016.11 |
| 14. | ルーカス批判とマクロ計量分析
渡部 敏明 『経済セミナー』増刊「進化する経済学の実証分析」日本評論社 pp.37-41 2016.9 |
| 15. | 経済指標・金融政策の公表が日本国債先物の日中流動性に与える影響
土田直司, 吉羽要直, 渡部敏明 日本取引所『先物・オプションレポート』 Vol.28,No.9,pp.1-6 2016.9 |
| 16. | The Intraday Market Liquidity of Japanese Government Bond Futures
Naoshi Tsuchida, Toshiaki Watanabe, Toshinao Yoshiba IMES Discussion Paper Series, 2106-E-7, Institute for Monetary and Economic Studies, Bank of Japan 2016.6 |
| 17. | 条件付き不均一分散の頑強推定の展望
渡部 敏明 北川源四郎・田中勝人・川崎能典監訳『時系列分析ハンドブック』朝倉書店 pp.137-170 2016.2 |
| 18. | Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management （共著）
Cathy W. S. Chen, Monica M, C. Weng, Toshiaki Watanabe Discussion Paper, HIAS-E-16, Hitotsubashi Institute for Advanced Studies 2015.12 |
| 19. | 分散リスク・プレミアム
渡部 敏明 日本取引所グループ『先物・オプションレポート』 Vol.26,No.9,pp.1-7 2014.9 |
| 20. | モデル・フリー・インプライド・ボラティリティの計算方法について
渡部 敏明 大阪証券取引所『先物オプションレポート』 Vol.25,No.7 2013.7 |
| 21. | 条件付分散モデリング
渡部 敏明 刈屋武昭・前川功一・矢島美寛・福地純一郎・川崎能典（編）『経済時系列分析ハンドブック』朝倉書店 pp.143-157 2012.10 |
| 22. | 資産収益率のモデル
渡部 敏明 刈屋武昭・前川功一・矢島美寛・福地純一郎・川崎能典（編）『経済時系列分析ハンドブック』朝倉書店 pp.413-430 2012.10 |
| 23. | Realized GARCHモデル
渡部 敏明 大阪証券取引所『先物オプションレポート』 Vol.23,No.8,pp.1-6 2011.8 |
| 24. | Bayesian Analysis of Time-varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy
Jouchi Nakajima, Toshiaki Watanabe Global COE Hi-Stat Discussion Paper Series, Hitotsubashi University Vol.196 2011.7 |
| 25. | Realized Volatilityのモデル化とオプション価格
渡部 敏明 大阪証券取引所『先物オプションレポート』 Vol.22,No.11,pp.1-5 2010.11 |
| 26. | 日経225のRealized Volatility－マイクロストラクチャ・ノイズと昼休み・夜間の調整
渡部 敏明 大阪証券取引所『先物オプションレポート』 Vol.22,No.2,pp.1-7 2010.2 |
| 27. | DSGE-VARモデルの日本のマクロデータへの応用
渡部 敏明 ESRI Discussion Paper Series Vol.225-J 2009.10 |
| 28. | Bayesian analysis of an asymmetric stochastic volatility model
渡部 敏明, 大森 裕浩 日本統計学会講演報告集 Vol.70,pp.45-46 2002.9 |
Presentations
| No. | Name of subject/Conference Name | Year | Site |
|---|---|---|---|
| 1. | Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility(The 25th International Conference on Computational Statistics (COMPSTAT 2023)) |
Holding date :
2023.8.23
- 2023.8.25 Presentation date : 2023.8.22 |
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| 2. | Time-varying parameter heterogeneous autoregressive model with stochastic volatility(The 6th International Conference on Econometrics and Statistics (EcoSta 2023)) |
Holding date :
2023.8.1
- 2023.8.3 Presentation date : 2023.8.1 |
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| 3. | ソーシャル・データサイエンス(ビジネス+IT Webセミナー DX時代のデータ活用・分析 2023 夏) |
Holding date :
2023.6.30 Presentation date : 2023.6.30 |
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| 4. | 一橋大学ソーシャル・データサイエンス学部・研究科の概要(データサイエンティスト・ジャパン2023) |
Holding date :
2023.3.31 Presentation date : 2023.3.31 |
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| 5. | High-Frequency Realized Stochastic Model(Seminar on Data Analytics and Risk Managemen) |
Holding date :
2022.6.15 Presentation date : 2022.6.15 |
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| 6. | High-frequency realized stochastic volatility model(The 11th Conference of the IASC-ARS, The Asian Regional Section of the International Association for Statistical Computing (IASC-ARS 2022)) |
Holding date :
Presentation date : 2022.2.23 |
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| 7. | Stochastic volatility models with time-varying leverage effect(The 15th International Conference on Computational and Financial Econometrics (CFE 2021)) |
Holding date :
Presentation date : 2021.12.19 |
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| 8. | Realized stochastic volatility models with skew t distributions(The 15th International Conference on Computational and Financial Econometrics (CFE 2021)) |
Holding date :
Presentation date : 2021.12.19 |
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| 9. | High-frequency realized stochastic volatility model(Insper Data Science and Decision Seminar Series) |
Holding date :
Presentation date : 2021.12.2 |
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| 10. | データ・サイエンスの発展とファイナンス研究の方向性(ファイナンス・ワークショップ) |
Holding date :
Presentation date : 2021.11.5 |
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| 11. | High-frequency realized stochastic volatility model(HSI2021-The 7th Hitotsubashi Summer Institute, Macro- and Financial Econometrics) |
Holding date :
Presentation date : 2021.8.31 |
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| 12. | High-frequency realized stochastic volatility model(The 4th International Conference on Econometrics and Statistics (EcoSta 2021)) |
Holding date :
Presentation date : 2021.6.24 |
Zoom (Hong Kong University of Science and Technology, Hong Kong) |
| 13. | Stochastic volatility models with time-varying leverage effect(The 4th International Conference on Econometrics and Statistics (EcoSta 2021)) |
Holding date :
Presentation date : 2021.6.24 |
Zoom (Hong Kong University of Science and Technology, Hong Kong) |
| 14. | High-frequency realized stochastic volatility model(Applied Time Series Econometrics Workshop) |
Holding date :
Presentation date : 2021.4.9 |
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| 15. | High-frequency realized stochastic volatility model (Special Invited Session “Advances in Bayesian analysis and applications”)(The 14th International Conference on Computational and Financial Econometrics (CFE 2020)) |
Holding date :
Presentation date : 2020.12.19 |
Zoom (King’s College, London) |
| 16. | High-frequency Realized Stochastic Volatility Model(HSI2020－6th Hitotsubashi Summer Institute) |
Holding date :
Presentation date : 2020.10.31 |
Zoom (Hitotsubashi Institute for Advanced Study, Hitotsubashi University) |
| 17. | High-frequency Stochastic Volatility Models(HSI2019-5th Hitotsubashi Summer Institute) |
Holding date :
Presentation date : 2019.8.3 |
Hitotsubashi University, Kunitachi, Japan |
| 18. | Intraday Range-based Stochastic Volatility Models with Application to the Japanese Stock Index(The 4th Eastern Asia Chapter Meeting on Bayesian Statistics, EAC-ISBA2019) |
Holding date :
Presentation date : 2019.7.13 |
Kobe University, Kobe, Japan |
| 19. | Intraday Range-Based Stochastic Volatility Models with Application to the Japanese Stock Index(3rd International Conference on Econometrics and Statistics (EcoSta 2019)) |
Holding date :
Presentation date : 2019.6.25 |
National Chung Hsing University |
| 20. | High-frequency Stochastic Volatility Models for the Japanese Stock Index(International Workshop on “One Belt & One Road”) |
Holding date :
Presentation date : 2019.3 |
青山学院大学青山キャンパス |
| 21. | High-frequency Stochastic Volatility Models for the Japanese Stock Index(The 12th International Conference on Computational and Financial Econometrics (CFE 2018)) |
Holding date :
Presentation date : 2018.12 |
University of Pisa,Italy |
| 22. | High-frequency Stochastic Volatility Models for the Japanese Stock Index(ベイズ計量経済分析研究集会) |
Holding date :
Presentation date : 2018.11 |
関西学院大学大阪梅田キャンパス |
| 23. | Bayesian Analysis of Time-Varying Heterogeneous Autoregressive Models(2018 ISBA World Meeting) |
Holding date :
Presentation date : 2018.6 |
University of Edinburgh, UK |
| 24. | Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk(Workshop “Financial/Economic Analytics”) |
Holding date :
Presentation date : 2018.3.9 |
Hung Hom Bay Campus, The Hong Kong Polytechnic University SPEED |
| 25. | Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk(一橋大学経済研究所共同利用・共同研究拠点プロジェクト研究集会「高頻度データを用いた資産価格の計量分析」) |
Holding date :
Presentation date : 2018.2.10 |
一橋大学経済研究所 |
| 26. | Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk(マクロ研究会) |
Holding date :
Presentation date : 2018.1.25 |
学習院大学 |
| 27. | Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk(計量経済学セミナー) |
Holding date :
Presentation date : 2018.1.16 |
慶應義塾大学 |
| 28. | 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)) |
Holding date :
Presentation date : 2017.12.16 |
Senate House, University of London, UK |
| 29. | Bayesian Estimation of Time-varying Price Impact in Financial Markets Using Intraday Data(The International Society for Bayesian Analysis (ISBA) 2016 World Meeting) |
Holding date :
Presentation date : 2016.6.14 |
Forte Village Resort Convention Center Sardinia, Italy |
| 30. | Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(Seminar at the Department of Statistics, Feng Chia University, Taichung, Taiwan) |
Holding date :
Presentation date : 2016.4.22 |
Feng Chia University, Taichung, Taiwan |
| 31. | The Predictability of the Market Variance Risk Premium in Japan(Seminar at the Department of Economics, Feng Chia University, Taichung, Taiwan) |
Holding date :
Presentation date : 2016.4.21 |
Feng Chia University, Taichung, Taiwan |
| 32. | The Predictability of the Market Variance Risk Premium in Japan(Computational and Financial Econometrics) |
Holding date :
Presentation date : 2015.12.13 |
University of London, London, UK |
| 33. | Stock Return Predictability of the Market Variance Risk Premium in Japan(Hitotsubashi Summer Institute Workshop "Frontiers in Financial Econometrics") |
Holding date :
Presentation date : 2015.8.5 |
Hitotsubashi University, Tokyo, Japan |
| 34. | Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(Computational and Financial Econometrics) |
Holding date :
Presentation date : 2014.12.6 |
University of Pisa, Pisa, Italy |
| 35. | Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(China Meeting of Econometric Society) |
Holding date :
Presentation date : 2014.6.25 |
Xiamen University, Xiamen, China |
| 36. | Bayesian Analysis of Business Cycle in Japan Using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution(研究集会「マクロ計量経済分析の最新の展開」) |
Holding date :
Presentation date : 2014.3.22 |
長崎県立大学佐世保キャンパス |
| 37. | DSGE-VARモデルについて(広島経済大学ファイナンス時系列研究会) |
Holding date :
Presentation date : 2014.3.3 |
広島経済大学立町キャンパス |
| 38. | Modelling the Dynamics of Realized Volatility: Long Memory or Smooth Transition?(Workshop on High-frequency data and Financial Econometrics) |
Holding date :
Presentation date : 2014.2.10 |
一橋大学経済研究所 |
| 39. | 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) |
Holding date :
Presentation date : 2013.12.15 |
Duke University, Durham, NC, USA |
| 40. | 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) |
Holding date :
Presentation date : 2013.12.6 |
National Sun Yat-sen University, Kaohsiung, Taiwan |
| 41. | 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) |
Holding date :
Presentation date : 2013.8.21 |
Yonsei University |
| 42. | 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) |
Holding date :
Presentation date : 2013.6.27 |
European University Institute, Florence, Italy |
| 43. | Bayesian Analysis of Business Cycles in Japan Using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution(International Conference "Frontiers in Macroeconometrics") |
Holding date :
Presentation date : 2013.3.1 |
Hitotsubashi University, Tokyo |
| 44. | Bayesian Analysis of Multiple Structural Changes in ARFIMA Models with an Application to Realized Volatility(一橋大学経済研究所共同利用・共同研究拠点事業プロジェクト研究集会「高頻度データを用いた資産市場のミクロ構造とボラティリティの計量分析」) |
Holding date :
Presentation date : 2013.2.5 |
一橋大学 |
| 45. | Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(ISBA Regional Meeting) |
Holding date :
Presentation date : 2013.1.8 |
Banaras Hindu University, Varanasi, India |
| 46. | Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution(6th CSDA International Conference on Computational and Financial Econometrics (CFE12)) |
Holding date :
Presentation date : 2012.12.3 |
Conference Center, Oviedo, Spain |
| 47. | 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") |
Holding date :
Presentation date : 2012.11.16 |
Hiroshima University of Economics, Hiroshima |
| 48. | Realized Stochastic Volatility モデル－日次リターンとRealized Volatilityの同時モデル化(2012年度統計関連学会連合大会) |
Holding date :
Presentation date : 2012.9.10 |
北海道大学 |
| 49. | 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)) |
Holding date :
Presentation date : 2012.6.28 |
Kyoto Terrsa, Kyoto |
| 50. | 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") |
Holding date :
Presentation date : 2012.3.17 |
Hiroshima University of Economics Tatemachi Campus, Hiroshima |
| 51. | 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) |
Holding date :
Presentation date : 2011.12.20 |
Feng Chia University, Taichung, Taiwan |
| 52. | 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) |
Holding date :
Presentation date : 2011.12.16 |
Academia Sinica, Taipei, Taiwan |
| 53. | MCMCのマクロ計量モデルへの応用(景気循環学会（中原奨励賞受賞記念講演）) |
Holding date :
Presentation date : 2011.11.19 |
東洋経済ビル、東京 |
| 54. | Estimating Realized GARCH Models with Different Volatility Measures(The Second International Conference "High Frequency Data Analysis in Financial Markets") |
Holding date :
Presentation date : 2011.10.28 |
Osaka University Nakanoshima Center, Osaka |
| 55. | 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) |
Holding date :
Presentation date : 2011.8.23 |
Norges Bank, Oslo, Norway |
| 56. | Quantile Forecasts of Financial Returns Using Realized GARCH Models(Stanford Institute for Theoretical Economics Summer 2011 Workshop) |
Holding date :
Presentation date : 2011.6.20 |
Stanford University, Stanford, CA, USA |
| 57. | 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)) |
Holding date :
Presentation date : 2011.5.25 |
Seoul National University, Seoul, Korea |
| 58. | Value-at-Risk Using Realized GARCH Models(日本経済学会2011年度春季大会) |
Holding date :
Presentation date : 2011.5.21 |
熊本学園大学、熊本 |
| 59. | マクロ動学一般均衡モデル－サーベイと日本のマクロデータへの応用(内閣府経済社会総合研究所セミナー) |
Holding date :
Presentation date : 2011.3.4 |
|
| 60. | Pricing Nikkei 225 Options Using Realized Volatility(日本大学経済学部セミナー) |
Holding date :
Presentation date : 2011.1.25 |
|
| 61. | Pricing Nikkei 225 Options Using Realized Volatility(計量経済学・計量ファイナンス研究集会) |
Holding date :
Presentation date : 2010.12.23 |
広島経済大学立町キャンパス |
| 62. | A New Method for the Evaluation of Dynamic Stochastic General Equilibrium Models(4th CSDA International Conference on Computational and Financial Econometrics (CFE'10)) |
Holding date :
Presentation date : 2010.12.10 |
University of London, UK |
| 63. | 動学的マクロモデルの計量分析(日本経済学会2010 年度春季大会) |
Holding date :
Presentation date : 2010.6.5 |
千葉大学 |
| 64. | Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility(International Workshop on Bayesian Econometrics and Statistics) |
Holding date :
Presentation date : 2010.2.4 |
University of Tokyo |
| 65. | Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy(Globa COE Hi-Stat) |
Holding date :
Presentation date : 2009.9.15 |
一橋大学 |
| 66. | DSGEモデルとVARモデルの計量分析－MCMCのマクロ金融政策への応用(2009年度統計関連学会連合大会チュートリアルセッション) |
Holding date :
Presentation date : 2009.9.6 |
|
| 67. | Bayesian analysis of structural changes in ARFIMA models with an application to realized volatility(Japan Statistical Society) |
Holding date :
Presentation date : 2007.9.1 |
神戸 |
Awards
| No. | Award name | Year |
|---|---|---|
| 1. | 日本統計学会研究業績賞 | 2012.9 |
| 2. | 景気循環学会中原奨励賞 | 2011.11 |
Research Projects
| No. | Research subject | Research item(Awarding organization, System name) | Year |
|---|---|---|---|
| 1. | The construction of new uncertainty indicators and theoretical and econometric analysis of their impact on financial markets and the macroeconomy
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research ) |
2023.4 - 2028.3 |
| 2. | Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency data
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2020.4 - 2023.3 |
| 3. | New developments in high-dimensional data modeling and statistical risk analysis
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2019.4 - 2024.3 |
| 4. | Building New Macroeconometric Models with Applications to Economic Forecasting Using Big Data
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2017.4 - 2020.3 |
| 5. | Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behavior
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2014.4 - 2019.3 |
| 6. | Japan's Current Account Dynamics in the Time of Population Aging and Decline
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2013.10 - 2017.3 |
| 7. | Statistical inference and empirical analysis of high frequency market data
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2013.4 - 2016.3 |
| 8. | Financial Engineering to ERM: Theoretical and Empirical Investigation
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2012.10 - 2016.3 |
| 9. | Issues related to financial risk measurement and its statistical inference
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2010.4 - 2012.3 |
| 10. | Econometric Analysis of Macroeconomic Policy under Financial Crisis
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2010.4 - 2012.3 |
| 11. | Bayesian econometric analysis of financial risk and economic behavior
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2009.4 - 2014.3 |
| 12. | ＤＳＧＥ-ＶＡＲモデルの日本のマクロデータへの応用
|
( Awarding organization: 内閣府経済社会総合研究所 System name: 共同研究（国際共同研究） ) |
2008.4 - 2009.3 |
| 13. | Synthetic Studies on Business Cycle and Economic Growth-Construction of Business Cycle Models and Empirical Analysis of Japanese Economy
|
Grant-in-Aid for Scientific Research (S)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (S) ) |
2006.4 - 2010.3 |
| 14. | Econometric Analysis of Securities Markets in Japan Using High-frequency Data
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2006.4 - 2008.3 |
| 15. | Bayesian econometric analysis of semiparametirc model
|
Grant-in-Aid for Scientific Research (B)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (B) ) |
2006.4 - 2007.3 |
| 16. | 高頻度データを用いた日本の証券市場の計量分析
|
( Awarding organization: 日本学術振興会 System name: 科学研究費助成事業 ) |
2006 - 2008 |
| 17. | Statistical Analysis of Structure using Latent Variable Model
|
Grant-in-Aid for Scientific Research (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A) ) |
2003.4 - 2006.3 |
| 18. | Statistical inference for nonlinear dynamic model by Markov chain Monte Carlo method
|
Grant-in-Aid for Scientific Research (C)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C) ) |
2003.4 - 2004.3 |
| 19. | Econometric Analysis of Stock Markets in Japan using Models of Changing Volatility
|
Grant-in-Aid for Scientific Research (C)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C) ) |
2003.4 - 2004.3 |
| 20. | Option price evaluation when volatility changes stochastically
|
Grant-in-Aid for Encouragement of Young Scientists (A)
( Awarding organization: Japan Society for the Promotion of Science System name: Grants-in-Aid for Scientific Research Grant-in-Aid for Encouragement of Young Scientists (A) ) |
1998.4 - 1999.3 |
