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J-GLOBAL ID：202101004235149167   Update date: Feb. 01, 2024

Takahashi Makoto

タカハシ マコト | Takahashi Makoto
Affiliation and department：
Hosei University Faculty of Business Administration Department of Business Strategy

About Hosei University Faculty of Business Administration Department of Business Strategy


Job title： Associate Professor
Research field  (4)： Money and finance ,  Economic statistics ,  Economic statistics ,  Money and finance
Research keywords  (7)： Markov Chain Monte Carlo ,  Financial Econometrics ,  Bayesian Statistics ,  liquidity ,  Markov chain Monte Carlo ,  high frequency data ,  volatility
Research theme for competitive and other funds  (5)：
  • 2019 - 2024 高次元データモデリングの新展開と統計的リスク分析
  • 2016 - 2021 Statistical inference and empirical study on the measurement of risk and its propagation
  • 2015 - 2019 Econometrics Analysis of Financial Markets with High Frequency Data
  • 2014 - 2019 Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behavior
  • 2008 - 2008 金融資産価格の高頻度データを用いた時系列モデルによる市場リスクの推定
Papers (8)：
  • Makoto Takahashi, Toshiaki Watanabe, Yasuhiro Omori. Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. Econometrics and Statistics. 2021
  • Takaki Hayashi, Makoto Takahashi. On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach. JAPANESE JOURNAL OF STATISTICS AND DATA SCIENCE. 2021. 4. 1. 697-730
  • Realized Stochastic Volatility Model : Extensions and Application to Japanese Stock Index. 2020. 68. 1. 65-85
  • Makoto Takahashi, Toshiaki Watanabe, Yasuhiro Omori. Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution. INTERNATIONAL JOURNAL OF FORECASTING. 2016. 32. 2. 437-457
  • Takahashi Makoto. Smooth Transition Realized Stochastic Volatility Model. Journal of the Japan Statistical Society, Japanese Issue. 2014. 44. 1. 41-60
ｍore...
MISC (3)：
  • 高橋慎. 価格インパクトの日中変動. 先物・オプションレポート. 2019. 31. 10. 1-5
  • 高橋慎. J-GATE稼働と日経225先物市場の日中流動性. 先物・オプションレポート. 2018. 30. 3. 1-5
  • 高橋慎. 注文フロー不均衡と価格インパクト. 先物・オプションレポート. 2016. 28. 4. 1-5
Education (3)：
  • - 2015 Northwestern University Kellogg School of Management Finance
  • 2005 - 2007 The University of Tokyo
  • 2001 - 2005 Tokyo Metropolitan University
Work history (2)：
  • 2015/04 - 2018/03 大阪大学 経済学研究科 専任講師
  • 2013/05 - 2015/03 大阪大学 金融・保険教育研究センター 助教
Committee career (1)：
  • 2021/06 - 2023/05 The Japan Statistical Society PR committee
Association Membership(s) (5)：
Computational and Financial Econometrics ,  The Computational and Financial Econometrics (CFEnetwork) ,  The Society for Financial Econometrics (SoFiE) ,  Nippon Finance Association ,  The Japan Statistical Society
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