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J-GLOBAL ID：200901041340007120   Update date: Feb. 01, 2024

Watanabe Toshiaki

ワタナベ トシアキ | Watanabe Toshiaki
Affiliation and department：
Hitotsubashi University Graduate School of S

About Hitotsubashi University Graduate School of S


Job title： Professor
Other affiliations (1)：
  • Bank of Japan  Institute for Economic Studies   Individual office commission
Homepage URL  (2)： https://www.sds.hit-u.ac.jp/faculty/toshiaki-watanabe/ ,  https://www.sds.hit-u.ac.jp/en/faculty/toshiaki-watanabe/
Research field  (2)： Money and finance ,  Economic statistics
Research keywords  (8)： Financial risk management ,  Markov switching ,  volatility ,  Bayesian inference ,  High-frequency data ,  VAR ,  MCMC ,  DSGE
Research theme for competitive and other funds  (20)：
  • 2023 - 2028 The construction of new uncertainty indicators and theoretical and econometric analysis of their impact on financial markets and the macroeconomy
  • 2019 - 2024 New developments in high-dimensional data modeling and statistical risk analysis
  • 2020 - 2023 Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency data
  • 2017 - 2020 Building New Macroeconometric Models with Applications to Economic Forecasting Using Big Data
  • 2014 - 2019 Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behavior
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Papers (46)：
  • Cathy W.S. Chen, Toshiaki Watanabe, Edward M.H. Lin. Bayesian estimation of realized GARCH-type models with application to financial tail risk management. Econometrics and Statistics. 2023. 28. 30-46
  • Cathy W.S. Chen, Hsiao-Yun Hsu, Toshiaki Watanabe. Tail risk forecasting of realized volatility CAViaR models. Finance Research Letters. 2023. 51. 103326-103326
  • Makoto Takahashi, Toshiaki Watanabe, Yasuhiro Omori. Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. Econometrics and Statistics. 2021
  • Realized Stochastic Volatility Model : Extensions and Application to Japanese Stock Index. 2020. 68. 1. 65-85
  • 渡部 敏明. 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. 『広島経済大学経済研究論集』. 2020. 42. 3. 5-18
ｍore...
MISC (28)：
  • 渡部敏明. 一橋大、72年ぶり新学部. 日本経済新聞朝刊. 2023. 27-27
  • 渡部敏明. 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). 日本取引所グループ『先物・オプションレポート』. 2021. 33. 3. 1-5
  • 渡部敏明. 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). 日本取引所グループ『先物・オプションレポート』. 2021. 33. 2. 1-8
  • Toshiaki Ogawa, Masato Ubukata, Toshiaki Watanabe. Stock Return Predictability and Variance Risk Premia around the ZLB. IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, 2020-E-9. 2020
  • 大森裕浩, 渡部敏明. 「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)). 『経済セミナー』. 2019. 2019年2・3月号. 94-98
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Books (4)：
  • 日本の物価・資産価格 : 価格ダイナミクスの解明
    東京大学出版会 2023 ISBN:9784130403108
  • Stochastic Volatility and Realized Stochastic Volatility Models (SpringerBriefs in Statistics)
    Springer 2023 ISBN:9819909341
  • ファイナンス・景気循環の計量分析
    ミネルヴァ書房 2011 ISBN:9784623060474
  • ボラティリティ変動モデル
    朝倉書店 2003 ISBN:9784254275049
Lectures and oral presentations  (67)：
  • Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility
    (The 25th International Conference on Computational Statistics (COMPSTAT 2023) 2023)
  • Time-varying parameter heterogeneous autoregressive model with stochastic volatility
    (The 6th International Conference on Econometrics and Statistics (EcoSta 2023) 2023)
  • 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 2023)
  • 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 2023)
  • High-Frequency Realized Stochastic Model
    (Seminar on Data Analytics and Risk Managemen 2022)
ｍore...
Education (3)：
  • 1988 - 1993 Yale University Graduate School of Economics
  • 1986 - 1988 The University of Tokyo Graduate School of Economics
  • - 1986 The University of Tokyo Faculty of Economics Economics
Professional career (2)：
  • Ph.D. (Economics) (Yale University)
  • Bachelar (Economics) (The University of Tokyo)
Work history (10)：
  • 2023/11 - 現在 Hitotsubashi University Graduate School of So Professor
  • 2006/04 - 現在 Bank of Japan Institute for Economic Studies Individual office commission
  • 2020/10 - 2023/03 Director, Center for the Promotion of Social Data Science Education and Research, Hitotsubashi University
  • 2020/04 - 2023/03 Assistant to the President for Research and Education on Social Data Science, Hitotsubashi UniversityHitotsubashi University
  • 2006/04 - 2023/03 Hitotsubashi University Institute of Economic Research Professor
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Awards (2)：
  • 2012/09 - 日本統計学会 日本統計学会研究業績賞
  • 2011/11 - 景気循環学会 景気循環学会中原奨励賞
Association Membership(s) (7)：
International Society for Bayesian Analysis ,  International Statistical Institute ,  Japan Association of Business Cycle Studies ,  Japanese Association of Financial Engineering and Econometrics ,  Japanese Economic Association ,  Nippon Finance Association ,  Japan Statistical Society
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