WATANABE Toshiaki 渡部敏明

… Alternative Names

渡部敏明ワタナベトシアキ

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Researcher Number	90254135
Other IDs
External Links
Affiliation (Current)	2025: 一橋大学, 大学院ソーシャル・データサイエンス研究科, 教授
Affiliation (based on the past Project Information) *help	2023 – 2024: 一橋大学, 大学院ソーシャル・データサイエンス研究科, 教授 2006 – 2022: Hitotsubashi University, Economic Research Institute, Professor, 経済研究所, 教授 2007: 一橋大, 経済研究所, 教授 2003 – 2004: 東京都立大学, 経済学部, 教授 1998 – 1999: 東京都立大学, 経済学部, 助教授
Review Section/Research Field	Principal Investigator Medium-sized Section 7:Economics, business administration, and related fields / Economic policy / Public finance/Monetary economics / Economic statistics Except Principal Investigator Economic statistics / Medium-sized Section 7:Economics, business administration, and related fields / Statistical science / Economic policy / Economic theory
Keywords	Principal Investigator GARCH / ボラティリティ / マクロ経済 / Realized Volatility / 高頻度データ / 確率的ボラティリティ変動モデル / 金融・財政政策 / Multi-move sampler / 金融政策 / ベイズ推定 … More / DSGE / 非同時取引 / 資産収益率 / Realized Covariance / ARFIMA / オプション / マルコフ連鎖モンテカルロ法 / 取引高 / 金融 / 気候変動 / 新型コロナウイルス / テキストデータ / 金融市場 / 自然災害 / 不確実性 / 早期警戒指標 / 計量経済学 / マクロ経済学 / 資産価格の高頻度データ / VAR / 財政政策 / 経済予測 / マクロ計量分析 / Trading Volume / Option / Bayesian Estimation / Markov Chain Monte Carlo / Stochastic Volatility Model / Volatility / マルコフ連鎖モンテカルロ / 可変パラメータVAR / 地価 / バブル / 為替レート / マルコフスイッチングモデル / 時変VARモデル / 可変パラメータ VAR / リーマンショック / ゼロ金利 / MCMC / 長期記徳性 / ARFINA / Realized Vblatility / 構造変化 / マイクロストラクチャ・ノイズ / 非同期取引 / 長期記憶性 / 動学的2変量分布混合モデル / オプション価格 / 資産価格 / 非線形フィルター / 2変量分布混合モデル … More Except Principal Investigator マルコフ連鎖モンテカルロ法 / 高頻度データ / 潜在変数 / 確率的ボラティリティ / ボラティリティ / 実現ボラティリティ / 確率的ボラティリティ変動モデル / ベイズ統計学 / ベイズ推定 / ベイジアン・アプローチ / Markov chain Monte Carlo / ポートフォリオ最適化 / リスク管理 / 計量経済学 / Realized Volatility / 金融リスク / 計量ファイナンス / 統計的学習 / 非線形計量経済モデル / 統計的リスク / 統計的リスク分析 / マルコフ連鎖モンテカルロ法統 / 高次元データ / 因子モデル / ランダム回答法 / 統計的リスク管理 / 倒産確率 / 時系列 / ﾌﾗｸｼｮﾅﾙ・ﾌﾞﾗｳﾝ運動 / フラクショナル・ブラウン運動 / 統合リスク管理 / 統合的リスク管理（ERM） / 総合的リスク管理(ERM) / ビッグデータ / 構造変化 / コピュラ / 計量的リスク管理 / 統合的リスク管理 / 金融工学 / Ultra high frequency data / Realized Volatjlity / Endogenous switching model / Sample selection model / Latent variable / Stochastic volatility / Bayesian Statistics / カウントデータ / ボラティリティ変動モデル / マルコフ切替モデル / 確率的フロンティアモデル / サンプル・セレクションモデル / 内生的スイッチングモデル / サンプルセレクションモデル / Random effect / Bayesian approach / Dynamic Model / Stochastic volatility model / latent variable / 非線形モデル / 変量効果 / ダイナミックモデル / 確率的ボラティリティモデル / state space model / panel data analysis / model selection / Markov chain Monte Carlo Method / hierarchical model / Bayes estimation / spatio-temporal model / latent variable model / 隠れマルコフモデル / 多変量GARCHモデル / ダイナック・ファクター・モデル / マーケッティング・モデル / 状態空間モデル / パネルデータ分析 / モデル選択 / マルコフ連鎖モンテカルロ / 階層モデル / 時空間モデル / 潜在変数モデル / 長期記憶性 / マルコフスイッチング / 一般化双曲非対称t分布 / 日本経済論 / 経済政策 / 家計調査 / 企業の金融行動 / 家計の金融行動 / ISバランス / 石油価格 / ベクトル自己回帰モデル / 少子高齢化 / 貯蓄投資バランス / 為替レート / 経常収支 / 市場流動性 / 高頻度データ解析 / 極値 / 分位点回帰 / DSGEモデル / ペイズ統計学 / 信用リスク / Stochastic Volatility / ベイズ分析 / モンテカルロ法 / マルコフ連鎖 / ニュースインパクト曲線 / 近似ベイズ計算 / 水道需要関数 / 分位点回帰モデル / 為替変動 / 景気予測モデル / 景気の伝播 / 為替予測 / アメリカ・ヨーロッパ・東アジア / マクロ経済 / 景気循環モデル / リーマン・ショック / 景気の跛行性 / 景気の連動性 / 世界同時不況 / 世界金融危機 / 景気対策 / 景気指標 / 景気動向指数 / 経済制度 / 景気判断モデル / 景気予測 / 景気基準日付 / 景気伝播 / 景気循環 / マクロ経済学 Less

New developments in nonlinear econometric models using statistical learning and their applications to risk evaluations
- Principal Investigator
  
  大森裕浩
- Project Period (FY)
  2024 – 2026
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  The University of Tokyo
The construction of new uncertainty indicators and theoretical and econometric analysis of their impact on financial markets and the macroeconomyPrincipal Investigator
- Principal Investigator
  
  渡部敏明
- Project Period (FY)
  2023 – 2027
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  Hitotsubashi University
Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency dataPrincipal Investigator
- Principal Investigator
  
  WATANABE Toshiaki
- Project Period (FY)
  2020 – 2022
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  Hitotsubashi University
New developments in high dimensional data modeling and statistical risk analysis
- Principal Investigator
  
  Omori Yasuhiro
- Project Period (FY)
  2019 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  The University of Tokyo
Building New Macroeconometric Models with Applications to Economic Forecasting Using Big DataPrincipal Investigator
- Principal Investigator
  
  WATANABE Toshiaki
- Project Period (FY)
  2017 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic policy
- Research Institution
  Hitotsubashi University
Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behavior
- Principal Investigator
  
  Omori Yasuhiro
- Project Period (FY)
  2014 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
Statistical inference and empirical analysis of high frequency market data
- Principal Investigator
  
  OYA KOSUKE
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
Japan's Current Account Dynamics in the Time of Population Aging and Decline
- Principal Investigator
  
  IWAISAKO TOKUO
- Project Period (FY)
  2013 – 2016
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic policy
- Research Institution
  Hitotsubashi University
Financial Engineering to ERM: Theoretical and Empirical Investigation
- Principal Investigator
  
  SHIBA Tsunemasa
- Project Period (FY)
  2012 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University
Issues related to financial risk measurement and its statistical inference
- Principal Investigator
  
  OYA Kosuke
- Project Period (FY)
  2010 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Osaka University
Econometric Analysis of Macroeconomic Policy under Financial CrisisPrincipal Investigator
- Principal Investigator
  
  WATANABE Toshiaki
- Project Period (FY)
  2010 – 2012
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic policy
- Research Institution
  Hitotsubashi University
Bayesian econometric analysis of financial risk and economic behavior
- Principal Investigator
  
  OMORI YASUHIRO
- Project Period (FY)
  2009 – 2013
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
Synthetic Studies on Business Cycle and Economic Growth-Construction of Business Cycle Models and Empirical Analysis of Japanese Economy
- Principal Investigator
  
  ASAKO Kazumi
- Project Period (FY)
  2006 – 2010
- Research Category
  
  Grant-in-Aid for Scientific Research (S)
- Research Field
  
  Economic theory
- Research Institution
  Hitotsubashi University
Econometric Analysis of Securities Markets in Japan Using High-frequency DataPrincipal Investigator
- Principal Investigator
  
  WATANABE Toshiaki
- Project Period (FY)
  2006 – 2008
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Hitotsubashi University
高頻度データを用いた日本の証券市場の計量分析Principal Investigator
- Principal Investigator
  
  渡部敏明
- Project Period (FY)
  2006 – 2008
- Research Institution
  Hitotsubashi University
Bayesian econometric analysis of semiparametirc model
- Principal Investigator
  
  OMORI Yasuhiro
- Project Period (FY)
  2006 – 2007
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
Statistical Analysis of Structure using Latent Variable Model
- Principal Investigator
  
  WAGO Hajime
- Project Period (FY)
  2003 – 2006
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Statistical science
- Research Institution
  Nagoya University
Statistical inference for nonlinear dynamic model by Markov chain Monte Carlo method
- Principal Investigator
  
  OMORI Yasuhiro
- Project Period (FY)
  2003 – 2004
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Statistical science
- Research Institution
  The University of Tokyo
Econometric Analysis of Stock Markets in Japan using Models of Changing VolatilityPrincipal Investigator
- Principal Investigator
  
  WATANABE Toshiaki
- Project Period (FY)
  2003 – 2004
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Tokyo Metropolitan University
ボラティリティが確率的に変動する場合のオプション価格の評価Principal Investigator
- Principal Investigator
  
  渡部敏明
- Project Period (FY)
  1998 – 1999
- Research Category
  
  Grant-in-Aid for Encouragement of Young Scientists (A)
- Research Field
  
  Economic statistics
- Research Institution
  Tokyo Metropolitan University

[Book] 日本の物価・資産価格 : 価格ダイナミクスの解明（第10章pp295-319）2023
- Author(s)
  渡辺努、清水千弘、渡部敏明
- Total Pages
  464
- Publisher
  東京大学出版会
- ISBN
  9784130403108
- Data Source
  KAKENHI-PROJECT-23H00048
[Book] Stochastic Volatility and Realized Stochastic Volatility Models2023
- Author(s)
  Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
- Total Pages
  113
- Publisher
  Springer
- ISBN
  9789819909346
- Data Source
  KAKENHI-PROJECT-19H00588
[Book] Stochastic Volatility and Realized Stochastic Volatility Models2023
- Author(s)
  Makoto Takahashi、Yasuhiro Omori、 Toshiaki Watanabe
- Total Pages
  113
- Publisher
  Springer
- ISBN
  9819909341
- Data Source
  KAKENHI-PROJECT-23H00048
[Book] 現代経済学の潮流20192019
- Author(s)
  宇井貴志・加納隆・原千秋・渡部敏明
- Total Pages
  248
- Publisher
  東洋経済新報社
- ISBN
  9784492315170
- Data Source
  KAKENHI-PROJECT-17H00985
[Book] Stochastic Volatility and Realized Stochastic Volatility Models(published in: Current Trends in Bayesian Methodology with Applications, eds S. K. Upadhyay, U. Singh, D. K. Deyand A. Loganathan)2015
- Author(s)
  Yasuhiro Omori and Toshiaki Watanabe
- Publisher
  Chapman & Hall/CRC Press
- Data Source
  KAKENHI-PROJECT-25245034
[Book] ファイナンス・景気循環の計量分析2011
- Author(s)
  浅子和美・渡部敏明
- Total Pages
  352
- Publisher
  ミネルヴァ書房
- Data Source
  KAKENHI-PROJECT-21243018
[Book] ファイナンス・景気循環の計量分析2011
- Author(s)
  浅子和美・渡部敏明編著
- Total Pages
  352
- Publisher
  ミネルヴァ書房
- Data Source
  KAKENHI-PROJECT-22243026
[Book] ファイナンス・景気循環の計量分析2011
- Author(s)
  浅子和美, 渡部敏明
- Total Pages
  352
- Publisher
  ミネルヴァ書房
- Data Source
  KAKENHI-PROJECT-22243021
[Book] ファイナンス・景気循環の計量分析2011
- Author(s)
  浅子和美・渡部敏明(編著)
- Total Pages
  352
- Publisher
  ミネルヴァ書房
- Data Source
  KAKENHI-PROJECT-22243026
[Book] ファイナンス・景気循環の計量分析2011
- Author(s)
  浅子和美・渡部敏明
- Total Pages
  352
- Publisher
  ミネルヴァ書房
- Data Source
  KAKENHI-PROJECT-22243021
[Book] ファイナンス・景気循環の計量分析2011
- Author(s)
  浅子和美・渡部敏明
- Total Pages
  338
- Publisher
  ミネルヴァ書房
- Data Source
  KAKENHI-PROJECT-18103001
[Book] 浅子和美・宮川努編『日本経済の構造変化と景気循環』第5章「景気循環の構造変化と景気転換点複数の構造変化点を付加したマルコフ・スイッチング・モデルのベイズ推定」2007
- Author(s)
  渡部敏明
- Publisher
  Springer
- Data Source
  KAKENHI-PROJECT-18103001
[Book] マルコフ連鎖モンテカルロ法を用いた応用計量分析2005
- Author(s)
  和合肇編(大森:第1, 2, 5章、渡部:第9章、大鋸:第11章)
- Publisher
  東洋経済新報社(未定)(近刊)
- Data Source
  KAKENHI-PROJECT-15530221
[Book] マルコフ連鎖モンテカルロ法を用いた応用計量分析2005
- Author(s)
  和合肇編(1, 2, 5章:大森, 9章:渡部, 11章:大鋸)
- Publisher
  東洋経済新報社(仮題)
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Tail Risk Forecasting of Realized Volatility CAViaR Models2023
- Author(s)
  Cathy W.S. Chen, Hsiao-Yun Hsu and Toshiaki Watanabe
- Journal Title
  
  Finance Research Letters
  
  Volume: 51 Pages: 103326-103326
- DOI
  10.1016/j.frl.2022.103326
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588, KAKENHI-PROJECT-20H00073
[Journal Article] Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility2021
- Author(s)
  Takahashi Makoto、Watanabe Toshiaki、Omori Yasuhiro
- Journal Title
  
  Econometrics and Statistics
  
  Volume: ー Pages: 34-56
- DOI
  10.1016/j.ecosta.2021.08.002
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20H00073, KAKENHI-PROJECT-19H00588
[Journal Article] Bayesian estimation of realized GARCH-type models with application to financial tail risk management2021
- Author(s)
  Chen Cathy W.S.、Watanabe Toshiaki、Lin Edward M.H.
- Journal Title
  
  Econometrics and Statistics
  
  Volume: ー Pages: 30-46
- DOI
  10.1016/j.ecosta.2021.03.006
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073, KAKENHI-PROJECT-19H00588, KAKENHI-PROJECT-23H00048
[Journal Article] Realized stochastic volatilityモデル－拡張と日本の株価指数への応用－2020
- Author(s)
  高橋慎、渡部敏明、大森裕浩
- Journal Title
  
  統計数理
  
  Volume: 68 Pages: 65-85
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-20H00073
[Journal Article] Bayesian estimation of realized GARCH-type models with application to financial tail risk management2020
- Author(s)
  Cathy W. S. Chen, Toshiaki Watanabe, Edward M. H. Lin
- Journal Title
  
  Econometrics and Statistics
  
  Volume: 印刷中
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Journal Article] 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2020
- Author(s)
  渡部敏明
- Journal Title
  
  広島経済大学経済研究論集
  
  Volume: 42 Pages: 5-18
- Open Access
- Data Source
  KAKENHI-PROJECT-19H00588
[Journal Article] Realized Stochastic Volatilityモデルー拡張と日本の株価指数への応用ー2020
- Author(s)
  高橋慎、渡部敏明、大森裕浩
- Journal Title
  
  統計数理
  
  Volume: 68 Pages: 65-85
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19H00588
[Journal Article] eterogeneous Autoregressive モデル-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-2020
- Author(s)
  渡部敏明
- Journal Title
  
  広島経済大学経済研究論集
  
  Volume: 42(3) Pages: 5-18
- Data Source
  KAKENHI-PROJECT-19H00588
[Journal Article] Bayesian Modeling and Forecasting of Value-at-Risk via Threshold Realized Volatility2019
- Author(s)
  Cathy W.S.Chen and Toshiaki Watanabe
- Journal Title
  
  Applied Stochastic Models in Business and Industry
  
  Volume: 印刷中 Issue: 3 Pages: 747-765
- DOI
  10.1002/asmb.2395
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985, KAKENHI-PROJECT-26245028, KAKENHI-PROJECT-19H00588
[Journal Article] 時変多変量自己回帰モデルを用いた日本の輸出量の計量分析2017
- Author(s)
  中島上智・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 68-3
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] 時変多変量自己回帰モデルを用いた日本の輸出量の計量分析2017
- Author(s)
  中島上智、渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 68 Pages: 237-249
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-17H00985
[Journal Article] 時変多変量自己回帰モデルを用いた日本の輸出量の計量分析2017
- Author(s)
  中島上智、渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 68 Pages: 237-249
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] 時変多変量自己回帰モデルを用いた日本の輸出量の計量分析2017
- Author(s)
  中島上智・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 68(3)
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25245037
[Journal Article] Bayesian Forecasting of Value-at-Risk Based on Variant Smooth Transition Heteroskedastic Models2017
- Author(s)
  Cathy W. S. Chen, Monica M. C. Weng, Toshiaki Watanabe
- Journal Title
  
  Statistics and Its Interface
  
  Volume: 10 Issue: 3 Pages: 451-470
- DOI
  10.4310/sii.2017.v10.n3.a9
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245037, KAKENHI-PROJECT-26245028
[Journal Article] The Intraday Market Liquidity of Japanese Government Bond Futures2016
- Author(s)
  Naoshi Tsuchida, Toshiaki Watanabe, Toshinao Yoshiba
- Journal Title
  
  Monetary and Econoｍic Studies
  
  Volume: 34 Pages: 67-96
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245037
[Journal Article] 日経225分散リスク・プレミアムの予測力2016
- Author(s)
  渡部敏明
- Journal Title
  
  先物・オプションレポート
  
  Volume: 28 Pages: 1-8
- Data Source
  KAKENHI-PROJECT-25245037
[Journal Article] The Intraday Market Liquidity of Japanese Government Bond Futures2016
- Author(s)
  Naoshi Tsuchida, Toshiaki Watanabe, and Toshinao Yoshiba
- Journal Title
  
  Monetary and Economic Studies
  
  Volume: 34 Pages: 67-96
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] 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2016
- Author(s)
  土田直司・吉羽要直・渡部敏明
- Journal Title
  
  先物・オプションレポート
  
  Volume: 28 Pages: 1-6
- Data Source
  KAKENHI-PROJECT-25245037
[Journal Article] Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2016
- Author(s)
  Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori
- Journal Title
  
  International Journal of Forecasting
  
  Volume: 32 Issue: 2 Pages: 437-457
- DOI
  10.1016/j.ijforecast.2015.07.005
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-25245037, KAKENHI-PROJECT-26245028
[Journal Article] 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2016
- Author(s)
  土田直司・吉羽要直・渡部敏明
- Journal Title
  
  先物・オプションレポート
  
  Volume: 28(9) Pages: 1-6
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] ルーカス批判とマクロ計量分析2016
- Author(s)
  渡部敏明
- Journal Title
  
  『経済セミナー』増刊「進化する経済学の実証分析」
  
  Volume: なし Pages: 37-41
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] 日経225分散リスク・プレミアムの予測力2016
- Author(s)
  渡部敏明
- Journal Title
  
  先物・オプションレポート
  
  Volume: 28(11) Pages: 1-8
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] 景気循環の計量分析―サーベイと日本の景気動向指数への応用―2015
- Author(s)
  石原庸博,　渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 145-168
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] 景気循環の計量分析：サーベイと日本の景気動向指数への応用2015
- Author(s)
  石原庸博・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 145-158
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] 景気循環の計量分析：サーベイと日本の景気動向指数への応用2015
- Author(s)
  石原庸博, 渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66 Pages: 145-168
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] 景気循環の計量分析―サーベイと日本の景気動向指数への応用―2015
- Author(s)
  石原庸博・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] Evaluating the Performance of Futures Hedging Using Multivariate Realized Volatility2015
- Author(s)
  Masato Ubukata and Toshiaki Watanabe
- Journal Title
  
  Journal of the Japanese and International Economies
  
  Volume: 38 Pages: 148-171
- DOI
  10.1016/j.jjie.2015.07.001
- NAID
  210000186635
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245037, KAKENHI-PROJECT-26245028
[Journal Article] 景気循環の計量分析－サーベイと日本の景気循環への応用－2015
- Author(s)
  渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 66
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245037
[Journal Article] Stochastic Volatility and Realized Stochastic Volatility Models2015
- Author(s)
  Yasuhiro Omori and Toshiaki Watanabe
- Journal Title
  
  Current Trends in Bayesian Methodology with Applications (eds S. K. Upadhyay, U. Singh, D. K. Deyand A. Loganathan), Chapman & Hall/CRC Press. （図書所収論文）
  
  Volume: -
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245037
[Journal Article] Stochastic volatility and realized stochastic volatility models2015
- Author(s)
  Yasuhiro Omori and Toshiaki Watanabe
- Journal Title
  
  Current Trends in Bayesian Methodology with Applications (eds S. K. Upadhyay, U. Singh, D. K. Deyand A. Loganathan), Chapman & Hall/CRC Press
  
  Volume: ― Pages: 435-456
- DOI
  10.1201/b18502-22
- ISBN
  9780429172373
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245035, KAKENHI-PROJECT-26245028
[Journal Article] Bayesian Analysis of Business Cycle in Japan using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution2014
- Author(s)
  Toshiaki Watanabe
- Journal Title
  
  経済研究
  
  Volume: 65 Pages: 156-167
- NAID
  120005750601
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-25245037
[Journal Article] Market variance risk premiums in Japan for asset predictability2014
- Author(s)
  Masato Ubukata and Toshiaki Watanabe
- Journal Title
  
  Empirical Economics
  
  Volume: 印刷中 Issue: 1 Pages: 169-198
- DOI
  10.1007/s00181-013-0741-2
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245037, KAKENHI-PROJECT-25780154, KAKENHI-PROJECT-26245028
[Journal Article] Bayesian analysis of business cycles in Japan using Markov switching model with stochastic volatility and fat tail distribution2014
- Author(s)
  Toshiaki Watanabe
- Journal Title
  
  経済研究
  
  Volume: 65
- NAID
  120005750601
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25245037
[Journal Article] アメリカにおける量的緩和の効果－実証分析のサーベイ2014
- Author(s)
  渡部敏明
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 52 Pages: 28-34
- Data Source
  KAKENHI-PROJECT-25245037
[Journal Article] Bayesian Analysis of Business Cycle in Japan using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution2014
- Author(s)
  Toshiaki Watanabe
- Journal Title
  
  経済研究
  
  Volume: 65(2) Pages: 156-167
- NAID
  120005750601
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] A state space approach to estimating the integrated variance under the existence of market microstructure noise2014
- Author(s)
  Daisuke Nagakura and Toshiaki Watanabe
- Journal Title
  
  Journal of Financial Econometrics
  
  Volume: 印刷中 Issue: 1 Pages: 45-82
- DOI
  10.1093/jjfinec/nbt015
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245037
[Journal Article] アメリカにおける量的緩和の効果－実証分析のサーベイ－2014
- Author(s)
  渡部敏明
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 52(4) Pages: 28-34
- Data Source
  KAKENHI-PROJECT-26245028
[Journal Article] アメリカにおける量的緩和の効果－実証分析のサーベイ－2014
- Author(s)
  渡部敏明
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 52 Pages: 28-34
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Bayesian analysis of business cycles in Japan using Markov switching model with stochastic volatility and fat tail distribution2014
- Author(s)
  Toshiaki Watanabe
- Journal Title
  
  経済研究
  
  Volume: 65
- NAID
  120005750601
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Pricing Nikkei 225 options using realized volatility2014
- Author(s)
  Masato Ubukata and Toshiaki Watanabe
- Journal Title
  
  Japanese Economic Review
  
  Volume: 印刷中 Issue: 4 Pages: 431-467
- DOI
  10.1111/jere.12024
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-25245034, KAKENHI-PROJECT-25245037, KAKENHI-PROJECT-26245028
[Journal Article] News　 impact curve for stochastic volatility models2013
- Author(s)
  Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
- Journal Title
  
  Economics Letters
  
  Volume: 120-1 Issue: 1 Pages: 130-134
- DOI
  10.1016/j.econlet.2013.03.001
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-22243021, KAKENHI-PROJECT-22243026, KAKENHI-PROJECT-25245035
[Journal Article] The Great Intervention and Massive Money Injection: The Japanese Experience 2003-20042013
- Author(s)
  Tsutomu Watanabe and Tomoyoshi Yabu
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: Vol.32 Issue: 2 Pages: 428-443
- DOI
  10.5539/jfr.v1n2p32
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243026, KAKENHI-PROJECT-23243038
[Journal Article] Realized Stochastic Volatility モデル－マルコフ連鎖モンテカルロ法を用いたベイズ分析―2013
- Author(s)
  大森裕浩, 渡部敏明
- Journal Title
  
  日本統計学会誌
  
  Volume: 42巻 Pages: 273-303
- NAID
  110009594892
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Realized Stochastic Volatilityモデル-マルコフ連鎖モンテカルロ法を用いたベイズ分析2013
- Author(s)
  大森裕浩・渡部敏明
- Journal Title
  
  日本統計学会誌
  
  Volume: 42 Pages: 273-303
- NAID
  110009594892
- Data Source
  KAKENHI-PROJECT-22243026
[Journal Article] アメリカにおける量的緩和の効果－実証分析のサーベイ－2013
- Author(s)
  渡部敏明
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 52 Pages: 28-34
- Data Source
  KAKENHI-PROJECT-25245037
[Journal Article] Pricing Nikkei 225 Options Using Realized Volatility2013
- Author(s)
  Masato Ubukata and Toshiaki Watanabe
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series, Hitotsubashi University
  
  Volume: 273 Pages: 1-46
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Realized Stochastic Volatilityモデル-マルコフ連鎖モンテカルロ法を用いたベイズ分析-2013
- Author(s)
  大森裕浩・渡部敏明
- Journal Title
  
  『日本統計学会誌』シリーズJ
  
  Volume: 42-2 Pages: 273-303
- NAID
  110009594892
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] 時変ベクトル自己回帰モデル-サーベイと日本のマクロデータへの応用-2012
- Author(s)
  中島上智・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 63 Pages: 193-208
- NAID
  120005473160
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243026
[Journal Article] MCMCのマクロ計量モデルへの応用2012
- Author(s)
  渡部敏明
- Journal Title
  
  景気とサイクル
  
  Volume: 第53号 Pages: 63-72
- Data Source
  KAKENHI-PROJECT-22243026
[Journal Article] Discussion of 'Food Price Pass-Through in the Euro Area : Non-Linearities and the Role of the Common Agricultural Policy2012
- Author(s)
  Tsutomu Watanabe
- Journal Title
  
  International Journal of Central Banking Monetary Policy Issues in Open Economies
  
  Volume: March,2012 Pages: 219-225
- Data Source
  KAKENHI-PROJECT-22243026
[Journal Article] 時変ベクトル自己回帰モデル-サーベイと日本のマクロデータへの応用2012
- Author(s)
  中島上智, 渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 63巻 Pages: 193-208
- NAID
  120005473160
- URL
  http://hermes-ir.lib.hit-u.ac.jp/rs/handle/10086/20318
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243026
[Journal Article] A New Method for Identifying the Effects of Central Bank Interventions2012
- Author(s)
  Tsutomu Watanabe, C.Chen, T.Yabu
- Journal Title
  
  Journal of Money, Credit and Banking
  
  Volume: (Forthcoming)(掲載決定)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243026
[Journal Article] Quantile forecasts of financial returns using realized GARCH models2012
- Author(s)
  Watanabe,T
- Journal Title
  
  Japanese Economic Review
  
  Volume: vol.63 Pages: 68-80
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] A New Method for Identifying the Effects of CentralBank Interventions2012
- Author(s)
  Chih-Nan Chen, Tsutomu Watanabe and Tomoyoshi Yabu
- Journal Title
  
  Journal of Money, Credit and Banking
  
  Volume: Vol.44 Issue: 1 Pages: 1507-1533
- DOI
  10.1186/2191-1991-2-10
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243026, KAKENHI-PROJECT-23243038
[Journal Article] House Prices from Magazines, Realtors, and the Land Registry2012
- Author(s)
  Tsutomu Watanabe
- Journal Title
  
  BIS Economic Papers
  
  Volume: No.64 Pages: 29-38
- Data Source
  KAKENHI-PROJECT-22243026
[Journal Article] 時変ベクトル自己回帰モデル－サーベイと日本のマクロデータへの応用－2012
- Author(s)
  中島上智, 渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 63巻 Pages: 198-208
- NAID
  120005473160
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Quantile forecasts of financial returns using realized GARCH models2012
- Author(s)
  Toshiaki Watanabe
- Journal Title
  
  Japanese Economic Review
  
  Volume: 63 Issue: 1 Pages: 68-80
- DOI
  10.1111/j.1468-5876.2011.00548.x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-22243021
[Journal Article] 時変ベクトル自己回帰モデル－サーベイと日本のマクロデータへの応用－2012
- Author(s)
  中島上智・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 63 Pages: 193-208
- NAID
  120005473160
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Fiscal Policy Switching in Japan, the U. S., and the U. K2011
- Author(s)
  A. Ito, T. Watanabe, T. Yabu
- Journal Title
  
  Journal of the Japanese and International Economies
  
  Volume: Vol.25 Issue: 4 Pages: 380-413
- DOI
  10.1016/j.jjie.2011.09.001
- NAID
  210000181083
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18GS0101, KAKENHI-PROJECT-22243026
[Journal Article] 実現ボラティリティ -ボラティリティの計測方法の発展とリスクマネジメントへの応用可能性-2011
- Author(s)
  生方雅人・渡部敏明
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 49巻 Pages: 16-26
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] 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2011
- Author(s)
  藤原一平・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 62巻1号 Pages: 66-93
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] マクロ動学一般均衡モデルーサーベイと日本のマクロデータへの応用2011
- Author(s)
  藤原一平・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 第62巻第1号 Pages: 66-93
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] 実現ボラティリティ-ボラティリティの計測方法の発展とリスクマネジメントへの応用可能性-2011
- Author(s)
  生方雅人, 渡部敏明
- Journal Title
  
  証券アナリストジャーナル
  
  Volume: 49巻8号 Pages: 16-26
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] 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2011
- Author(s)
  藤原一平・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 62 Pages: 66-93
- URL
  http://hdl.handle.net/10086/22309
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] 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2011
- Author(s)
  藤原一平・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 62-1 Pages: 66-93
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] 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-2011
- Author(s)
  藤原一平・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 62 Pages: 66-93
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243026
[Journal Article] Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy2011
- Author(s)
  Jouchi Nakajima, Munehisa Kasuya, Toshiaki Watanabe
- Journal Title
  
  Journal of the Japanese and International Economies
  
  Volume: 25 Issue: 3 Pages: 225-245
- DOI
  10.1016/j.jjie.2011.07.004
- NAID
  210000165319
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018, KAKENHI-PROJECT-22243026
[Journal Article] 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-2011
- Author(s)
  藤原一平・渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 62巻 Pages: 66-93
- URL
  http://hermes-ir.lib.hit-u.ac.jp/rs/handle/10086/222309
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243026
[Journal Article] Applications of Gram-Charlier Expansion and Bond Moments for Pricing of Interest Rates and Credit Risk2010
- Author(s)
  Tanaka, K., Yamada, T. and Watanabe, T
- Journal Title
  
  Quantitative Finance
  
  Volume: vol.10 Pages: 645-662
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Realized Volatilityのモデル化とオプション価格2010
- Author(s)
  渡部敏明
- Journal Title
  
  大阪証券取引所『先物オプションレポート』
  
  Volume: 22巻
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] 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2010
- Author(s)
  渡部敏明
- Journal Title
  
  大阪証券引取所『先物オプションレポート』 Vol.22, No.2
  
  Pages: 1-7
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Applications of Gram-Charlier Expansion and Bond Moments for Pricing of Interest Rates and Credit Risk2010
- Author(s)
  Tanaka, K., Yamada, T., Watanabe, T.
- Journal Title
  
  Quantitative Finance
  
  Volume: 10-6 Pages: 645-662
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Applications of Gram-Charlier Expansion and Bond Moments for Pricing of Interest Rates and Credit Risk2010
- Author(s)
  Tanaka, K., Yamada, T., Watanabe, T.
- Journal Title
  
  Quantitative Finance
  
  Volume: Vol.10, no.6 Pages: 645-662
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22243021
[Journal Article] Applications of Gram-Charlier Expansion and Bond Moments for Pricing of Interest Rates and Credit Risk2010
- Author(s)
  Tanaka, Keiichi, Takeshi Yamada, Toshiaki Watanabe
- Journal Title
  
  Quantitative Finance (掲載確定)(印刷中)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Realized Volatilityのモデル化とオプション価格2010
- Author(s)
  渡部敏明
- Journal Title
  
  大阪証券取引所『先物オプションレポート』
  
  Volume: 22-11 Pages: 5-5
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] マルコフ・スイッチング・モデルを用いた日本の景気循環の計量分析2009
- Author(s)
  渡部敏明
- Journal Title
  
  経済研究 Vol.60-3
  
  Pages: 253-265
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Estimating stochastic volatility models using daily returns and realized volatility simultaneously2009
- Author(s)
  Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis 53-6
  
  Pages: 2404-2426
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Estimating stochastic volatility models using daily returns and realized volatility simultaneously2009
- Author(s)
  Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis
  
  Volume: Vol.53-6 Pages: 2404-2426
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] GARCH型モデルとRealized Volatilityを用いたTOPIX日次リターンの非線形性の検証2009
- Author(s)
  渡部敏明, 長倉大輔
- Journal Title
  
  日本統計学会誌第39巻・シリーズJ・第1号(掲載予定)
- NAID
  110007482354
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2009
- Author(s)
  Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe
- Journal Title
  
  Computational statistics and Data Analysis 53
  
  Pages: 2404-2426
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] マルコフ・スイッチング・モデルを用いた日本の景気循環の計量分析2009
- Author(s)
  渡部敏明
- Journal Title
  
  一橋大学経済研究所『経済研究』 Vol.60, No.3
  
  Pages: 253-265
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] GARCH型モデルとRealized Volatilityを用いたTOPIX日次リターンの非線形性の検証2009
- Author(s)
  渡部敏明, 長倉大輔
- Journal Title
  
  日本統計学会誌シリーズJ 39(印刷中)
- NAID
  110007482354
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] DSGE-VARモデルの日本のマクロデータへの応用2009
- Author(s)
  渡部敏明
- Journal Title
  
  ESRI Discussion Paper Series No.225-J
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] State-space Approach to Estimating the Integrated Variance and Microstructure Noise Component2009
- Author(s)
  Daisuke Nagakura and Toshiaki Watanabe
- Journal Title
  
  IMES Discussion Paper(Institute for Monetary and Economic Studies, Bank of Japan) 2009-E-11
  
  Pages: 1-41
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Modeling and forecasting the volatility of the Nikkei 225 realized volatility using the ARFIMA-GARCH model2009
- Author(s)
  Isao Ishida and Toshiaki Watanabe
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series 032, Hitotsubashi University
  
  Pages: 1-27
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Modeling and Forecasting the Volatil25 Realized Volatility Using the ARFty of thc Nikkei 2MA-GARCH Model2009
- Author(s)
  Isao Ishida, Toshiaki Watanabe
- Journal Title
  
  Global COE Hi-Stat Discussion Paper (Hitotsubashi University) Scries 032
  
  Pages: 1-32
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] マルコフ・スイッチング・モデルを用いた日本の景気循環の計量分析2009
- Author(s)
  渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 第60巻第3号 Pages: 253-265
- URL
  http://hdl.handle.net/10086/19547
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] GARCH型モデルとRealized Volatilityを用いたTOPIX日次リターンの非線形性の検証2009
- Author(s)
  渡部敏明・長倉大輔
- Journal Title
  
  日本統計学会誌・シリーズJ 第39巻・第1号
  
  Pages: 65-94
- NAID
  110007482354
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] State-space Approach to Estimating the Integrated Variance and Microstructure Noise Component2009
- Author(s)
  Daisuke Nagakura, Toshiaki Watanabe
- Journal Title
  
  IMES Discussion Paper(Institute for Monetary and Economic Studies, Bank of Japan) 2009-E-11
  
  Pages: 1-41
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Realized Volatilityを用いた日経225オプション価格の導出2009
- Author(s)
  渡部敏明
- Journal Title
  
  大阪証券取引所『先物オプションレポート』 Vol.21, No.3
  
  Pages: 1-6
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Option Pricing Using Realized Volatility and ARCH Type Models2009
- Author(s)
  Watanabe, Toshiaki, Masato Ubukata
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series 66
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2009
- Author(s)
  Takahashi, M., Y. Omori, and T. Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis
  
  Volume: Vol.53(6) Pages: 2404-2426
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2009
- Author(s)
  Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis Volume 53, Issue 6
  
  Pages: 2404-2426
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Estimating stochastic vola-tility models using daily returns and realized volatility simultaneously2009
- Author(s)
  Takahashi, M., Omori, Y. and Watanabe, Toshiaki
- Journal Title
  
  Computational Statistics and Data Analysis Volume 53, Issue 6
  
  Pages: 2404-2406
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] Realized Volatilityを用いた日経225オプション価格の導出2009
- Author(s)
  渡部敏明
- Journal Title
  
  大阪証券取引所『先物オプションレポート』 21
  
  Pages: 1-6
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] GARCH型モデルとRealized Volatilityを用いたTOPIX日次リターンの非線形性の検証2009
- Author(s)
  渡部敏明, 長倉大輔
- Journal Title
  
  日本統計学会誌・シリーズJ (近刊)(印刷中)
- NAID
  110007482354
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise2009
- Author(s)
  Nagakura, Daisuke, Toshiaki Watanabe
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series 115
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy2009
- Author(s)
  Nakajima, Jouchi, Munehisa Kasuya, Toshiaki Watanabe
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series 72
- NAID
  210000165319
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component2009
- Author(s)
  Nagakura, Daisuke, Toshiaki Watanabe
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series 55
- Data Source
  KAKENHI-PROJECT-21243018
[Journal Article] DSGE-VARモデルの日本のマクロデータへの応用2009
- Author(s)
  渡部敏明
- Journal Title
  
  ESRI Discussion Paper Series No.225-J
  
  Pages: 1-40
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy2009
- Author(s)
  J.Nakajima, M.Kasuya, 渡部敏明
- Journal Title
  
  Global COE Hi-Stat Discussion Paper Series No.72
- NAID
  210000165319
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic volatility Models2008
- Author(s)
  Omori, Y. and T. Watanabe
- Journal Title
  
  Computational Statistics & Data Analysis
  
  Volume: Vol.52(6) Pages: 2892-2910
- NAID
  120000816334
- URL
  http://hdl.handle.net/10086/14587
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] Realized Volatility-サーベイと日本の株式市場への応用-2008
- Author(s)
  渡部敏明
- Journal Title
  
  経済研究一橋大学 58
  
  Pages: 352-373
- NAID
  120003802889
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models2008
- Author(s)
  Yasuhiro Omori, Toshiaki Watanabe
- Journal Title
  
  Computational statistics and Data Analysis 52-6
  
  Pages: 2892-2910
- NAID
  120000816334
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatility models2008
- Author(s)
  Omori, Y. and T. Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis 52-6
  
  Pages: 2892-2910
- NAID
  120000816334
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] 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2008
- Author(s)
  竹内明香, 渡部敏明
- Journal Title
  
  現代ファイナンス No. 24
  
  Pages: 45-74
- NAID
  130007528292
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatility models2008
- Author(s)
  Omori, Y.and T. Watanabe
- Journal Title
  
  Computational Statistics and Data Analysis 52-6
  
  Pages: 2892-2910
- NAID
  120000816334
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Block sampler and posterior mode estimation for asymmetric stochastic volatility models2008
- Author(s)
  Omori, Y., T. watanabe
- Journal Title
  
  Computational Statistics and Data Analysis 52-6
  
  Pages: 2892-2910
- NAID
  120000816334
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models,2008
- Author(s)
  渡部敏明
- Journal Title
  
  Computational Statistics & Data Analysis Vol.52Issue6
- NAID
  120000816334
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models2008
- Author(s)
  Omori Yasuhiro and Watanabe Toshiaki
- Journal Title
  
  Computa-tional Statistics & Data Analysis Vol.52, Issue 6
  
  Pages: 2892-2910
- NAID
  120000816334
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] 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2008
- Author(s)
  竹内明香, 渡部敏明
- Journal Title
  
  現代ファイナンス 24
  
  Pages: 45-74
- NAID
  130007528292
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] Model-free implied volatility (in Japanese)2007
- Author(s)
  Watanabe, T.
- Journal Title
  
  Osaka Securities Exchange Futures & Option Report 19-12
  
  Pages: 6-6
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] モデル・フリー・インプライド・ボラティリティ2007
- Author(s)
  渡部敏明
- Journal Title
  
  先物オプションレポート大阪証券取引所 19・12
  
  Pages: 1-6
- Data Source
  KAKENHI-PROJECT-18303901
[Journal Article] 景気循環の構造変化と景気転換点複数の構造変化点を付加したマルコフ・スイッチング・モデルのベイズ推定2007
- Author(s)
  渡部敏明・飯星博邦
- Journal Title
  
  浅子和美・宮川努編『日本経済の構造変化と景気循環』東京大学出版会
  
  Pages: 88-107
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Realized Volatility-サ-ベイと日本の株式市場への応用-2007
- Author(s)
  渡部敏明
- Journal Title
  
  一橋大学『経済研究』 58-4
  
  Pages: 352-373
- NAID
  120003802889
- Description
  「研究成果報告書概要(和文)」より
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Realized Voltility-Survey and the application to Japanese stock market (in Japanese)2007
- Author(s)
  Watanabe, T.
- Journal Title
  
  The Economic Review (Keizai Kenkyu) 58-4
  
  Pages: 352-373
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Structural breaks in business cycles and business cycle turning points-Bayesian analysis of Markov switching model with multiple structural breaks (in Japanese)2007
- Author(s)
  Watanabe, T., Iiboshi, H.
- Journal Title
  
  Structural breaks in Japanese economy and business cycle (eds. Asako, K. and Miyagawa, T. )
  
  Pages: 88-107
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] モデル・フリー・インプライド・ボラティリティ2007
- Author(s)
  渡部敏明
- Journal Title
  
  大騨証券取引所『先物オプションレポート』 19-12
  
  Pages: 6-6
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] 時系列分析(4)-ARCH-2007
- Author(s)
  渡部敏明
- Journal Title
  
  蓑谷・縄田, 和合編『計量経済学ハンドブック』朝倉書無店
  
  Pages: 592-620
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] モデル・フリー・インプライド・ボラティリティ2007
- Author(s)
  渡部敏明
- Journal Title
  
  先物オプションレポート 19・12
  
  Pages: 1-6
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] モデル・フリ-・インプライド・ボラティリティ2007
- Author(s)
  渡部敏明
- Journal Title
  
  大阪証券取引所『先物オプションレポート』 19-12
  
  Pages: 6-6
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Realized volatility and implied volatility of Nikkei225 (in Japanese)2007
- Author(s)
  Watanabe, T., Yamaguchi, K.
- Journal Title
  
  Osaka Securities Exchange Futures & Option Report 18-12
  
  Pages: 2-5
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] 「Realized Volatility-サーベイと日本の株式市場への応用-」2007
- Author(s)
  渡部敏明
- Journal Title
  
  一橋大学経済研究所編『経済研究』 Vol.58,No.4
- NAID
  120003802889
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] 時系列分析(4)-ARCH-2007
- Author(s)
  渡部敏明
- Journal Title
  
  蓑谷・縄田・和合編『計量経済学ハンドブック』朝倉書店
  
  Pages: 592-620
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Realized Volatility-サーベイと日本の株式市場への応用2007
- Author(s)
  渡部敏明
- Journal Title
  
  経済研究
  
  Volume: 第58巻第4号 Pages: 352-373
- NAID
  120003802889
- URL
  http://hdl.handle.net/10086/20318
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] Realized Vblatility-サーベイと日本の株式市場への応用-2007
- Author(s)
  渡部敏明
- Journal Title
  
  経済研究一橋大学 58
  
  Pages: 352-373
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18303901
[Journal Article] 景気循環の構造変化と景気転換点複数の構造変化点を付加したマルコフ・スイッチング・モデルのベイズ推定2007
- Author(s)
  渡部敏明・飯星博邦
- Journal Title
  
  浅子和美・宮川努編『日本経済の構造変化と景気循環』東京大学出版会
  
  Pages: 88-107
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] 時系列分析(4)-ARCH-2007
- Author(s)
  渡部敏明
- Journal Title
  
  『計量経済学ハンドブック』蓑谷千凰彦・縄田和満・和合肇編朝倉書店
  
  Pages: 592-620
- Data Source
  KAKENHI-PROJECT-18303901
[Journal Article] Time series analysis (4) -ARCH- (in Japanese)2007
- Author(s)
  Watanabe, T.
- Journal Title
  
  Handbook of Econometrics
  
  Pages: 592-620
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Realized Volatility-サーベイと日本の株式市場ぺの応用-2007
- Author(s)
  渡部敏明
- Journal Title
  
  一橋大学『経済研究』 58-4
  
  Pages: 352-373
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] 金利派生商品の効率的な価格付け : 確率密度関数の近似を用いて2006
- Author(s)
  田中敬一, 山田健, 渡部敏明
- Journal Title
  
  金融研究(日本銀行金融研究所) 第25巻別冊第2号
  
  Pages: 1-38
- NAID
  40015151198
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] ARCH型モデルと"Realized Volatility"によるボラティリティ予測とバリュー・アット・リスク2006
- Author(s)
  渡部敏明
- Journal Title
  
  金融研究
  
  Volume: 第25巻別冊第2号 Pages: 39-74
- NAID
  40015151199
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] Efficient pricing of interest rate derivarives using approximation of probability density function (in Japanese)2006
- Author(s)
  Tanaka, K., Yamada, K., Watanabe, T.
- Journal Title
  
  Kinyu Kenkyu, Bank of Japan 25-2
  
  Pages: 1-38
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] 金利派生商品の効率的な価格付け:確率密度関数の近似を用いて2006
- Author(s)
  田中敬一・山田健・渡部敏明
- Journal Title
  
  日本銀行金融研究所『金融研究』第25巻別冊第2号
  
  Pages: 1-38
- NAID
  40015151198
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] 金利派生商品の効率的な価格付け : 確率密度関数の近似を用いて2006
- Author(s)
  渡部敏明
- Journal Title
  
  日本銀行金融研究所『金融研究』第25巻別冊第2号
  
  Pages: 1-38
- NAID
  40015151198
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] 日経225の"Realized Volatility"とインプライド・ボラティリティ2006
- Author(s)
  渡部敏明
- Journal Title
  
  先物オプションレポート(大阪証券取引所) 18・12
  
  Pages: 2-5
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] ARCH型モデルと"Realized Volatility"によるボラティリティ予測とバリュー・アット・リスク2006
- Author(s)
  渡部敏明, 佐々木浩二
- Journal Title
  
  金融研究 25・別冊第2号
  
  Pages: 39-74
- NAID
  40015151199
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] 日経225の"Realized Volatility"とインプライド・ボラティリティ2006
- Author(s)
  渡部敏明, 山口圭子
- Journal Title
  
  先物オプションレポート(大阪証券取引所) 18・12
  
  Pages: 2-5
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] ARCH型モデルと"Realized Volatility"によるボラティリティ予測とバリュ-・アット・リスク2006
- Author(s)
  渡部敏明・佐々木浩二
- Journal Title
  
  日本銀行金融研究所『金融研究』第25巻別冊第2号
  
  Pages: 39-74
- NAID
  40015151199
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] ARCH型モデルと"Realized Volatility"によるボラティリティ予測とバリュー・アット・リスク2006
- Author(s)
  渡部敏明, 佐々木浩二
- Journal Title
  
  金融研究(日本銀行金融研究所) 第25巻別冊第2号
  
  Pages: 39-74
- NAID
  40015151199
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Volatility forecast and Var using ARCH model and realized volatility (in Japanese)2006
- Author(s)
  Watanabe, T., Sasaki, K.
- Journal Title
  
  Kinyu Kenkyu, Bank of Japan 25-2
  
  Pages: 39-74
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] Effects of the Bank of Japan's Intervention on Yen/Dollar Exchange Rate Volatility2006
- Author(s)
  T.Watanabe, K.Harada
- Journal Title
  
  Journal of the Japanese and International Economies 20-1
  
  Pages: 99-111
- NAID
  120006933666
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15200022
[Journal Article] 金利派生商品の効率的な価格付け:確率密度関数の近似を用いて2006
- Author(s)
  渡部敏明
- Journal Title
  
  金融研究
  
  Volume: 第25巻別冊第2号 Pages: 1-38
- NAID
  40015151198
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] 日経225の"Realized Volatility"とインプライド・ボラティリティ2006
- Author(s)
  渡部敏明
- Journal Title
  
  先物オプションレポート 18・12
  
  Pages: 25-25
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] ARCH型モデルと"Realized Volatility"によるボラティリティ予測とバリュー・アット・リスク2006
- Author(s)
  渡部敏明
- Journal Title
  
  日本銀行金融研究所『金融研究』第25巻別冊第2号
  
  Pages: 39-74
- NAID
  40015151199
- Data Source
  KAKENHI-PROJECT-18103001
[Journal Article] 日経225の"Realized Volatility"とインプライド・ボラティリティ2006
- Author(s)
  渡部敏明・山口圭子
- Journal Title
  
  大阪証券取引所『先物オプションレポート』 18・12
  
  Pages: 2-5
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Journal Article] ARCH型モデルと"Realized Volatility"によるボラティリティ予測とバリュー・アット・リスク2006
- Author(s)
  渡部敏明
- Journal Title
  
  金融研究(日本銀行金融研究所) 25・別冊第2号
  
  Pages: 39-74
- NAID
  40015151199
- Data Source
  KAKENHI-PROJECT-18203901
[Journal Article] 確率的ボラティリティ変動モデル:分析法とモデルの発展2005
- Author(s)
  渡部敏明
- Journal Title
  
  日本大学経済科学研究所紀要 35
  
  Pages: 111-133
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Effects of the Bank of Japan's Intervention on Yen/Dollar Exchange Rate2005
- Author(s)
  Watanabe, T., Harada, K.
- Journal Title
  
  Journal of the Japanese and International Economies (近刊)(未定)
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Recent development of stochastic volatility models and their estimation methods2005
- Author(s)
  Watanabe, T.
- Journal Title
  
  Bulletin of the Research Institute of Economic Science, College of Economics, Ninon University, (in Japanese) 35
  
  Pages: 111-133
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] 確率的ボラティリティ変動モデル:分析法とモデルの発展2005
- Author(s)
  渡部敏明
- Journal Title
  
  日本大学経済学部経済科学研究所紀要 35
  
  Pages: 111-133
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] マルチ・ムーブ・サンプラーを用いた確率的ボラティリティ変動モデルのベイズ推定2005
- Author(s)
  渡部敏明
- Journal Title
  
  ベイズ計量経済分析-マルコフ連鎖モンテカルロ法とその応用
  
  Pages: 259-294
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Recent Development of Stochastic Volatility Models and their Estimation Methods.2005
- Author(s)
  Watanabe, T.
- Journal Title
  
  Bulletin of Research Institute of Economic Science, College of Economics, Nihon University 35
  
  Pages: 111-133
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Bayesian analysis of stochastic volatility model using multi-move sampler2005
- Author(s)
  Watanabe, T.
- Journal Title
  
  Bayesian Econometrics (in Japanese) Chapter 9
  
  Pages: 259-294
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Effects of the Bank of Japan's Intervention on Yen/Dollar Exchange Rate Volatility2005
- Author(s)
  Watanabe, T., Harada, K.
- Journal Title
  
  Journal of the Japanese and International Economies. (forthcoming)
- NAID
  120006933666
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] マルチ・ムーブ・サンプラーを用いた確率的ボラティリティ変動モデルのベイズ推定2005
- Author(s)
  渡部敏明
- Journal Title
  
  マルコフ連鎖モンテカルロ法を用いた応用計量分析
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Structural change in Japanese business fluctuations and Nikkei 225 stock index futures transactions2004
- Author(s)
  Watanabe, T., Uchiyama, H.
- Journal Title
  
  Financial Review, Ministry of Finance, Policy Research Institute (in Japanese) 73
  
  Pages: 153-164
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] 日経225先物の価格および取引高の日中の変動パターン2004
- Author(s)
  渡部敏明
- Journal Title
  
  大阪証券取引所『先物・オプションレポート』 16-7
  
  Pages: 2-5
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] A Multi-move Sampler for Estimating Non-Gaussian Time Series Models Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] 日本の景気変動の構造変化と日経225先物取引2004
- Author(s)
  渡部敏明, 内山博邦
- Journal Title
  
  財務省財務総合政策研究所『フィナンシャル・レビュー』 73
  
  Pages: 153-164
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Hedge efficiency by using bivariate GARCH model2004
- Author(s)
  Watanabe, T., Shibata, M.
- Journal Title
  
  Future Option Report, Osaka Securities Exchange (in Japanese) 16
  
  Pages: 2-5
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] A multi-move sampler for estimating non-Gaussian time series models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T, Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt(1997)2004
- Author(s)
  Watanabe, T., Omori, Y
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Realized Volatilityを用いた日経225先物価格のボラティリティの予測2004
- Author(s)
  柴田舞, 渡部敏明
- Journal Title
  
  大阪証券取引所『先物・オプションレポート』 16-12
  
  Pages: 2-5
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Data Source
  KAKENHI-PROJECT-15200022
[Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91・1
  
  Pages: 246-248
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Prediction of Nikkei 225 future price volatility using realized volatility2004
- Author(s)
  Shibata, M., Watanabe, T.
- Journal Title
  
  Future Option Report, Osaka Securities Exchange (in Japanese) 16-12
  
  Pages: 2-5
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Effects of the Bank of Japan's Intervention on Yen/Dollar Exchange Rate Volatility2004
- Author(s)
  Watanabe, T., Harada, K
- Journal Title
  
  Journal of the Japanese and International Economies.
- NAID
  120006933666
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] A Multi-move Sampler for Estimating Non-Gaussian Time Series Models : Comments on Shephard and Pitt (1997)2004
- Author(s)
  Watanabe, T., Omori, Y.
- Journal Title
  
  Biometrika 91
  
  Pages: 246-248
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Realized Volatilityを用いた日経225先物価格のボラティリティの予測2004
- Author(s)
  柴田舞, 渡部敏明
- Journal Title
  
  先物・オプションレポート 16・12
  
  Pages: 2-5
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Daily pattern of Nikkei 225 future price and transaction volume2004
- Author(s)
  Watanabe, T.
- Journal Title
  
  Future Option Report, Osaka Securities Exchange (in Japanese) 16-7
  
  Pages: 2-5
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] 日経225先物の価格および取引高の日中の変動パターン2004
- Author(s)
  渡部敏明
- Journal Title
  
  先物・オプションレポート 16・7
  
  Pages: 2-5
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Bayesian Analysis of a Markov Switching Stochastic Volatility Model2004
- Author(s)
  Shibata, M., Watanabe, T.
- Journal Title
  
  COE Discussion Paper, Faculty of Economics, Tokyo Metropolitan University 35
- NAID
  110003495323
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] 2変量GARCHモデルによるヘッジの効率性2003
- Author(s)
  渡部敏明, 柴田舞
- Journal Title
  
  大阪証券取引所『先物・オプションレポート』 15-6
  
  Pages: 2-5
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] The Estimation of Dynamic Bivariate Mixture Models : Reply to Liesenfeld and Richard Comments2003
- Author(s)
  Watanabe, T.
- Journal Title
  
  Journal of Business & Economic Statistics 21
  
  Pages: 577-580
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] The Estimation of Dynamic Bivariate Mixture Models : Reply to Liesenfeld and Richard Comments2003
- Author(s)
  Watanabe, T.
- Journal Title
  
  Journal of Business & Economic Statistics 21, 4
  
  Pages: 577-580
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] 日経225オプションデータを使ったGARCHオプション価格付けモデルの検証2003
- Author(s)
  渡部敏明
- Journal Title
  
  日本銀行金融研究所『金融研究』 22
  
  Pages: 1-34
- NAID
  40006027632
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Bayesian analysis of GARCH option pricing models2003
- Author(s)
  Mitsui, H., Watanabe, T.
- Journal Title
  
  Journal of the Japan Statistical Society, Japanese Issue (in Japanese) 33-3
  
  Pages: 307-324
- NAID
  110003160804
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Bayesian analysis of GARCH Option Pricing Models.2003
- Author(s)
  Mitsui, H., Watanabe, T.
- Journal Title
  
  Journal of the Japan Statistical Society (Japanese Issue) 33
  
  Pages: 307-324
- NAID
  110003160804
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] ベイズ推定法によるGARCHオプション価格付けモデルの分析2003
- Author(s)
  三井秀俊, 渡部敏明
- Journal Title
  
  日本統計学会誌 33
  
  Pages: 307-324
- NAID
  110003160804
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] ベイズ推定法によるGARCHオプション価格付けモデルの分析2003
- Author(s)
  三井秀俊, 渡部敏明
- Journal Title
  
  日本統計学会誌 33
  
  Pages: 307-324
- NAID
  110003160804
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] The Estimation of Dynamic Bivariate Mixture Models, Reply to Liesenfeld and Richard Comments.2003
- Author(s)
  Watanabe, T
- Journal Title
  
  Journal of Business & Economic Statistics, 21
  
  Pages: 577-580
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] The Estimation of Dynamic Bivariate Mixture Models : Reply to Liesenfeld and Richard Comments2003
- Author(s)
  Watanabe, T.
- Journal Title
  
  Journal of Business & Economic Statistics 21
  
  Pages: 577-580
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Verification of GARCH option pricing models using Nikkei 225 Option data2003
- Author(s)
  Watanabe, T.
- Journal Title
  
  Kinyu Kenkyu, Institute for Monetary and Economic Studies, Bank of Japan (in Japanese) 22-1
  
  Pages: 1-34
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15500181
[Journal Article] Effects of the Bank of Japan's Intervention on Yen/Dollar Exchange Rate Volatility
- Author(s)
  Watanabe, T., Harada, K.
- Journal Title
  
  Journal of the Japanese and International Economies
- NAID
  120006933666
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] A Simple Model of Financial Returns and Trading Volume in a Limit Order Market
- Author(s)
  Hamada, K., Sasaki, K., Watanabe, T.
- Journal Title
  
  Nikkei Econophysics III Proceedings
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] Effects of the Bank of Japan's Intervention on Yen/Dollar Exchange Rate Volatility.
- Author(s)
  Watanabe, T., Harada, K.
- Journal Title
  
  Journal of the Japanese and International Economies (forthcoming)
- NAID
  120006933666
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Journal Article] A Simple Model of Financial Returns and Trading Volume in a Limit Order Market.
- Author(s)
  Hamada, K., Sasaki, K., Watanabe, T.
- Journal Title
  
  Nikkei Econophysics III Proceedings (forthcoming)
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-15530221
[Presentation] Time-varying parameter heterogeneous autoregressive model with stochastic volatility2023
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  Webinar of Bayesian Econometrics 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Time-varying parameter heterogeneous autoregressive model with stochastic volatility2023
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  The 6th International Conference on Econometrics and Statistics (EcoSta 2023)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility models with skew-t distributions2023
- Author(s)
  Makoto Takahashi、Yuta Yamauchi、Toshiaki Watanabe、Yasuhiro Omori
- Organizer
  Webinar of Bayesian Econometrics 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] High-frequency realized stochastic volatility model2023
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  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「動学的パネルデータモデルによる多国間経済及びファイナンス波及分析」研究集会
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Time-varying parameter heterogeneous autoregressive model with stochastic volatility2023
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  The 25th International Conference on Computational Statistics (COMPSTAT 2023)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23H00048
[Presentation] Time-varying parameter heterogeneous autoregressive model with stochastic volatility2023
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  The 6th International Conference on Econometrics and Statistics (EcoSta 2023)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23H00048
[Presentation] Tail risk forecasting of realized volatility CAViaR models2023
- Author(s)
  Cathy W.S Chen, Hsiao-Yun Hsu and Toshiaki Watanabe
- Organizer
  The 6th International Conference on Econometrics and Statistics (EcoSta 2023)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Time-varying parameter heterogeneous autoregressive model with stochastic volatility2023
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  Webinar of Bayesian Econometrics 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2023
- Author(s)
  高橋慎・大森裕浩・渡部敏明・山内雄太
- Organizer
  Webinar of Bayesian Econometrics 2023
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Time-varying parameter heterogeneous autoregressive model with stochastic volatility2023
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  The 25th International Conference on Computational Statistics (COMPSTAT 2023)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Tail risk forecasting of realized volatility CAViaR models2023
- Author(s)
  Cathy W.S Chen、Hsiao-Yun Hsu、Toshiaki Watanabe
- Organizer
  The 6th International Conference on Econometrics and Statistics (EcoSta 2023)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23H00048
[Presentation] High-frequency realized stochastic volatility model2023
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  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「動学的パネルデータモデルによる多国間経済及びファイナンス波及分析」研究集会
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Realized stochastic volatility models with skew-t distributions2022
- Author(s)
  Makoto Takahashi、Yuta Yamauchi、Toshiaki Watanabe、Yasuhiro Omori
- Organizer
  The 5th International Conference on Econometrics and Statistics (EcoSta 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] High-frequency realized stochastic volatility model2022
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  The 11th Conference of the IASC-ARS The Asian Regional Section of the International Association for Statistical Computing (IASC-ARS 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] High-frequency realized stochastic volatility model2022
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  The 16th International Symposium on Econometric Theory and Applications (SETA2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] State-space method for the quadratic estimator of integrated variance in the presence of market microstructure noise2022
- Author(s)
  Daisuke Nagakura、Toshiaki Watanabe
- Organizer
  The 5th International Conference on Econometrics and Statistics (EcoSta 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Realized stochastic volatility with skewed t distribution2022
- Author(s)
  高橋慎・大森裕浩・渡部敏明・山内雄太
- Organizer
  24th International Conference on Computational Statistics
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] High-frequency realized stochastic volatility model with the generalized hyperbolic skew Student's t-distribution2022
- Author(s)
  Jouchi Nakajima、Toshiaki Watanabe
- Organizer
  The 16th International Conference on Computational and Financial Econometrics (CFE 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] High-frequency realized stochastic volatility model2022
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  The 11th Conference of the IASC-ARS The Asian Regional Section of the International Association for Statistical Computing (IASC-ARS 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] High-frequency realized stochastic volatility model with the generalized hyperbolic skew Student's t-distribution2022
- Author(s)
  Jouchi Nakajima and Toshiaki Watanabe
- Organizer
  The 16th International Conference on Computational and Financial Econometrics (CFE 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2022
- Author(s)
  高橋慎・大森裕浩・渡部敏明・山内雄太
- Organizer
  6th Eastern Asia Chapter of International Society for Bayesian Analysis (EAC-ISBA2022)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] High-frequency realized stochastic volatility model2022
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  The 16th International Symposium on Econometric Theory and Applications (SETA2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2022
- Author(s)
  高橋慎・大森裕浩・渡部敏明・山内雄太
- Organizer
  5th International Conference on Econometrics and Statistics (EcoSta2022)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] State-space method for the quadratic estimator of integrated variance in the presence of market microstructure noise2022
- Author(s)
  Daisuke Nagakura and Toshiaki Watanabe
- Organizer
  The 5th International Conference on Econometrics and Statistics (EcoSta 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2021
- Author(s)
  Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe, Yuta Yamauchi
- Organizer
  15th International Conference on Computational and Financial Econometrics (CFE2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Stochastic volatility models with time-varying leverage effect2021
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  The 15th International Conference on Computational and Financial Econometrics (CFE 2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Stochastic volatility models with time-varying leverage effect2021
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  The 4th International Conference on Econometrics and Statistics (EcoSta 2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] Realized stochastic volatility with skewed t distribution2021
- Author(s)
  Makoto Takahashi、Yasuhiro Omori、Toshiaki Watanabe、Yuta Yamauchi
- Organizer
  The 15th International Conference on Computational and Financial Econometrics (CFE2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] High-frequency realized stochastic volatility model2021
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  HSI2021-The 7th Hitotsubashi Summer Institute
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] High-frequency realized stochastic volatility model2021
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  5th International Conference on Econometrics and Statistics (EcoSta2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] High-frequency realized stochastic volatility model2021
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  HSI 2021-The 7th Hitotsubashi Summer Institute
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Stochastic volatility models with time-varying leverage effect2021
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  5th International Conference on Econometrics and Statistics (EcoSta2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] High-frequency realized stochastic volatility model2021
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  Insper Data Science and Decision Seminar Series
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] High-frequency realized stochastic volatility model2021
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  The 4th International Conference on Econometrics and Statistics (EcoSta 2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] High-frequency realized stochastic volatility model2021
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  Applied Time Series Econometrics Workshop
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] High-frequency stochastic volatility models2020
- Author(s)
  渡部敏明
- Organizer
  関西計量経済学研究会
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] High-frequency Realized Stochastic Volatility Model2020
- Author(s)
  Toshiaki Watanabe, Jouchi Nakajima
- Organizer
  HSI2020-6th Hitotsubashi Summer Institute
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] High-frequency stochastic volatility models2020
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  2019年度関西計量経済学研究会
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] High-frequency realized stochastic volatility model2020
- Author(s)
  Toshiaki Watanabe、Jouchi Nakajima
- Organizer
  The 14th International Conference on Computational and Financial Econometrics (CFE 2020)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20H00073
[Presentation] High-frequency Realized Stochastic Volatility Model2020
- Author(s)
  Toshiaki Watanabe, Jouchi Nakajima
- Organizer
  14th International Conference on Computational and Financial Econometrics (CFE 2020)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2019
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  ベイズ計量経済学研究集会
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] High-frequency Stochastic Volatility Models,2019
- Author(s)
  渡部敏明
- Organizer
  HSI2019-5th Hitotsubashi Summer Institute
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] High-Frequency Stochastic Volatility Models for the Japanese Stock Index2019
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  International Workshop on "One Belt & One Road"
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Intraday range-based stochastic volatility models with application to the Japanese stock index2019
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  4th Eastern Asia Chapter Meeting on Bayesian Statistics (EAC-ISBA 2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] ntraday range-based stochastic volatility models with application to the Japanese stock index2019
- Author(s)
  渡部敏明
- Organizer
  3rd International Conference on Econometrics and Statistics (EcoSta2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] High-frequency Stochastic Volatility Models2019
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  HSI2019-5th Hitotsubashi Summer Institute
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Intraday range-based stochastic volatility models with application to the Japanese stock index2019
- Author(s)
  渡部敏明
- Organizer
  4th Eastern Asia Meeting on Bayesian Statistics (EAC-ISBA 2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Intraday Range-Based Stochastic Volatility Models with Application to the Japanese Stock Index2019
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  3rd International Conference on Econometrics and Statistics (EcoSta 2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Realized stochastic volatility with skewed t distribution2019
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  ベイズ計量経済学研究集会
- Data Source
  KAKENHI-PROJECT-19H00588
[Presentation] Realized stochastic volatility with skewed t distribution2018
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  Workshop on Financial/Economic Analytics in 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] High-frequency stochastic volatility models for the Japanese stock2018
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized stochastic volatility with skewed t distribution2018
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] High-frequency stochastic volatility models for the Japanese stock2018
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  International Workshop on "One Belt & One Road"
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk2018
- Author(s)
  渡部敏明
- Organizer
  Workshop “Financial/Economic Analytics”
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] High-Frequency Stochastic Volatility Models for the Japanese Stock Index2018
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE 2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk2018
- Author(s)
  渡部敏明
- Organizer
  Workshop on Financial/Economic Analytics in 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] High-frequency stochastic volatility models for the Japanese stock2018
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  ベイズ計量経済分析研究集会
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Bayesian Analysis of Time-Varying Heterogeneous Autoregressive Models2018
- Author(s)
  Toshiaki Watanabe
- Organizer
  2018 International Society for Bayesian Analysis (ISBA) World Meeting
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Bayesian Analysis of Time-Varying Heterogeneous Autoregressive Models2018
- Author(s)
  Toshiaki Watanabe
- Organizer
  12th International Conference on Computational and Financial Econometrics (CFE2018)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] High-Frequency Stochastic Volatility Models for the Japanese Stock Index2018
- Author(s)
  Toshiaki Watanabe and Jouchi Nakajima
- Organizer
  ベイズ計量経済分析研究集会
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk2018
- Author(s)
  渡部敏明
- Organizer
  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」
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Realized stochastic volatility with skewed t distribution2018
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  ベイズ計量経済分析研究集会
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk2018
- Author(s)
  渡部敏明
- Organizer
  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」
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk2017
- Author(s)
  渡部敏明
- Organizer
  11th International Conference on Computational and Financial Econometrics (CFE2017)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] 時変多変量自己回帰モデルを用いた日本の輸出量の計量分析2017
- Author(s)
  中島上智・渡部敏明
- Organizer
  『経済研究』コンファレンス「日本経済と経常収支」
- Place of Presentation
  一橋講堂、東京
- Data Source
  KAKENHI-PROJECT-25245037
[Presentation] Predictability of Excess Bond Premium and Variance Risk Premium for Business Cycles and Recession Risk2017
- Author(s)
  渡部敏明
- Organizer
  The 11th International Conference on Computational and Financial Econometrics (CFE 2017)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00985
[Presentation] The Predictability of the Market Variance Risk Premium in Japan2016
- Author(s)
  Toshiaki Watanabe
- Organizer
  Seminar at the Department of Statistics, Feng Chia University
- Place of Presentation
  Feng Chia University（台湾、台中)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2016
- Author(s)
  Toshiaki Watanabe
- Organizer
  Seminar at the Department of Statistics, Feng Chia University
- Place of Presentation
  Feng Chia University, Taipei, Taiwan
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245037
[Presentation] Bayesian Estimation of Time-varying Price Impact in Financial Markets Using Intraday Data2016
- Author(s)
  Toshiaki Watanabe
- Organizer
  International Society for Bayesian Analysis 2016 World Meeting
- Place of Presentation
  Forte Village Resort Convention Center（イタリア、サルディーニャ）
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] The Predictability of the Market Variance Risk Premium in Japan2016
- Author(s)
  Toshiaki Watanabe
- Organizer
  Seminar at the Department of Statistics, Feng Chia University
- Place of Presentation
  Feng Chia University, Taipei, Taiwan
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245037
[Presentation] Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2016
- Author(s)
  Toshiaki Watanabe
- Organizer
  Seminar at the Department of Statistics, Feng Chia University
- Place of Presentation
  Feng Chia University（台湾、台中)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Bayesian Estimation of Time-varying Price Impact in Financial Markets Using Intraday Data2016
- Author(s)
  Toshiaki Watanabe
- Organizer
  International Society for Bayesian Analysis 2016 World Meeting
- Place of Presentation
  Forte Village Resort Convention Center, Sardegna, Italy
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245037
[Presentation] Stock return predictability of the market variance risk premium in Japan2015
- Author(s)
  Toshiaki Watanabe
- Organizer
  CFE-CMStatistics 2015
- Place of Presentation
  University of London（ロンドン、イギリス）
- Year and Date
  2015-12-13
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245037
[Presentation] Realized stochastic volatility models with generalized hyperbolic distribution2015
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  9th International Conference on Computational and Financial Econometrics (CFE2015)
- Place of Presentation
  ロンドン（英国）
- Year and Date
  2015-12-13
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] The Predictability of the Market Variance Risk Premium in Japan2015
- Author(s)
  渡部敏明
- Organizer
  9th International Conference on Computational and Financial Econometrics (CFE2015)
- Place of Presentation
  ロンドン（英国）
- Year and Date
  2015-12-13
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] The Predictability of the Market Variance Risk Premium in Japan2015
- Author(s)
  Toshiaki Watanabe and Masato Ubukata
- Organizer
  9th International conference on Computational and Financial Econometrics
- Place of Presentation
  The Senate House, University of London (London, UK)
- Year and Date
  2015-12-12
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] Stock Return Predictability of the Market Variance Risk Premium in Japan2015
- Author(s)
  Toshiaki Watanabe and Masato Ubukata
- Organizer
  Hitotsubashi Summer Institute Workshop “Frontiers in Financial Econometrics”
- Place of Presentation
  一橋大学東キャンパス第三研究館3階会議室（東京都国立市）
- Year and Date
  2015-08-04
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] Stock Return Predictability of the Market Variance Risk Premium in Japan2015
- Author(s)
  Toshiaki Watanabe
- Organizer
  Hitotsubashi Summer Institute Workshop“Frontiers in Financial Econometrics”
- Place of Presentation
  一橋大学（東京都、国立市）
- Year and Date
  2015-08-05
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-25245037
[Presentation] Stock Return Predictability of the Market Variance Risk Premium in Japan2015
- Author(s)
  渡部敏明
- Organizer
  Hitotsubashi Summer Institute Workshop“Frontiers in Financial Econometrics”
- Place of Presentation
  一橋大学（東京都国立市）
- Year and Date
  2015-08-05
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Volatility and Quantile Forecasts of Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2014
- Author(s)
  Toshiaki Watanabe
- Organizer
  Computational and Financial Econometrics
- Place of Presentation
  University of Pisa, イタリア
- Year and Date
  2014-12-06
- Invited
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Volatility and Quantile Forecasts of Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2014
- Author(s)
  Toshiaki Watanabe
- Organizer
  The China Meeting of Econometric Society
- Place of Presentation
  Xiamen University, Xiamen, China
- Year and Date
  2014-06-25
- Invited
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] Modelling the dynamics of realized volatility: long memory or smooth transition?2014
- Author(s)
  Toshiaki Watanabe
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学経済研究所, 東京都
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] Volatility and Quantile Forecasts of Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2014
- Author(s)
  Toshiaki Watanabe (共著者：Makoto Takahashi, Yasuhiro Omori)
- Organizer
  Computational and Financial Econometrics
- Place of Presentation
  University of Pisa, Pisa, Italy
- Year and Date
  2014-12-06
- Data Source
  KAKENHI-PROJECT-25245037
[Presentation] Volatility and Quantile Forecasts of Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2014
- Author(s)
  Toshiaki Watanabe
- Organizer
  The China Meeting of Econometric Society
- Place of Presentation
  Xiamen University, Xiamen, China
- Year and Date
  2014-06-25
- Invited
- Data Source
  KAKENHI-PROJECT-26245028
[Presentation] Volatility and Quantile Forecasts of Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2014
- Author(s)
  Toshiaki Watanabe
- Organizer
  8th International conference on Computational and Financial Econometrics (CFE2014)
- Place of Presentation
  University of Pisa, Italy
- Year and Date
  2014-12-06
- Invited
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] Volatility and Quantile Forecasts of Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2014
- Author(s)
  Toshiaki Watanabe (共著者：Makoto Takahashi, Yasuhiro Omori)
- Organizer
  The China Meeting of Econometric Society
- Place of Presentation
  Xiamen University, Xiamen, China
- Year and Date
  2014-06-25
- Data Source
  KAKENHI-PROJECT-25245037
[Presentation] Bayesian Analysis of Multiple Structural Changes in ARFIMA Models with an Application to Realized Volatility2013
- Author(s)
  渡部敏明
- Organizer
  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」
- Place of Presentation
  一橋大学（東京都）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian analysis of multiple structural changes in ARFIMA models with an application to realized volatility2013
- Author(s)
  Toshiaki Watanabe
- Organizer
  ISBA Section on Economics, Finance and Business at Bayes 259 Workshop
- Place of Presentation
  Duke University, Durham, NC, USA
- Invited
- Data Source
  KAKENHI-PROJECT-25245034
[Presentation] Volatility and Quantile Forecasts　of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic　Distribution2013
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  ISBA Regional Meeting & International Workshop/Conference on Bayesian Theory and Applications (IWCBTA) (招待講演)
- Place of Presentation
  The DST Centre for Interdisciplinary Mathematical Sciences, Banaras Hindu University, Varanasi, India
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian Analysis of Business Cycles in Japan Using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution2013
- Author(s)
  Toshiaki Watanabe
- Organizer
  International Conference "Frontiers in Macroeconometrics"
- Place of Presentation
  一橋大学,東京都
- Year and Date
  2013-03-01
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Realized stochastic volatility model with GH skewed t distribution2013
- Author(s)
  Makoto Takahashi, Toshiaki Watanabe, Yasuhiro Omori
- Organizer
  Joint Meeting of the IASC Satellite Conference for the 59th ISI WSC and the 8th Asian Regional Section (ARS) of the IASC
- Place of Presentation
  Yonsei University, Seoul, Korea
- Year and Date
  2013-08-22
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian Analysis of Business Cycles in Japan Using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution2013
- Author(s)
  Toshiaki Watanabe
- Organizer
  International Conference “Frontiers in Macroeconometrics”
- Place of Presentation
  一橋大学（東京都）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized Stochastic Volatility モデルー日次リターンとRealized Volatilityの同時モデル化2012
- Author(s)
  大森裕浩, 渡部敏明
- Organizer
  2012年度統計関連学会連合大会
- Place of Presentation
  北海道大学高等教育推進機構
- Invited
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Realized Stochastic Volatility モデル -日次リターンと Realized Volatility の同時モデル化2012
- Author(s)
  大森裕浩・渡部敏明
- Organizer
  2012 年度統計関連学会連合大会
- Place of Presentation
  北海道大学(北海道)
- Year and Date
  2012-09-10
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Bayesian Analysis of Identifying Restrictions for the Time-Varying Parameter Vector Autoregressive Model2012
- Author(s)
  Toshiaki Watanabe
- Organizer
  11th World Meeting of the International Society of Bayesian Analysis (ISBA2012)
- Place of Presentation
  京都テルサ
- Invited
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Bayesian Analysis of Identifying Restrictions for the Time-Varying Parameter Vector Autoregressive Model2012
- Author(s)
  Toshiaki Watanabe
- Organizer
  11th WorldMeeting of the International Society of Bayesian Analysis (ISBA2012)[招待講演]
- Place of Presentation
  京都テルサ,京都府
- Year and Date
  2012-06-28
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Volatility and Quantile Forecasts　of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic　Distribution2012
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  6th International Conference on Computational and Financial Econometrics (CFE2012)
- Place of Presentation
  Ovideo, Spain
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Volatility and Quantile Forecasts of Financial Returns using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2012
- Author(s)
  Watanabe, T
- Organizer
  The 3rd International Conference "High-frequency Data Analysis in Financial Markets"
- Place of Presentation
  広島経済大学(広島)
- Year and Date
  2012-11-16
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Volatility and Quantile Forecasts　of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic　Distribution2012
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  The Third International Conference High-Frequency Data Analysis in Financial Markets
- Place of Presentation
  広島経済大学立町キャンパス（広島県）
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Volatility and quantile forecasts of financial returns using realized stochastic volatility models with generalized hyperbolic distribution2012
- Author(s)
  Toshiaki Watanabe
- Organizer
  The Joint Usage and Research Center Project Workshop "The Estimation of Financial Volatility Using High-Frequency Data with Applications to Financial Risk Management"
- Place of Presentation
  広島経済大学立町キャンパス(広島県)
- Year and Date
  2012-03-17
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized Stochastic Volatility モデル-日次リターンとRealized Volatilityの同時モデル化2012
- Author(s)
  大森裕浩・渡部敏明
- Organizer
  2012年度統計関連学会連合大会（日本統計学会研究業績賞受賞講演）（招待講演）
- Place of Presentation
  北海道大学（北海道）
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution2012
- Author(s)
  Toshiaki Watanabe
- Organizer
  The 3rd International Conference “High-frequency Data Analysis in Financial Markets
- Place of Presentation
  広島経済大学立町キャンパス
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Bayesian Analysis of Identifying Restrictions for the Time-Varying Parameter Vector Autoregressive Model2012
- Author(s)
  Toshiaki Watanabe
- Organizer
  11th World Meeting of the International Society of Bayesian Analysis (ISBA2012) (招待講演)
- Place of Presentation
  京都テルサ（京都府）
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] A New Method for the Evaluation of Dynamic Stochastic General Equilibrium Models2011
- Author(s)
  渡部敏明
- Organizer
  マクロ計量分析研究会
- Place of Presentation
  一橋大学,東京都
- Year and Date
  2011-02-19
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] House Prices at Different Stages of the Buying/Selling Processes2011
- Author(s)
  Tsutomu Watanabe
- Organizer
  Monetary Authority of Singapore-BIS joint research workshop on " Property Markets and Financial Stability"[招待講演 ]
- Place of Presentation
  Monetary Authority of Singapore, Singapore
- Year and Date
  2011-09-05
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Quantile forecasts of financial returns using realized GARCH models2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  Stanford Institute for Theoretical Economics Summer 2011 Workshop
- Place of Presentation
  Stanford University, Stanford, CA, USA
- Year and Date
  2011-06-20
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  Recent Developments in Dynamic Analysis in Economics-30 Years after Macroeconomics and Reality
- Place of Presentation
  Seoul National University, Seoul, Korea
- Year and Date
  2011-05-26
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  5th Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  Norges Bank, Oslo, Norway
- Year and Date
  2011-08-23
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] MCMCのマクロ計量モデルへの応用2011
- Author(s)
  渡部敏明
- Organizer
  景気循環学会[招待講演]
- Place of Presentation
  東洋経済ビル,東京都
- Year and Date
  2011-11-19
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Value-at-Risk Using Realized GARCH Models2011
- Author(s)
  渡部敏明
- Organizer
  日本経済学会2011年度春季大会
- Place of Presentation
  熊本学園大学(熊本)(招待講演)
- Year and Date
  2011-05-22
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Estimating realized GARCH models with different volatility measures2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  2nd International Conference "High-frequency Data Analysis in Financial Markets"
- Place of Presentation
  大阪大学中之島センター(大阪)
- Year and Date
  2011-10-30
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  Joint Meeting of the 2011 Taipei International Statistical Symposium and 7th Conference of the Asian Regional Section of the IASC
- Place of Presentation
  Academia Sinica, Taipei, Taiwan
- Year and Date
  2011-12-19
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Estimating realized GARCH models with different volatility measures2011
- Author(s)
  Watanabe, T
- Organizer
  The 2nd International Conference "High-frequency Data Analysis in Financial Markets"
- Place of Presentation
  大阪大学中ノ島センター(大阪)
- Year and Date
  2011-10-30
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] マクロ動学一般均衡モデルーサーベイと日本のマクロデータへの応用2011
- Author(s)
  藤原一平・渡部敏明
- Organizer
  内閣府経済社会総合研究所セミナー
- Place of Presentation
  内閣府経済社会総合研究所
- Year and Date
  2011-03-04
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] MCMCのマクロ計量モデルへの応用2011
- Author(s)
  渡部敏明
- Organizer
  景気循環学会
- Place of Presentation
  東洋経済ビル,東京(招待講演)
- Year and Date
  2011-11-19
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  Joint Meeting of the 2011 Taipei International Statistical Symposium and 7th Conference of the Asian Regional Section of the IASC
- Place of Presentation
  Academia Sinica, Taipei, Taiwan
- Year and Date
  2011-12-19
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Discussion of "Food price pass-through in the euro area" by G.Ferrucci, R.Jimenex-Rodriguez, and L.Onorante2011
- Author(s)
  Tsutomu Watanabe
- Organizer
  The Third Annual IJCB Fall Conference on "Monetary Policy Issues in Open Economies
- Place of Presentation
  Bank of Canada, Ottawa, Canada(招待講演)
- Year and Date
  2011-09-30
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  International Workshop on Statistical Computing in Quantitative Finance and Biostatistics : A Satellite Meeting for the 7th IASC-ARS Conference
- Place of Presentation
  Feng Chia University, Taichung, Taiwan(招待講演)
- Year and Date
  2011-12-20
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Value-at-Risk Using Realized GARCH Models2011
- Author(s)
  渡部敏明
- Organizer
  日本経済学会2011年度春季大会
- Place of Presentation
  熊本学園大学,(熊本)(招待講演)
- Year and Date
  2011-05-22
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] BayesianAnalysis of Time-varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  Joint Meeting of the 2011 Taipei International Symposium and 7th Conference of the Asian Regional Section of the IASC
- Place of Presentation
  Academia Sinica, Taipei, Taiwan
- Year and Date
  2011-12-19
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  5th Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  Norges Bank, Oslo, Norway
- Year and Date
  2011-08-23
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Volatility and quantile forecasts of financial returns using realized stochastic volatility models with generalized hyperbolic distribution2011
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  The Second International Conference "High Frequency Data Analysis in Financial Markets
- Place of Presentation
  大阪大学(大阪府)
- Year and Date
  2011-10-28
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Discussion of "Foreclosures, House Prices, and the Real Economy" by A.Mian, A.Sufi, and F.Trebbi2011
- Author(s)
  Tsutomu Watanabe
- Organizer
  Bank of Japan Conference on "Real and Financial Linkage and Monetary Policy
- Place of Presentation
  Bank of Japan, Tokyo(招待講演)
- Year and Date
  2011-06-02
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] House Prices at Different Stages of the Buying/Selling Process2011
- Author(s)
  Tsutomu Watanabe
- Organizer
  Monetary Authority of Singapore-BIS joint research workshop on "Property Markets and Financial Stability
- Place of Presentation
  Monetary Authority of Singapore, Singapore city, Republic of Singapore(招待講演)
- Year and Date
  2011-09-05
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  Recent Developments in Dynamic Analysis in Economics-30 Years after Macroeconomics and Reality
- Place of Presentation
  Seoul National University, Seoul, Korea
- Year and Date
  2011-05-26
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Estimating realized GARCH models with different volatility measures2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  The Second International Conference "High Frequency Data Analysis in Financial Markets"
- Place of Presentation
  大阪大学中之島センター,(大阪府)
- Year and Date
  2011-10-30
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian Analysis of Time-varying Parameter Vector Autoregressive Model with theOrdering of Variables for the Japanese Economy and Monetary Policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  International Workshop on StatisticalComputing in Quantitative Finance and Biostatistics: A Satellite Meeting for the 7th IASC-ARS Conference
- Place of Presentation
  Feng Chia University, Taichung, Taiwan
- Year and Date
  2011-12-20
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  Joint Meeting of the 2011 Taipei International Statistical Symposium and 7th Conference of the Asian Regional Section of the IASC
- Place of Presentation
  Academia Sinica, Taipei, Taiwan(招待講演)
- Year and Date
  2011-12-19
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] A New Method for the Evaluation of Dynamic Stochastic General Equilibrium Models2011
- Author(s)
  渡部敏明
- Organizer
  マクロ計量分析研究会
- Place of Presentation
  一橋大学
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] House Prices at Different Stages of the Buying/Selling Process2011
- Author(s)
  Tsutomu Watanabe
- Organizer
  The 12th Ottawa Group Meeting, Statistics New Zealand, Wellington
- Place of Presentation
  Statistics New Zealand, Wellington, New Zealand(招待講演)
- Year and Date
  2011-05-05
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Bayesian Analysis of Time-varying Parameter Vector Autoregressive Model with theOrdering of Variables for the Japanese Economy and Monetary Policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  5th Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  Norges Bank, Oslo, Norway
- Year and Date
  2011-08-23
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] House Prices at Different Stages of the Buying/Selling Processes2011
- Author(s)
  Tsutomu Watanabe
- Organizer
  The 12th Ottawa Group Meeting[招待講演]
- Place of Presentation
  Statistics New Zealand Wellington, New Zealand
- Year and Date
  2011-05-05
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Some Issues on House Price Indexes (Panel Discussion)2011
- Author(s)
  Tsutomu Watanabe
- Organizer
  Symposium on Information, Institution and Governance in Real Estate Markets Organized by Institute of Real Estate Studies
- Place of Presentation
  National University of Singapore, Singapore city, Republic of Singapore(招待講演)
- Year and Date
  2011-05-20
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Bayesian Analysis of Time-varying Parameter VectorAutoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  Recent Developments in Dynamic Analysis in Economics-30 Years after Macroeconomics and Reality
- Place of Presentation
  Seoul National University, Seoul, Korea
- Year and Date
  2011-05-26
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Quantile forecasts of financial returns using realized GARCH models2011
- Author(s)
  Watanabe, T
- Organizer
  Stanford Institute for Theoretical Economics Summer 2011 Workshop
- Place of Presentation
  Stanford University, Stanford, CA (USA)
- Year and Date
  2011-06-20
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] Pricing Nikkei 225 Options Using Realized Volatility2011
- Author(s)
  渡部敏明
- Organizer
  日本大学経済学部セミナー
- Place of Presentation
  日本大学経済学部
- Year and Date
  2011-01-25
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] A New Method for the Evaluation of Dynamic Stochastic General Equilibrium Models2011
- Author(s)
  渡部敏明
- Organizer
  マクロ計量分析研究会
- Place of Presentation
  一橋大学
- Year and Date
  2011-02-19
- Data Source
  KAKENHI-PROJECT-18103001
[Presentation] Bayesian analysis of time-varying parameter vector autoregressive model with the ordering of variables for the Japanese economy and monetary policy2011
- Author(s)
  Toshiaki Watanabe
- Organizer
  International Workshop on Statistical Computing in Quantitative Finance and Biostatistics : A Satellite Meeting for the 7th IASC-ARS Conference
- Place of Presentation
  Feng Chia University, Taichung, Taiwan(招待講演)
- Year and Date
  2011-12-20
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] A New Method for the Evaluation of Dynamic Stochastic General Equilibrium Models2011
- Author(s)
  渡部敏明
- Organizer
  マクロ計量分析研究会
- Place of Presentation
  一橋大学
- Year and Date
  2011-02-19
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Discussion of "Debt, Deleveraging, and the Liquidity Trap" by G.Eggertsson and P.Krugman2011
- Author(s)
  Tsutomu Watanabe
- Organizer
  NBER Japan Project Meeting, Asian Development Bank Institute
- Place of Presentation
  Asian Development Bank Institute, Tokyo(招待講演)
- Year and Date
  2011-06-24
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] マクロ動学一般均衡モデルーサ-ベイと日本のマクロデータへの応用2011
- Author(s)
  藤原一平・渡部敏明
- Organizer
  内閣府経済社会総合研究所セミナー
- Place of Presentation
  内閣府経済社会総合研究所(東京)
- Year and Date
  2011-03-04
- Data Source
  KAKENHI-PROJECT-18103001
[Presentation] A New Method for the Evaluation of Dynamic Stochastic General Equilibrium Models2010
- Author(s)
  Toshiaki Watanabe
- Organizer
  4th CSDA International Conference on Computational and Financial Econometrics(CFE'10)
- Place of Presentation
  University of London
- Year and Date
  2010-12-11
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Fiscal Policy Switching in Japan, the U.S.and the U.K.2010
- Author(s)
  Arata Ito, Tsutomu Watanabe, Tomoyoshi Yabu
- Organizer
  The 23rd NBER-TCER-CEPR Conference on"Fiscal Policy and Crisis"
- Place of Presentation
  東京大学
- Year and Date
  2010-12-16
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] A New Method for the Evaluation of Dynamic Stochastic General Equilibrium Models2010
- Author(s)
  Toshiaki Watanabe
- Organizer
  4th CSDA International Conference on Computational and Financial Econometrics (CFE'10)
- Place of Presentation
  University of London, United Kingdom(Invited)
- Year and Date
  2010-12-12
- Data Source
  KAKENHI-PROJECT-18103001
[Presentation] A New Method for the Evaluation of Dynamic Stochastic General Equilibrium Models2010
- Author(s)
  Watanabe, T
- Organizer
  4^<th> CSDA International Conference on Computational and Financial Econometrics, at University of London
- Place of Presentation
  University of London, U. K.
- Year and Date
  2010-12-11
- Data Source
  KAKENHI-PROJECT-18103001
[Presentation] 動学的マクロモデルの計量分析2010
- Author(s)
  渡部敏明
- Organizer
  日本経済学会2010年度春季大会
- Place of Presentation
  千葉大学(千葉県)(招待講演)
- Data Source
  KAKENHI-PROJECT-22243021
[Presentation] A New Method for the Eqaluation of Dynamic Stochastic General Eauilibrium Models2010
- Author(s)
  Toshiaki Watanabe
- Organizer
  4^<th> CSDA International Conference on Computational and Financial Econometrics (CFE'10)
- Place of Presentation
  University of London, UK
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] 動学的マクロモデルの計量分析2010
- Author(s)
  藤原一平・渡部敏明
- Organizer
  日本経済学会2010年度春季大会
- Place of Presentation
  千葉大学(招待講演)
- Year and Date
  2010-06-05
- Data Source
  KAKENHI-PROJECT-18103001
[Presentation] 動学的マクロモデルの計量分析2010
- Author(s)
  藤原一平・渡部敏明
- Organizer
  日本経済学会2010年度春季大会
- Place of Presentation
  千葉大学
- Year and Date
  2010-06-05
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Fiscal Policy Switching in Japan, the U.S. and the U.K.2010
- Author(s)
  Arata Ito, Tsutomu Watanabe and Tomoyoshi Yabu
- Organizer
  The 23rd NBER-TCER -CEPR Conference on "Fiscal Policy and Crisis"
- Place of Presentation
  東京大学,東京都
- Year and Date
  2010-12-16
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] A New Method for the Evaluation of Dynamic StochasticGeneral Equilibrium Models2010
- Author(s)
  Toshiaki Watanabe
- Organizer
  4th CSDAInternational Conference on Computational and Financial Econometrics (CFE'10)[招待講演]
- Place of Presentation
  University of London, UK
- Year and Date
  2010-12-11
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] 動学的マクロモデルの計量分析2010
- Author(s)
  藤原一平,渡部敏明
- Organizer
  日本経済学会春季大会[招待講演]
- Place of Presentation
  千葉大学,千葉県
- Year and Date
  2010-06-05
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] 動学的マクロモデルの計量分析2010
- Author(s)
  藤原一平・渡部敏明
- Organizer
  日本経済学会2010年度春季大会
- Place of Presentation
  千葉大学(招待講演)
- Year and Date
  2010-06-05
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Pricing Nikkei 225 Options Using Realized Volatility2010
- Author(s)
  渡部敏明
- Organizer
  計量経済学・計量ファイナンス研究集会
- Place of Presentation
  広島経済大学立町キャンパス
- Year and Date
  2010-12-23
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] 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
- Author(s)
  渡部敏明
- Organizer
  2009年度統計関連学会連合学会チュートリアルセッション
- Place of Presentation
  同志社大学
- Year and Date
  2009-09-06
- Data Source
  KAKENHI-PROJECT-18103001
[Presentation] Option Pricing Using Realized Volatility and ARCH Type Models2009
- Author(s)
  生方雅人, 渡部敏明
- Organizer
  ファイナンスと計量経済学の最近の発展(Recent Develop-ments in Finance and Econometrics)
- Place of Presentation
  琉球大学
- Year and Date
  2009-02-15
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Recent Developments in the Studies on Financial Volatility2009
- Author(s)
  渡部敏明
- Organizer
  APFA7 & Tokyo Tech-Hitotsubashi Interdisciplinary Conference "New Approaches to the Analysis of Large-Scale Business and Economic Data"
- Place of Presentation
  東京工業大学
- Year and Date
  2009-03-05
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Option Pricing Using Realized Volatility and ARCH Type Models2009
- Author(s)
  生方雅人, 渡部敏明
- Organizer
  ファイナンスと計量経済学の最近の発展(Recent Developments in Finance and Econometrics)
- Place of Presentation
  琉球大学
- Year and Date
  2009-02-15
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Recent Developments in the Studies on Financial Volatility2009
- Author(s)
  渡部敏明
- Organizer
  APF7 & Tokyo Tech-Hitotsubashi Interdisci-plinery Conference "New Approaches to the Analysis of Large-Scale Business and Economic Data
- Place of Presentation
  東京工業大学
- Year and Date
  2009-03-05
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy2009
- Author(s)
  渡部敏明
- Organizer
  グローバルCOE Hi-Stat経済統計若手研究会「MCMCの経済データへの応用」
- Place of Presentation
  一橋大学
- Year and Date
  2009-09-15
- Data Source
  KAKENHI-PROJECT-18103001
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2008
- Author(s)
  高橋慎, 大森裕浩, 渡部敏明
- Organizer
  複雑現象のモデル化と統計理論的発展
- Place of Presentation
  金沢大学
- Year and Date
  2008-03-02
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Applicat ion to Realized Volatility2008
- Author(s)
  渡部敏明
- Organizer
  International Conference "High-Frequency Data Analysisin Financial Markets
- Place of Presentation
  一橋大学
- Year and Date
  2008-10-25
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2008
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  複雑現象のモデル化と統計理論的発展
- Place of Presentation
  金沢大学ザテライトプラザ
- Year and Date
  2008-03-19
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatilily2008
- Author(s)
  渡部敏明
- Organizer
  Joint Meeting of 4^<th> World Conference of the IASA and 6^<th> Conference of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, International Statistical Computing
- Place of Presentation
  パシフィコ横浜
- Year and Date
  2008-12-08
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2008
- Author(s)
  Takahashi, M., Omori, Y., Watanabe, T.
- Organizer
  Modeling complex phenomena and developments in statistical theory
- Place of Presentation
  Kanazawa University
- Year and Date
  2008-03-02
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2008
- Author(s)
  渡部敏明
- Organizer
  Joint Meeting of 4^<th> World Conference of the IASA and 6^<th> Conference of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, International Statistical Computing
- Place of Presentation
  パシフィコ横浜
- Year and Date
  2008-12-08
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2008
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  「複雑現象のモデル化と統計運論的発展」
- Place of Presentation
  金沢大学サテライトプラザ
- Year and Date
  2008-03-02
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Time-varying Structure of the Effects of Japanese Monetary Policy : a Bayesian Analysis Using a Structural VAR Model2008
- Author(s)
  中島上智, 粕谷宗久, 渡部敏明
- Organizer
  3^<rd> Japanese-European Bayesian Econonmetrics and Statistical Meeting
- Place of Presentation
  University of Brescia, Italy
- Year and Date
  2008-08-26
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2008
- Author(s)
  渡部敏明
- Organizer
  Inter-national Conference "High-Frequency Data Analysis in Financial Markets
- Place of Presentation
  一橋大学
- Year and Date
  2008-10-25
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2007
- Author(s)
  渡部敏明
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-08
- Data Source
  KAKENHI-PROJECT-18303901
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  Takahashi, M., Omori, Y., Watanabe, T.
- Organizer
  JEuBES 2007-2nd Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  The National Bank of Hungary, Budapest
- Year and Date
  2007-08-27
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Autoregressive Conditional Heteroskedasticity in Realized Volatility2007
- Author(s)
  Watanabe, T.
- Organizer
  Seminar on Econometrics
- Place of Presentation
  Hitotsubashi, University
- Year and Date
  2007-03-09
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Econometric analysis of Nikkei 225 Option price using FIEGARCH model2007
- Author(s)
  Takeuchi, A., Watanabe, T.
- Organizer
  Annual Meeting of Japanese Federation of Statistical Science Association
- Place of Presentation
  Kobe University
- Year and Date
  2007-09-08
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2007
- Author(s)
  Watanabe, T.
- Organizer
  Annual Meeting of Japanese Federation of Statistical Science Association
- Place of Presentation
  Kobe University
- Year and Date
  2007-09-08
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2007
- Author(s)
  渡部敏明
- Organizer
  2nd Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  The National Bank of Hungary, Budapest
- Year and Date
  2007-08-27
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  Department of Econometrics, University of Geneva,Switzerland
- Year and Date
  2007-04-21
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  Takahashi, M., Omori, Y., Watanabe, T.
- Organizer
  Annual Meeting of Japanese Federation of Statistical Science Association
- Place of Presentation
  Kobe University
- Year and Date
  2007-09-06
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  Department of Econometrics,University of Geneva,Switzerland
- Year and Date
  2007-04-21
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2007
- Author(s)
  渡部敏明
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-08
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2007
- Author(s)
  Toshiaki Watanabe
- Organizer
  2nd Japanese-European Bayesian Econometrics and Statistics Meeting,
- Place of Presentation
  The National Bank of Hungary
- Year and Date
  2007-08-27
- Data Source
  KAKENHI-PROJECT-18303901
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-06
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  Takahashi, M., Omori, Y., Watanabe, T.
- Organizer
  International Workshop on Computaional and Financial Econometrics
- Place of Presentation
  Department of Econometrics, University of Geneva, Switzerland
- Year and Date
  2007-04-21
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Measuring, Modeling and Forecasting Realized Volatility in the Japanese Stock Market2007
- Author(s)
  Watanabe, T. and Yamaguchi, K.
- Organizer
  FCSコンファレンス「計量経済学の最近の展開」
- Place of Presentation
  下関市立大学経済学部
- Year and Date
  2007-02-11
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] FIEGARCHモデルを用いた日経225オプション価格の計量分析2007
- Author(s)
  竹内明香・渡部敏明
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-07
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Measuring, Modeling and Forecasting Realized Volatility in the Japanese Stock Market2007
- Author(s)
  Watanabe, T., Yamaguchi, K.
- Organizer
  FCS Conference on Recent Developments in Econometrics
- Place of Presentation
  Department of Economics, Shimonoseki City University
- Year and Date
  2007-02-11
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Analysis of Structural Changes in ARFMA Models with an Application to Realized Vblatility2007
- Author(s)
  渡部敏明
- Organizer
  2nd Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  The National Bank of Hungary,Budapest
- Year and Date
  2007-08-27
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  JEuBES2007-2nd Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  The National Bank of Hulngary,Budapest
- Year and Date
  2007-08-27
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎, 大森裕浩, 渡部敏明
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-07
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Autoregressive Conditional Heteroskedasticity in Realized Volatility2007
- Author(s)
  Watanabe, T..
- Organizer
  計量経済学研究会
- Place of Presentation
  一橋大学経済研究所
- Year and Date
  2007-03-09
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2007
- Author(s)
  渡部敏明
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-08
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2007
- Author(s)
  Watanabe, T.
- Organizer
  JEuBES 2007-2nd Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  The National Bank of Hungary, Budapest
- Year and Date
  2007-08-27
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility2007
- Author(s)
  渡部敏明
- Organizer
  2^<nd> Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  The National Bank of Hungary
- Year and Date
  2007-08-27
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎・大森裕浩・渡部敏明
- Organizer
  JEuBES 2007-2nd Japanese-European Bayesian Econometrics and Statistics Meetine
- Place of Presentation
  The National Bank of Hungary, Budapest
- Year and Date
  2007-08-27
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Analysis of Structural Changes in ARFIMA Models with an APPIication to Realized Volatility2007
- Author(s)
  渡部敏明
- Organizer
  2007年度統計関連学会連合大会
- Place of Presentation
  神戸大学
- Year and Date
  2007-09-08
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously2007
- Author(s)
  高橋慎, 大森裕浩, 渡部敏明
- Organizer
  International Workshop on Computational and Financial Econometrics
- Place of Presentation
  University of Geneva
- Year and Date
  2007-04-21
- Data Source
  KAKENHI-PROJECT-18203901
[Presentation] MCMC-Based Bayesian Analysis of Cox-Ingersoll-Ross Models of the Term Structure of Interest Rates2006
- Author(s)
  Watanabe, T., Yamada, T. and Tanaka, K.
- Organizer
  1st Japanese-European Bayesian Econometrics and Statistics Meeting
- Place of Presentation
  Institute of Advanced Studies, Vienna, Austria
- Year and Date
  2006-08-23
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] MCMC method and its Application to Stochastic Volatility Models2006
- Author(s)
  Omori, Y., Watanabe, T.
- Organizer
  Conference in Commemoration of the 75th Anniversary of the Japan Statistical Society
- Place of Presentation
  University of Tokyo
- Year and Date
  2006-05-07
- Description
  「研究成果報告書概要(欧文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] MCMC法とその確率的ボラティリティ変動モデルへの応用2006
- Author(s)
  大森裕浩・渡部敏明
- Organizer
  日本統計学会75周年記念研究集会
- Place of Presentation
  東京大学
- Year and Date
  2006-05-07
- Description
  「研究成果報告書概要(和文)」より
- Data Source
  KAKENHI-PROJECT-18330039
[Presentation] Bayesian Analysis of Business Cycles in Japan Using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution
- Author(s)
  Toshiaki Watanabe
- Organizer
  International Conference “Frontiers in Macroeconometrics”
- Place of Presentation
  一橋大学, 東京都
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
- Author(s)
  Toshiaki Watanabe
- Organizer
  ISBA Regional Meeting & International Workshop/Conference on Bayesian Theory and Applications (IWCBTA)
- Place of Presentation
  Banaras Hindu University, Varanasi, India
- Invited
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Realized stochastic volatility model with GH skewedt distribution
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学経済研究所、東京都
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] DSGE-VARモデルについて
- Author(s)
  渡部敏明
- Organizer
  広島経済大学ファイナンス時系列研究会
- Place of Presentation
  広島経済大学立町キャンパス, 広島県
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian Analysis of Identifying Restrictions for the Time-Varying Parameter Vector Autoregressive Model
- Author(s)
  Toshiaki Watanabe
- Organizer
  11th World Meeting of the International Society of Bayesian Analysis (ISBA2012)
- Place of Presentation
  京都テルサ, 京都府
- Invited
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
- Author(s)
  Toshiaki Watanabe
- Organizer
  The Third International Conference“High-Frequency Data Analysis in Financial Markets
- Place of Presentation
  広島経済大学立町キャンパス, 広島県
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Modelling the dynamics of realized volatility: long memory or smooth transition?
- Author(s)
  Toshiaki Watanabe
- Organizer
  Workshop on High-frequency Data and Financial Econometrics
- Place of Presentation
  一橋大学経済研究所、東京都
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility models with generalized hyperbolic distribution
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  International Conference “Econometrics for Macroeconomics and Finance
- Place of Presentation
  一橋大学、東京都
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian analysis of business cycles in Japan using Markov switching model with stochastic volatility and fat tail distribution
- Author(s)
  Toshiaki Watanabe
- Organizer
  2013 Annual Meeting of the Taiwan Mathematical Society
- Place of Presentation
  National San Yat-Sen University, Kaohsiung, Taiwan
- Invited
- Data Source
  KAKENHI-PROJECT-25245037
[Presentation] Bayesian analysis of business cycles in Japan using Markov switching model with stochastic volatility and fat tail distribution
- Author(s)
  渡部敏明
- Organizer
  研究集会「マクロ計量経済分析の最新の展開」
- Place of Presentation
  長崎県立大学佐世保校, 長崎県
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian analysis of business cycles in Japan using Markov switching model with stochastic volatility and fat tail distribution
- Author(s)
  Toshiaki Watanabe
- Organizer
  2013 Annual Meeting of the Taiwan Mathematical Society
- Place of Presentation
  National San Yat-Sen University, Kaohsiung, Taiwan
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility model with GH skewedt distribution
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  研究集会「計量経済学の最近の展開」
- Place of Presentation
  長崎県立大学、長崎県
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian analysis of multiple structural changes in ARFIMA models with an application to realized volatility
- Author(s)
  Toshiaki Watanabe
- Organizer
  ISBA Section on Economics, Finance and Business at Bayes 259 Workshop
- Place of Presentation
  Duke University, Durham, NC, USA
- Data Source
  KAKENHI-PROJECT-25245037
[Presentation] Realized stochastic volatility model with GH skewedt distribution
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  Joint meeting of the IASC Satellite and the 8th IASC-ARS Conference
- Place of Presentation
  Yonsei University, Seoul, Korea
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian analysis of multiple structural changes in ARFIMA models with an application to realized volatility
- Author(s)
  Toshiaki Watanabe
- Organizer
  Joint Meeting of the IASC Satellite Conference for the 59th ISI WSC and the 8th Asian Regional Section (ARS) of the IASC
- Place of Presentation
  Yonsei University, Seoul, Korea
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Bayesian analysis of multiple structural changes in ARFIMA models with an application to realized volatility
- Author(s)
  Toshiaki Watanabe
- Organizer
  ISBA Section on Economics, Finance and Business at Bayes 259 Workshop
- Place of Presentation
  Duke University, Durham, NC, USA
- Invited
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized stochastic volatility models with generalized hyperbolic distribution
- Author(s)
  高橋慎・渡部敏明・大森裕浩
- Organizer
  金融リスクの計測・管理・制御と資本市場に纏わる諸問題
- Place of Presentation
  大阪大学、大阪府
- Data Source
  KAKENHI-PROJECT-21243018
[Presentation] Realized Stochastic Volatility モデル-日次リターンとRealized Volatilityの同時モデル化
- Author(s)
  大森裕浩・渡部敏明
- Organizer
  2012年度統計関連学会連合大会
- Place of Presentation
  北海道大学, 北海道
- Invited
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Volatility and Quantile Forecasts of Financial Returns Using Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution
- Author(s)
  Toshiaki Watanabe
- Organizer
  6th CSDA International Conference on Computational and Financial Econometrics (CFE12)
- Place of Presentation
  Conference Center, Oviedo, Spain
- Invited
- Data Source
  KAKENHI-PROJECT-22243026
[Presentation] Bayesian analysis of multiple structural changes in ARFIMA models with an application to realized volatility
- Author(s)
  Toshiaki Watanabe
- Organizer
  Workshop on Measuring and Modeling Financial Risk with High Frequency Data
- Place of Presentation
  European University Institute, Florence, Italy
- Invited
- Data Source
  KAKENHI-PROJECT-21243018

1. OMORI Yasuhiro (60251188)

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22. 山内雄太 (00914160)

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# of Collaborated Products: 5 results
23. 森田裕史 (70732759)

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24. 中島上智 (20962062)

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# of Collaborated Products: 14 results
25. ITOH Hideshi (80203165)

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26. ITOH Takatoshi (30203144)

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27. KANOH Satoru (50114971)

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28. MIYAGAWA Tsutomu (30272777)

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29. HIBIKI Akira (30218739)

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30. MAGHREBI Nabil (20283947)

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31. TANIGAWA Yasuhiko (60163622)

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32. OHNISHI Masamitsu (10160566)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
33. WATANABE Tsutomu (90313444)

# of Collaborated Projects: 1 results

# of Collaborated Products: 33 results
34. FUKUSHIGE Mototsugu (10208936)

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35. KAKAMU Kazuhiko (00456005)

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36. OHTA Wataru (20293681)

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37. TAKADA Teruko (30347504)

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38. UCHIDA Masayuki (70280526)

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39. KINOSHITA Ryo (10732323)

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40. IWAISAKO TOKUO (90292523)

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41. SHIGEMASU Kazuo (90091701)

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42. TERUI Nobuhiko (50207495)

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43. SHIBA Tsunemasa (90187386)

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44. TANAKA Katsuto (40126595)

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45. ISHIMURA Naoyuki (80212934)

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46. HONDA Toshio (30261754)

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47. KUROZUMI Eiji (00332643)

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48. YAMADA Masahiro (60732435)

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49. YAMADA Toshiro (50754701)

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50. SHIMOTSU Katsumi (50547510)

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51. TAKAHASHI Hajime (70154838)

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52. KARIYA Takeaki (70092624)

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53. FUJITA Takahiko (50144316)

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54. 内田善彦 (10403023)

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55. 宇南山卓 (20348840)

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56. 菅原慎矢 (30711379)

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57. 谷崎久志 (60248101)

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58. NAKATA Hayato

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59. 阿部修人

# of Collaborated Projects: 0 results

# of Collaborated Products: 1 results

WATANABE Toshiaki 渡部 敏明

渡部 敏明 ワタナベ トシアキ

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The construction of new uncertainty indicators and theoretical and econometric analysis of their impact on financial markets and the macroeconomyPrincipal Investigator

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Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency dataPrincipal Investigator

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Building New Macroeconometric Models with Applications to Economic Forecasting Using Big DataPrincipal Investigator

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Econometric Analysis of Macroeconomic Policy under Financial CrisisPrincipal Investigator

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Econometric Analysis of Securities Markets in Japan Using High-frequency DataPrincipal Investigator

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WATANABE Toshiaki 渡部敏明

渡部敏明ワタナベトシアキ