Toshiaki Watanabe

Profile Information

Affiliation: Professor (Dean of the Faculty and Graduate School), Graduate School of S, Hitotsubashi University
: Individual office commission, Institute for Economic Studies, Bank of Japan

Degree: Ph.D. (Economics)(Nov, 1993, Yale University)
Bachelar (Economics)(Mar, 1986, The University of Tokyo)

Researcher number: 90254135
ORCID ID: https://orcid.org/0000-0002-4342-4538
J-GLOBAL ID: 200901041340007120
researchmap Member ID: 1000165805

External link: https://www.sds.hit-u.ac.jp/en/faculty/toshiaki-watanabe/

Research Interests

Research Areas

Research History

Nov, 2023 - Present

Professor (Dean of the Faculty and Graduate School of Social Data Science), Graduate School of So, Hitotsubashi University
Apr, 2006 - Present

Individual office commission, Institute for Economic Studies, Bank of Japan
Oct, 2020 - Mar, 2023

Director, Center for the Promotion of Social Data Science Education and Research, Hitotsubashi University
Apr, 2020 - Mar, 2023

Assistant to the President for Research and Education on Social Data Science, Hitotsubashi UniversityHitotsubashi University
Apr, 2006 - Mar, 2023

Professor, Institute of Economic Research, Hitotsubashi University
Apr, 2019 - Mar, 2021

Director, Institute of Economic Research, Hitotsubashi University
Mar, 2005 - Mar, 2006

Senior Fellow, Institute for Economic Studies, Bank of Japan
Oct, 2001 - Mar, 2005

Professor, Faculty of Economics, Tokyo Metropolitan University
Apr, 1994 - Sep, 2001

Associate Professor, Faculty of Economics, Tokyo Metropolitan University
Jul, 1993 - Mar, 1994

Assistant Professor, Faculty of Economics, Tokyo Metropolitan University

Education

Sep, 1988 - Nov, 1993

Graduate School of Economics, Yale University
Apr, 1986 - Aug, 1988

Graduate School of Economics, The University of Tokyo
- Mar, 1986

Economics, Faculty of Economics, The University of Tokyo

Awards

Sep, 2012

日本統計学会研究業績賞, 日本統計学会
Nov, 2011

景気循環学会中原奨励賞, 景気循環学会

Papers

Bayesian estimation of realized GARCH-type models with application to financial tail risk management

Cathy W.S. Chen, Toshiaki Watanabe, Edward M.H. Lin

Econometrics and Statistics, 28 30-46, Oct, 2023 Peer-reviewedInvited
Tail risk forecasting of realized volatility CAViaR models

Cathy W.S. Chen, Hsiao-Yun Hsu, Toshiaki Watanabe

Finance Research Letters, 51 103326-103326, Jan, 2023 Peer-reviewedLast author
Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility

Makoto Takahashi, Toshiaki Watanabe, Yasuhiro Omori

Econometrics and Statistics, Aug, 2021 Peer-reviewedInvited
Realized Stochastic Volatility Model : Extensions and Application to Japanese Stock Index

68(1) 65-85, Jun, 2020 Peer-reviewedInvited
Heterogeneous Autoregressive モデルーサーベイと日経225 株価指数の実現ボラティリティへの応用ー

渡部敏明

『広島経済大学経済研究論集』, 42(3) 5-18, Mar, 2020 Invited
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility

Cathy W.S. Chen, Toshiaki Watanabe

Applied Stochastic Models in Business and Industry, 35(3) 747-765, Jun, 2019 Peer-reviewed
Econometric Analysis of Japanese Exports Using a Time-Varying Parameter Vector Autoregressive Model

Jouchi Nakajima, Toshiaki Watanabe

Economic Review, 68(3) 237-249, Jul, 2017 Peer-reviewed
Bayesian Forecasting of Value-at-Risk Based on Variant Smooth Transition Heteroskedastic Models

Cathy W. S. Chen, Monica M. C. Weng, Toshiaki Watanabe

STATISTICS AND ITS INTERFACE, 10(3) 451-470, Jan, 2017 Peer-reviewed
Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution

Makoto Takahashi, Toshiaki Watanabe, Yasuhiro Omori

INTERNATIONAL JOURNAL OF FORECASTING, 32(2) 437-457, Apr, 2016 Peer-reviewed
Evaluating the performance of futures hedging using multivariate realized volatility

Masato Ubukata, Toshiaki Watanabe

JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES, 38 148-171, Dec, 2015 Peer-reviewed
A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise

Daisuke Nagakura, Toshiaki Watanabe

Journal of Financial Econometrics, 13(1) 45-82, Jun, 2015 Peer-reviewed
Stochastic Volatility and Realized Stochastic Volatility Models

Yasuhiro Omori, Toshiaki Watanabe

S. K. Upadhyay, U. Singh, D. K. Dey and A. Loganathan eds. Current Trends in Bayesian Methodology with Applications, Chapman & Hall/CRC Press, 435-456, May, 2015 Peer-reviewed
Econometric Analysis of Business Cycles: A Survey with the Application to the Composite Index in Japan

Tsunehiro Ishihara, Toshiaki Watanabe

The Economic Review, 66(2) 145-168, Apr, 2015 Peer-reviewed
Pricing Nikkei 225 Options Using Realized Volatility

Masato Ubukata, Toshiaki Watanabe

Japanese Economic Review, 65(4) 431-467, Dec, 2014 Peer-reviewed
Market Variance Risk Premiums in Japan for Asset Predictability

Masato Ubukata, Toshiaki Watanabe

Empirical Economics, 47(1) 169-198, Aug, 2014 Peer-reviewed
Bayesian Analysis of Business Cycle in Japan using Markov Switching Model with Stochastic Volatility and Fat-tail Distribution

Toshiaki Watanabe

『経済研究』, 65(2) 156-167, Apr, 2014 Peer-reviewed
アメリカにおける量的緩和の効果－実証分析のサーベイ－

渡部敏明

『証券アナリストジャーナル』, 52(4) 28-34, Apr, 2014
News Impact Curve for Stochastic Volatility Models

Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe

ECONOMICS LETTERS, 120(1) 130-134, Jul, 2013 Peer-reviewed
Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data-

Jouchi Nakajima, Toshiaki Watanabe

The Economic Review (Keizai Kenkyu), 63(3) 193-208, Jul, 2012 Peer-reviewed
Realized Stochastic Volatility Model : Bayesian Analysis Using Markov Chain Monte Carlo

Omori Yasuhiro, Watanabe Toshiaki

42(2) 273-303, Jun, 2012

Misc.

一橋大、72年ぶり新学部

渡部敏明

日本経済新聞朝刊, 27-27, Apr 25, 2023 Invited
新型コロナウイルス禍での日経平均株価のボラティリティと分散リスクプレミアム(2)

渡部敏明

日本取引所グループ『先物・オプションレポート』, 33(3) 1-5, Mar, 2021 Invited
新型コロナウイルス禍での日経平均株価のボラティリティと分散リスクプレミアム(1)

渡部敏明

日本取引所グループ『先物・オプションレポート』, 33(2) 1-8, Feb, 2021 Invited
Stock Return Predictability and Variance Risk Premia around the ZLB

Toshiaki Ogawa, Masato Ubukata, Toshiaki Watanabe

IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, 2020-E-9, Jul, 2020
「ベイズ計量経済学へのいざない～入門から実践へ」第6回(ファイナンスやマクロ経済学への応用(2))

大森裕浩, 渡部敏明

『経済セミナー』, (2019年2・3月号) 94-98, Jan, 2019 Invited
「ベイズ計量経済学へのいざない～入門から実践へ」第5回(ファイナンスやマクロ経済学への応用(1))

大森裕浩, 渡部敏明

『経済セミナー』, (2018年12・2019年1月号), Nov, 2018 Invited
日経 225 先物のリターン、ボラティリティ、出来高の日中周期性

渡部敏明

日本取引所グループ『先物・オプションレポート』, 30(11) 1-10, Nov, 2018 Invited
「ベイズ計量経済学へのいざない～入門から実践へ」第4回(さまざまなミクロ計量経済モデル)

大森裕浩, 渡部敏明

『経済セミナー』, (2018年10・11月号), Sep, 2018 Invited
「ベイズ計量経済学へのいざない～入門から実践へ」第3回(シミュレーションで問題を解く)

大森裕浩, 渡部敏明

『経済セミナー』, (2018年8・9月号), Jul, 2018 Invited
「ベイズ計量経済学へのいざない～入門から実践へ」第2回(役に立つモデルとは)

大森裕浩, 渡部敏明

『経済セミナー』, (2018年6・7月号), May, 2018 Invited
「ベイズ計量経済学へのいざない～入門から実践へ」第1回(データを使って学習する)

大森裕浩, 渡部敏明

『経済セミナー』, (2018年4・5月号), Mar, 2018 Invited
クリストファー・シムズ教授講演“Credit and Crises”解説

渡部敏明

『経済セミナー』, (2017年6・7月号) 51-55, Jun, 2017 Invited
日経225分散リスク・プレミアムの予測力

渡部敏明

日本取引所『先物・オプションレポート』, 28(11) 1-8, Nov, 2016 Invited
ルーカス批判とマクロ計量分析

渡部敏明

『経済セミナー』増刊「進化する経済学の実証分析」日本評論社, 37-41, Sep, 2016 Invited
経済指標・金融政策の公表が日本国債先物の日中流動性に与える影響

土田直司, 吉羽要直, 渡部敏明

日本取引所『先物・オプションレポート』, 28(9) 1-6, Sep, 2016 Invited
The Intraday Market Liquidity of Japanese Government Bond Futures

Naoshi Tsuchida, Toshiaki Watanabe, Toshinao Yoshiba

IMES Discussion Paper Series, 2106-E-7, Institute for Monetary and Economic Studies, Bank of Japan, Jun, 2016
条件付き不均一分散の頑強推定の展望

渡部敏明

北川源四郎・田中勝人・川崎能典監訳『時系列分析ハンドブック』朝倉書店, 137-170, Feb, 2016 Invited
Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management （共著）

Cathy W. S. Chen, Monica M, C. Weng, Toshiaki Watanabe

Discussion Paper, HIAS-E-16, Hitotsubashi Institute for Advanced Studies, Dec, 2015
分散リスク・プレミアム

渡部敏明

日本取引所グループ『先物・オプションレポート』, 26(9) 1-7, Sep, 2014 Invited
モデル・フリー・インプライド・ボラティリティの計算方法について

渡部敏明

大阪証券取引所『先物オプションレポート』, 25(7), Jul, 2013 Invited

Books and Other Publications

日本の物価・資産価格 : 価格ダイナミクスの解明

渡辺, 努, 清水, 千弘 (Role: Contributor)

東京大学出版会, Jun, 2023 (ISBN: 9784130403108)
Stochastic Volatility and Realized Stochastic Volatility Models (SpringerBriefs in Statistics)

Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe (Role: Joint author)

Springer, Apr 19, 2023 (ISBN: 9819909341)
ファイナンス・景気循環の計量分析

浅子, 和美, 渡部, 敏明 (Role: Joint editor)

ミネルヴァ書房, Dec, 2011 (ISBN: 9784623060474)
ボラティリティ変動モデル

渡部, 敏明

朝倉書店, Feb, 2003 (ISBN: 9784254275049)

Presentations

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility

Toshiaki Watanabe

The 25th International Conference on Computational Statistics (COMPSTAT 2023), Aug 22, 2023 Invited
Time-varying parameter heterogeneous autoregressive model with stochastic volatility

Toshiaki Watanabe

The 6th International Conference on Econometrics and Statistics (EcoSta 2023), Aug 1, 2023 Invited
ソーシャル・データサイエンス

渡部敏明

ビジネス+IT Webセミナー DX時代のデータ活用・分析 2023 夏, Jun 30, 2023 Invited
一橋大学ソーシャル・データサイエンス学部・研究科の概要

渡部敏明

データサイエンティスト・ジャパン2023, Mar 31, 2023 Invited
High-Frequency Realized Stochastic Model

Toshiaki Watanabe

Seminar on Data Analytics and Risk Managemen, Jun 15, 2022 Invited
High-frequency realized stochastic volatility model

Toshiaki Watanabe, Jouchi Nakajima

The 11th Conference of the IASC-ARS, The Asian Regional Section of the International Association for Statistical Computing (IASC-ARS 2022), Feb 23, 2022 Invited
Stochastic volatility models with time-varying leverage effect

Jouchi Nakajima, Toshiaki Watanabe

The 15th International Conference on Computational and Financial Econometrics (CFE 2021), Dec 19, 2021 Invited
Realized stochastic volatility models with skew t distributions

Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe, Yuta Yamauchi

The 15th International Conference on Computational and Financial Econometrics (CFE 2021), Dec 19, 2021 Invited
High-frequency realized stochastic volatility model

Jouchi Nakajima, Toshiaki Watanabe

Insper Data Science and Decision Seminar Series, Dec 2, 2021 Invited
データ・サイエンスの発展とファイナンス研究の方向性

渡部敏明

ファイナンス・ワークショップ, Nov 5, 2021 Invited
High-frequency realized stochastic volatility model

Jouchi Nakajima, Toshiaki Watanabe

HSI2021-The 7th Hitotsubashi Summer Institute, Macro- and Financial Econometrics, Aug 31, 2021
Stochastic volatility models with time-varying leverage effect

Jouchi Nakajima, Toshiaki Watanabe

The 4th International Conference on Econometrics and Statistics (EcoSta 2021), Jun 24, 2021 Invited
High-frequency realized stochastic volatility model

Toshiaki Watanabe, Jouchi Nakajima

The 4th International Conference on Econometrics and Statistics (EcoSta 2021), Jun 24, 2021 Invited
High-frequency realized stochastic volatility model

Jouchi Nakajima, Toshiaki Watanabe

Applied Time Series Econometrics Workshop, Apr 9, 2021 Invited
High-frequency realized stochastic volatility model (Special Invited Session “Advances in Bayesian analysis and applications”)

Toshiaki Watanabe, Jouchi Nakajima

The 14th International Conference on Computational and Financial Econometrics (CFE 2020), Dec 19, 2020 Invited
High-frequency Realized Stochastic Volatility Model

Toshiaki Watanabe, Jouchi Nakajima

HSI2020－6th Hitotsubashi Summer Institute, Oct 31, 2020
High-frequency Stochastic Volatility Models

Toshiaki Watanabe

HSI2019-5th Hitotsubashi Summer Institute, Aug 3, 2019
Intraday Range-based Stochastic Volatility Models with Application to the Japanese Stock Index

Toshiaki Watanabe

The 4th Eastern Asia Chapter Meeting on Bayesian Statistics, EAC-ISBA2019, Jul 13, 2019 Invited
Intraday Range-Based Stochastic Volatility Models with Application to the Japanese Stock Index

Toshiaki Watanabe

3rd International Conference on Econometrics and Statistics (EcoSta 2019), Jun 25, 2019 Invited
High-frequency Stochastic Volatility Models for the Japanese Stock Index

渡部敏明

International Workshop on “One Belt & One Road”, Mar, 2019 Invited

Teaching Experience

Professional Memberships

Research Projects

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

Grants-in-Aid for Scientific Research, Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Apr, 2023 - Mar, 2028
New developments in high-dimensional data modeling and statistical risk analysis

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Apr, 2019 - Mar, 2024

Yasuhiro Omori, Yuta Kurose, Makoto Takahashi, Kaoru Irie, Tsuyoshi Kunihama, Tsunehiro Ishihara, Toshiaki Watanabe
Econometric analysis of risk of asset price fluctuations and business cycles using big and high-frequency data

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Apr, 2020 - Mar, 2023

Toshiaki Watanabe, Etsuro Shioji, Takashi Kano, Yohei Yamamoto, Ryo Jinnai, Yasuhiro Omori, Mototsugu Shintani, Masato Ubukata, Hiroshi Morita
Building New Macroeconometric Models with Applications to Economic Forecasting Using Big Data

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Apr, 2017 - Mar, 2020

Toshiaki Watanabe, Mototsugu Shintani, Etsuro Shioji, Ryo Jinnai, Yasuhiro Omori, Yohei Yamamoto, Takashi Kano
Bayesian modeling of multivariate economic and financial data and Probabilistic evaluation of policy and behavior

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Apr, 2014 - Mar, 2019

Yasuhiro Omori, Yuta Kurose, Nakoto Takahashi, Kaoru Irie, Tsuyoshi Kunihama, Toshiaki Watanabe, Shinya Sugawara
Japan's Current Account Dynamics in the Time of Population Aging and Decline

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Oct, 2013 - Mar, 2017

Tokuo Iwaisako, Takashi Unayama, Toshiaki Watanabe, Hayato Nakata
Statistical inference and empirical analysis of high frequency market data

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Apr, 2013 - Mar, 2016

OYA KOSUKE, OHTA Wataru, WATANABE Toshiaki, TAKADA Teruko, UCHIDA Masayuki, FUKASAWA Masaaki, ISHIDA Isao, KINOSHITA Ryo
Financial Engineering to ERM: Theoretical and Empirical Investigation

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Oct, 2012 - Mar, 2016

SHIBA Tsunemasa, TANAKA Katsuto, ISHIMURA Naoyuki, HONDA Toshio, KUROZUMI Eiji, YAMAMOTO Yohei, ISHIHARA Tsunehiro, YAMADA Masahiro, YAMADA Toshiro, SHIMOTSU Katsumi, TAKAHASHI Hajime, WATANABE Toshiaki, KARIYA Takeaki, FUJITA Takahiko
Bayesian econometric analysis of financial risk and economic behavior

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Apr, 2009 - Mar, 2014

OMORI YASUHIRO, KOZUMI Hideo, HIBIKI Akira, WATANABE Toshiaki
Issues related to financial risk measurement and its statistical inference

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Apr, 2010 - Mar, 2012

OYA Kosuke, WATANABE Toshiaki, MAGHREBI Nabil, TANIGAWA Yasuhiko, OHNISHI Masamitsu, UBUKATA Masato, ISHIDA Isao, FUKASAWA Masaaki
Econometric Analysis of Macroeconomic Policy under Financial Crisis

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Apr, 2010 - Mar, 2012

WATANABE Toshiaki, SHIOJI Etsuro, ASAKO Kazumi, WATANABE Tsutomu, FUKUSHIGE Mototsugu, KAKAMU Kazuhiko
Synthetic Studies on Business Cycle and Economic Growth-Construction of Business Cycle Models and Empirical Analysis of Japanese Economy

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (S), Grant-in-Aid for Scientific Research (S), Japan Society for the Promotion of Science, Apr, 2006 - Mar, 2010

ASAKO Kazumi, ITOH Hideshi, ITOH Takatoshi, KANOH Satoru, MIYAGAWA Tsutomu, WATANABE Toshiaki
ＤＳＧＥ-ＶＡＲモデルの日本のマクロデータへの応用

共同研究（国際共同研究）, 内閣府経済社会総合研究所, Apr, 2008 - Mar, 2009
Econometric Analysis of Securities Markets in Japan Using High-frequency Data

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Apr, 2006 - Mar, 2008

WATANABE Toshiaki, OMORI Yasuhiro, OYA Kousuke, SATOYOSHI Kiyotaka, KOBAYASHI Masato
高頻度データを用いた日本の証券市場の計量分析

科学研究費助成事業, 日本学術振興会, 2006 - 2008

渡部敏明, 大森裕浩, 大屋幸輔, 里吉清隆, 小林正人
Bayesian econometric analysis of semiparametirc model

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (B), Grant-in-Aid for Scientific Research (B), Japan Society for the Promotion of Science, Apr, 2006 - Mar, 2007

OMORI Yasuhiro, ISHIDA Isao, WAGO Hajime, WATANABE Toshiaki, KOZUMI Hideo, OGA Takashi
Statistical Analysis of Structure using Latent Variable Model

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Japan Society for the Promotion of Science, Apr, 2003 - Mar, 2006

WAGO Hajime, SHIGEMASU Kazuo, TERUI Nobuhiko, OMORI Yoshiro, KOZUMI Hideo, WATANABE Toshiaki
Econometric Analysis of Stock Markets in Japan using Models of Changing Volatility

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C), Grant-in-Aid for Scientific Research (C), Japan Society for the Promotion of Science, Apr, 2003 - Mar, 2004

WATANABE Toshiaki, OMORI Yasuhiro, OGA Takashi
Statistical inference for nonlinear dynamic model by Markov chain Monte Carlo method

Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C), Grant-in-Aid for Scientific Research (C), Japan Society for the Promotion of Science, Apr, 2003 - Mar, 2004

OMORI Yasuhiro, WAGO Hajime, WATANABE Toshiaki
Option price evaluation when volatility changes stochastically

Grants-in-Aid for Scientific Research Grant-in-Aid for Encouragement of Young Scientists (A), Grant-in-Aid for Encouragement of Young Scientists (A), Japan Society for the Promotion of Science, Apr, 1998 - Mar, 1999

Toshiaki Watanabe

Profile Information

Research Interests

Research Areas

Research History

Education

Awards

Papers

Misc.

Books and Other Publications

Presentations

Teaching Experience

Professional Memberships

Research Projects

Menu

Coauthors