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Institute of Economic Research Hitotsubashi University
2-1 Naka, Kunitachi City,
Tokyo 186-8603, JAPAN
Tel
+81 42 580 8327
Fax
+81 42 580 8333
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| Education |
| 1986 |
B.A. (Economics) University of Tokyo |
| 1993 |
Ph.D. (Economics) Yale University |
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| Positions held |
| 1993 |
Assistant Professor, Tokyo Metropolitan University |
| 1994 |
Associate Professor, Tokyo Metropolitan University |
| 2001 |
Professor, Tokyo Metropolitan University |
| 2005 |
Senior Fellow, Institute for Monetary and Economic
Studies, Bank of Japan |
| 2006 |
Professor, Institute of Economic Research, Hitotsubashi
University |
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| Previous research |
| Since my Ph.D. thesis at Yale University, my research has dealt mainly with asset price volatility. Asset price volatility represents an important variable in finance referring to the standard deviation and variance of asset returns. Specifically, I have been involved in developing volatility changing models and their estimation methods and have applied these to the prediction of future volatility, the option pricing, the Value-at-Risk (VaR) and the analysis of the relationship between volatility and trading volume. Some of this research has been compiled in a book entitled “Volatility Changing Models” (in Japanese) published by Asakura Shoten. With regard to estimation methods for stochastic volatility models, I have been conducting research on Markov chain Monte Carlo (MCMC) methods. |
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| Current research projects |
| The research I am currently involved in covers the following two topics: (1) the modeling of realized volatility, which is the sum of squared intraday returns over a certain interval such as a day, in the Japanese stock market and its application to the prediction of future volatility, the option pricing and VaR; (2) the application of MCMC methods to the term structure models of interest rates, dynamic stochastic general equilibrium models, and the estimation of business cycle index and its turning points. |
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| ◎Keywords |
MCMC, volatility, term structure, DSGE, business cycles. |
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