HOMEFaculty ≫ WATANABE, Toshiaki

WATANABE, Toshiaki

Professor / Research Division of Theories in Economics and Statistics

Specialization:
Financial Econometrics

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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.  I have also been applying MCMC methods to macroeconometric models such as VAR, DSGE and Markov switching models.

 

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 macroeconometric models such as VAR, DSGE and Markov switching models.

 

Keywords
DSGE, high-frequency data, Markov switching, MCMC, VAR, volatility