Institute of Economic Research Hitotsubashi University

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WATANABE, Toshiaki (Professor)

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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

Papers and Publications

Tanaka, K, Yamada, T and Watanabe, T., "Applications of Gram-Charlier Expansion and Bond Moments for Pricing of Interest Rates and Credit Risk," Quantitative Finance, Volume 10, Issue 6, June-July 2010, pp. 645-662.

Takahashi, M., Omori, Y. and Watanabe, T., "Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously," Computational Statistics & Data Analysis, Volume 53, Issue 6, April 2009, pp. 2404-2426.

Omori, Y. and Watanabe. T., "Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models," Computational Statistics & Data Analysis, Vol. 52, Issue 6, February 2008, pp. 2892-2910.

Watanabe, T. and Harada, K., "Effects of the Bank of Japan’s Intervention on Yen/Dollar Exchange Rate Volatility," Journal of the Japanese and International Economies, 20, 2006, pp. 99-111.

Shibata, M. and Watanabe, T., "Bayesian Analysis of a Markov Switching Stochastic Volatility Model," Journal of the Japan Statistical Society, 35, 2005, pp. 205-219.

Watanabe, T. and Omori, Y., "A Multi-move Sampler for Estimating Non-Gaussian Time Series Models: Comments on Shephard & Pitt (1997)," Biometrika, 91, 2004, pp. 246-248.

Watanabe, T., "The Estimation of Dynamic Bivariate Mixture Models: Reply to Liesenfeld and Richard Comments," Journal of Business & Economic Statistics, 24, 2003, pp. 577-580.

Watanabe, T., "Margin Requirements, Positive Feedback Trading, and Stock Return Autocorrelations: The Case of Japan," Applied Financial Economics, 12, 2002, pp. 395-403.

Watanabe, T., "Price Volatility, Trading Volume, and Market Depth: Evidence from the Japanese Stock Index Futures Market," Applied Financial Economics, 11, 2001, pp. 651-658.

Watanabe, T., "On Sampling the Degree-of-Freedom of Student's-t Disturbances," Statistics & Probability Letters, 52, 2001, pp. 177-181.

Watanabe, T., "Excess Kurtosis of Conditional Distribution for Daily Stock Returns: The Case of Japan," Applied Economics Letters, 7, 2000, pp. 353-355.

Watanabe, T., "Bayesian Analysis of Dynamic Bivariate Mixture Models: Can They Explain the Behavior of Returns and Trading Volume?" Journal of Business & Economic Statistics, 18, 2000, pp. 199-210.

Watanabe, T., "A Nonlinear Filtering Approach to Stochastic Volatility Models with an Application to Daily Stock Returns," Journal of Applied Econometrics, 14, 1999, pp. 101-121.