← All authors Toshiaki Watanabe Hitotsubashi University (from arXiv:2401.13179, 2024) · ORCID · OpenAlex
39 papers in scope · 38 published · 1 on the econ.EM arXiv · 886 citations · h-index 15 (over the papers listed here)
Papers (1 of 39)
Out-of-sample predictability of high-frequency stock returns on the Tokyo Stock Exchange
published 2026 · Japanese Economic Review
with Masato Ubukata
High-frequency realized stochastic volatility model
published 2024 · Journal of Empirical Finance · 3 citations
with Jouchi Nakajima
working paper 2024 · arXiv
Tail risk forecasting of realized volatility CAViaR models
published 2022 · Finance research letters · 15 citations
with Cathy W. S. Chen, Hsiao-Yun Hsu
Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility
published 2021 · Econometrics and Statistics · 3 citations
Bayesian estimation of realized GARCH-type models with application to financial tail risk management
published 2021 · Econometrics and Statistics · 28 citations
with Cathy W. S. Chen, Edward M.H. Lin
Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility
published 2018 · Applied Stochastic Models in Business and Industry · 20 citations
with Cathy W. S. Chen
Bayesian forecasting of Value-at-Risk based on variant smooth transition heteroskedastic models
published 2017 · Statistics and Its Interface · 11 citations
with Cathy W. S. Chen, Monica M. C. Weng
Econometric Analysis of Japanese Exports Using a Time-Varying Parameter Vector Autoregressive Model
published 2017 · Econometric Reviews
with Jouchi Nakajima
no link
Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange
published 2016 · Journal of Physics Conference Series · 2 citations
with Tetsuya Takaishi
Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
published 2016 · International Journal of Forecasting · 44 citations · first circulated 2014
Contents Vol. 93, 2016
published 2016 · Digestion
with Anders Øverby, Hidenori Matsui, Masahiko Nakamura, Sinéad M. Smith, Shuji Kanmura, Hitomi Hamamoto, Yuko Morinaga, Kōhei Oda, Toshihiro Fujita, Shiho Arima, Yuichiro Nasu, Fumisato Sasaki, …
Evaluating the performance of futures hedging using multivariate realized volatility
published 2015 · Journal of the Japanese and International Economies · 2 citations
with Masato Ubukata
Econometric Analysis of Business Cycles: A Survey with the Application to the Composite Index in Japan
published 2015 · Econometric Reviews
with Tsunehiro Ishihara
no link
Pricing Nikkei 225 Options Using Realized Volatility
published 2013 · Japanese Economic Review · 11 citations · first circulated 2011
with Masato Ubukata
Market variance risk premiums in Japan for asset predictability
published 2013 · Empirical Economics · 11 citations
with Masato Ubukata
A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
published 2013 · Journal of Financial Econometrics · 4 citations · first circulated 2011
with Daisuke Nagakura
News impact curve for stochastic volatility models
published 2013 · Economics Letters · 17 citations · first circulated 2012
Variance Suppression for Gauge Control via Time-varying Stochastic Optimal Control
published 2012 · Tetsu-to-Hagane
with Kenji Fujimoto, Yoshihiro Hashimoto, Yoshiharu Nishida
Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data-
published 2012 · Econometric Reviews
with Jouchi Nakajima
no link
QUANTILE FORECASTS OF FINANCIAL RETURNS USING REALIZED GARCH MODELS*
published 2011 · Japanese Economic Review · 64 citations
Foreword
published 2011 · Journal of Economic Dynamics and Control
with Ippei Fujiwara, Michel Juillard, Shigenori Shiratsuka
Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
published 2011 · Journal of the Japanese and International Economies · 298 citations · first circulated 2009
with Jouchi Nakajima, Munehisa Kasuya
Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk
published 2010 · Quantitative Finance · 26 citations
with Kéiichi Tanaka, Takeshi Yamada
Econometric Analysis of Business Cycles in Japan Using Markov Switching Models
published 2009 · Econometric Reviews
no link
Estimating stochastic volatility models using daily returns and realized volatility simultaneously
published 2008 · Computational Statistics & Data Analysis · 14 citations · first circulated 2007
Block sampler and posterior mode estimation for asymmetric stochastic volatility models
published 2007 · Computational Statistics & Data Analysis · 3 citations
Realized Volatility―A Survey with the Application to the Japanese Stock Market―
published 2007 · Econometric Reviews · 1 citations
no link
Bayesian Analysis of a Markov Switching Stochastic Volatility Model
published 2005 · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 18 citations
with Mai Shibata
Effects of the Bank of Japan's intervention on yen/dollar exchange rate volatility
published 2004 · Journal of the Japanese and International Economies · 38 citations
with Kimie Harada
TAX TREATMENT OF STOCK OPTIONS IN JAPAN
published 2004 · Bulletin for International Fiscal Documentation
no link
The Estimation of Dynamic Bivariate Mixture Models
published 2003 · Journal of Business and Economic Statistics
Margin requirements, positive feedback trading, and stock return autocorrelations: the case of Japan
published 2002 · Applied Financial Economics · 51 citations
Measuring Business Cycle Turning Points in Japan with a Dynamic Markov Switching Factor Model
published 2002 · Monetary and and Economic Studies · 27 citations
no link
Price volatility, trading volume, and market depth: evidence from the Japanese stock index futures market
published 2001 · Applied Financial Economics · 64 citations
On sampling the degree-of-freedom of Student's-t disturbances
published 2001 · Statistics & Probability Letters · 21 citations
Bayesian Analysis of Dynamic Bivariate Mixture Models: Can They Explain the Behavior of Returns and Trading Volume?
published 2000 · Journal of Business and Economic Statistics · 32 citations
A non-linear filtering approach to stochastic volatility models with an application to daily stock returns
published 1999 · Journal of Applied Econometrics · 58 citations
The Relation between Stock Return Volatility and Trading Volume--An Empirical Investigation Based on a Vector Autoregressive Specification
published 1994 · 経済と経済学
no link
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