Toshiaki Watanabe

Professor of Economic Systems Analysis, Institute of Economic Research, Hitotsubashi University

Toshiaki Watanabe is Professor of the Institute of Economic Research at Hitotsubashi University. Prior to his appointment at Hitotsubashi, he was Senior Fellow of the Institute for Monetary and Economic Studies at the Bank of Japan. He has held academic positions at Tokyo Metropolitan University.

The research he is 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 Value-at-Risk (VaR); (2) the application of Markov chain Monte Carlo (MCMC) methods to the estimation of time-varying parameter VAR, dynamic stochastic general equilibrium (DSGE) and DSGE-VAR models, and the estimation of business cycle index and its turning points. He received his PhD in Economics from Yale University in 1993.

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29 November 2011, 17389 reads

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