Toshiaki Watanabe

发表

Bayesian estimation of realized GARCH-type models with application to financial tail risk management

Cathy W. S. Chen, Edward M.H. Lin, Toshiaki Watanabe, 2021 .

Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility

Yasuhiro Omori, Toshiaki Watanabe, Makoto Takahashi, 2021, Econometrics and Statistics.

A multi‐move sampler for estimating non‐Gaussian time series models: Comments on Shephard & Pitt (1997)

Toshiaki Watanabe, Toshiaki Watanabe, 2004 .

Margin requirements, positive feedback trading, and stock return autocorrelations: the case of Japan

Toshiaki Watanabe, Toshiaki Watanabe, 2002 .

A Non-linear Filtering Approach to Stochastic Volatility Models with an Application to Daily Stock Returns

Toshiaki Watanabe, Toshiaki Watanabe, 1999 .

Bayesian Analysis of a Markov Switching Stochastic Volatility Model

Toshiaki Watanabe, Mai Shibata, 2005 .

Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy

Jouchi Nakajima, Munehisa Kasuya, Toshiaki Watanabe, 2011 .

Quantile Forecasts of Financial Returns Using Realized GARCH Models

Toshiaki Watanabe, Toshiaki Watanabe, 2012 .

Realized Volatility―A Survey with the Application to the Japanese Stock Market―

Toshiaki Watanabe, 2007 .

Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution

Yasuhiro Omori, Toshiaki Watanabe, Makoto Takahashi, 2016 .

Bayesian forecasting of Value-at-Risk based on variant smooth transition heteroskedastic models

Cathy W. S. Chen, Monica M. C. Weng, Toshiaki Watanabe, 2017 .

Variance Suppression for Gauge Control via Time-varying Stochastic Optimal Control

Kenji Fujimoto, Yoshiharu Nishida, Yoshihiro Hashimoto, 2013 .

Pricing Nikkei 225 Options Using Realized Volatility

Toshiaki Watanabe, Toshiaki Watanabe, M. Ubukata, 2014 .

Option Pricing Using Realized Volatility and ARCH Type Models

Toshiaki Watanabe, Masato Ubukata, 2009 .

Multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard and Pitt (1997)

Yasuhiro Omori, Toshiaki Watanabe, Yasuhiro Omori, 2001 .

Stochastic Volatility Models with Heavy-Tailed Distributions: A Bayesian Analysis

Manabu Asai, Toshiaki Watanabe, Manabu Asai, 2001 .