Research

Journal Articles

1. Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility (with Toshiaki Watanabe and Yasuhiro Omori), 2021, Econometrics and Statistics, in press. [abstract]

2. On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach (with Takaki Hayashi), 2021, Japanese Journal of Statistics and Data Science, 4, 697-730. [abstract]

3. Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution (with Toshiaki Watanabe and Yasuhiro Omori), 2016, International Journal of Forecasting, 32(2), 437-457. [abstract]

   • RSVGH.zip: Ox files for the simulation/estimation of the models in the article (class file RSVGH.ox, its header file RSVGH.h and the simulation code rsv1skt_sim.ox)

4. News impact curve for stochastic volatility models (with Yasuhiro Omori and Toshiaki Watanabe), 2013, Economics Letters, 120(1), 130-134. [abstract]

5. Estimating stochastic volatility models using daily returns and realized volatility simultaneously (with Yasuhiro Omori and Toshiaki Watanabe), 2009, Computational Statistics and Data Analysis, 53(6), 2404-2426. [abstract]

Book

1. Stochastic Volatility and Realized Stochastic Volatility Models (with Toshiaki Watanabe and Yasuhiro Omori), 2023, JSS Research Series in Statistics, Springer Singapore. [DOI]

  和文誌

1. Realized Stochastic Volatilityモデル ―拡張と日本の株価指数への応用― (大森裕浩氏, 渡部敏明氏との共著), 2020「統計数理」68(1), 65-85. [pdf]

2. Smooth Transition Realized Stochastic Volatilityモデル, 2014, 「日本統計学会誌」44(1), 41-60. [概要]

3. TOPIX現物のRealized VolatilityとRealized Range-Based Volatilityの分析, 2011「現代ファイナンス」29, 49-73. [概要]

  紀要

1. 注文不均衡のクロスインパクト, 2023「先物・オプションレポート」35(3), 1-6. [pdf]

2. 金融資産の価格リターンとオーダー・フロー・インバランスの相互作用についての分析, 2022「イノベーション・マネジメント」19, 23-48. [概要]

3. 価格インパクトの日中変動, 2019「先物・オプションレポート」31(10), 1-5. [pdf]

4. Price Impact of Order Flow Imbalances, 2019「経営志林」56(3), 63-77. [pdf]

5. J-GATE稼働と日経225先物市場の日中流動性, 2018「先物・オプションレポート」30(3), 1-5. [pdf]

6. 注文フロー不均衡と価格インパクト, 2016「先物・オプションレポート」28(4), 1-5. [pdf]

Working Paper

1. Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility (with Toshiaki Watanabe and Yasuhiro Omori).

   • HIAS Discussion Paper E-104

2. Investigating the interaction between returns and order flow imbalances: Endogeneity, intraday variations, and macroeconomic news announcements.

   • Presented at 3rd International Conference on Econometrics and Statistics (EcoSta 2019)

   • Presented at 15th International Symposium on Econometric Theory and Applications (SETA2019)

   • Presented at Econometrics Workshop, Institute for Economic Studies, Keio University

3. Contemporaneous relationship between transaction returns and order flows: Implications on return variance.

   • Presented at Nippon Finance Association 24th Annual Conference

Work in Progress

1. Flow-Driven and Non-Flow-Driven Realized Variances.

   • Presented at 1st International Conference on Econometrics and Statistics

2. Realized Stochastic Volatility with Skew-t Distribution (with Yasuhiro Omori and Toshiaki Watanabe).

   • Presented at 15th International Conference on Computational and Financial Econometrics

   • Presented at 12th International Conference on Computational and Financial Econometrics

   • Presented at 11th International Conference on Computational and Financial Econometrics (old version)

Conference Presentations

• 2022.08 24th International Conference on Computational Statistics (U Bologna)

• 2022.07 6th EAC-ISBA Conference (hybrid, Feng Chia U)

• 2022.06 5th International Conference on Econometrics and Statistics (hybrid, Ryukoku U) 

• 2021.12 15th International Conference on Computational and Financial Econometrics (virtual, hosted by U London)

• 2021.06 4th International Conference on Econometrics and Statistics (virtual, hosted by HKUST)

• 2020.06 Nippon Finance Association 28th Annual Conference (Web conference)

• 2019.06 3rd International Conference on Econometrics and Statistics (National Chung Hsing U)

• 2019.06 15th International Symposium on Econometric Theory and Applications (Osaka U)

• 2018.12 12th International Conference on Computational and Financial Econometrics (U Pisa)

• 2017.12 11th International Conference on Computational and Financial Econometrics (U London)

• 2017.06 1st International Conference on Econometrics and Statistics (HKUST)

• 2016.05 Nippon Finance Association 24th Annual Conference (Yokohama National U)

• 2015.12 9th International Workshop on Computational and Financial Econometrics (U London)

• 2015.08 Hitotsubashi Summer Institute Workshop “Frontiers in Financial Econometrics"

• 2015.03 3rd Symposium on ‘Financial Engineering and ERM’ (Hitotsubashi U)

• 2011.10 The Second International Conference “High-frequency Data Analysis in Financial Markets” (Osaka U)

• 2007.09 Japanese Joint Statistical Meeting (Kobe U)

• 2007.04 International Workshop on Computational and Financial Econometrics (U Geneva)

Seminars

• 2018.06 Econometrics Workshop, Institute for Economic Studies, Keio University