Nominee Information Display – Toshiaki Watanabe

Position Title/Affiliation
Professor, Hitotsubashi University, Japan
Position Being Sought
EFaB Chair-Elect
Candidate Statement
I am deeply honored to have been nominated for the position of Chair-Elect of the Section on Economics, Finance and Business (EFaB). I am truly grateful to the nominating committee and particularly to the current Chair-Elect, Joshua Chan, for thinking of me for this opportunity.

I am the director of the Institute of Economic Research and the assistant to the president for research and education on social data science at Hitotsubashi University in Tokyo. I also work for the Institute for Monetary and Economic Studies, Bank of Japan as an advisor.

My research focuses on the development and application of Bayesian methods in financial econometrics and macroeconometrics. I developed efficient Bayesian estimation methods for stochastic volatility models and applied them to financial risk managements such as volatility forecasting, option pricing, value-at-risk and expected shortfall. I also extended stochastic volatility models to realized stochastic volatility models where daily returns and realized volatility (RV) calculated using high frequency intraday returns are modelled simultaneously taking account of the bias in RV caused by microstructure noise and non-trading hours.

I obtained a Ph.D. from Yale University in 1993 under the supervision of Professors Christopher Sims and Robert Shiller, both Nobel laureates in economics. I have served for ISBA as a member of the local organizing committee for ISBA 2012 World Meeting in Kyoto. I also have served as Editor for Journal of Japan Statistical Society (2008-2010), Co-editor for Japanese Economic Review (2011-2019) and Associate Editor for Asia-Pacific Financial Markets (2011-). I organized a special invited session “Bayesian macroeconometrics” as a Co-chair of 6th International Conference on Computational and Financial Econometrics (CFE2018).

If elected, I would like to contribute to the EFaB section of ISBA by utilizing my contacts with macro and finance researchers and central bankers.