Toshiaki Watanabe

Finance · with Omori · 2004–2016

A researcher in the Science corpus: 3 papers; trusts 23 researchers and is trusted by 5 researchers here, as inferred from the citation graph.

Subfields

• Finance — 27 citations into it; #3,581 of 10,518 by trust here, #8,598 by citations
• Economics and Econometrics — 22 citations into it; #14,266 of 23,481 by trust here, #23,209 by citations
• Statistics and Probability — 13 citations into it; #6,230 of 12,932 by trust here, #10,275 by citations
• Artificial Intelligence — 5 citations into it
• Global and Planetary Change — 5 citations into it

Whom Toshiaki Watanabe trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. P. R. Hansen
2. Tim Bollerslev
3. Robert F. Engle
4. Ole E. Barndorff-Nielsen
5. N. Shephard
6. F. Bandi
7. Asger Lunde
8. Andrew J. Patton
9. S. J. Koopman
10. Joel Hasbrouck

Who trusts Toshiaki Watanabe overall

1. Manabu Asai
2. Makoto Takahashi
3. Michael Mcaleer
4. Yasuhiro Omori
5. Jouchi Nakajima
6. Siddhartha Chib

Papers from Toshiaki Watanabe's perspective

Ordered by how strongly the researchers Toshiaki Watanabe trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Separating Microstructure Noise from Volatility
3. Realized Variance and Market Microstructure Noise
4. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
5. Microstructure Noise, Realized Variance, and Optimal Sampling
6. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
7. The distribution of realized stock return volatility
8. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
9. Filtering via Simulation: Auxiliary Particle Filters
10. Volatility Forecast Comparison Using Imperfect Volatility Proxies

Their papers

• A multi‐move sampler for estimating non‐Gaussian time series models: Comments on Shephard & Pitt (1997) (2004) — 129 citations
• QUANTILE FORECASTS OF FINANCIAL RETURNS USING REALIZED GARCH MODELS (2012) — 73 citations
• Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution (2016) — 47 citations