Call for Participation
Webinar of Bayesian Econometrics 2023
13 January, 2023
Webinar of Bayesian Econometrics 2023 will take place in a fully online format on Friday,January 13, 2023 to celebrate the establishment of Faculty of Data Science at Nagoya City
University and Faculty/Graduate School of Social Data Science at Hitotsubashi University. This
webinar is hosted by the Economics, Finance and Business (EFaB) section of the International
Society of Bayesian Analysis (ISBA), Center for the Promotion of Social Data Science Education
and Research at Hitotsubashi University, Office for the Establishment of the Faculty of Data
Science at Nagoya City University and Grant-in-Aid for Scientific Research (No.19H00588,20H00073 and 20H00080) from the Ministry of Education, Culture, Sports, Science andTechnology of the Japanese government.
If you would like to participate, please send an email with your name, affiliation, job title, andemail address to efab.isba@gmail.com by 12 January, 2023. The title of your email should be“Registration for Webinar of Bayesian Econometrics 2023”. Then, we will send the link to youremail address.

Program
The time below is Japan time.
Friday, January 13Opening Remarks
9:00-9:10 Kazuhiko Kakamu (Nagoya City University)
Bayesian Econometrics
Chair: Mike So (The Hong Kong University of Science and Technology)
9:10-9:50 Kazuhiko Kakamu (Nagoya City University) “ Bayesian analysis of mixtures oflognormal distribution with an unknown number of components from grouped data”
9:50-10:30 Ryo Kato (Hitotsubashi University / Kobe University)“Semiparametric Bayesian
instrumental variables estimation for nonignorable missing instruments”(Co-author: Takahiro
Hoshino (Keio University / RIKEN AIP Center))10:30-10:40 Coffee Break
Bayesian Analysis of Financial Risk
Chair: Toshiaki Watanabe (Hitotsubashi University)
10:40-11:20 Mike So (The Hong Kong University of Science and Technology) “A movingwindow Bayesian network model for assessing systemic risk in financial markets”
11:20-12:00 Richard Gerlach (The University of Sydney) “ A semi-parametric conditional
autoregressive joint Value-at-Risk and Expected Shortfall modelling framework incorporating
realized measures”（Co-authirs: Chao Wang (University of Sydney) and Qian Chen (Shenzhen
SMU-BIT University)）
12:00-13:00 Lunch Break
Bayesian Analysis of Realized Stochastic Volatility Models

Chair: Jouchi Nakajima (Hitotsubashi University)
13:00-13:40 Tsunehiro Ishihara (Takasaki City University of Economics) “A realized multi-factor
regression using a multivariate realized stochastic volatility model”
13:40-14:20 Makoto Takahashi (Hosei University) “Realized stochastic volatility models withskew-t distributions” (Co-authors: Yuta Yamauchi (Nagoya University), Toshiaki Watanabe(Hitotsubashi University) and Yasuhiro Omori (The University of Tokyo))
14:20-14:30 Coffeee Break
Bayesian Analysis of Time-Varying Parameter Models
Chair: Yasuhiro Omori (The University of Tokyo)
14:30-15:10 Jouchi Nakajima (Hitotsubashi University) “Time-varying parameter local
projection with stochastic volatility”
15:10-15:50 Toshiaki Watanabe (Hitotsubashi University) “ Time-varying parameter
heterogeneous autoregressive model with stochastic volatility”(Co-author: Jouchi Nakajima(Hitotsubashi University))
Closing Remarks
15:50-16:00 Toshiaki Watanabe (Hitotsubashi University)