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A state space approach to estimating the integrated variance and microstructure noise component
Nagakura, Daisuke; Watanabe, Toshiaki - 2009
Persistent link: https://www.econbiz.de/10003822408
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How are shocks to trend and cycle correlated? : a simple methodology for unidentified unobserved components models
Nagakura, Daisuke - 2008
Persistent link: https://www.econbiz.de/10003775589
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Inconsistency of a unit root test against stochastic unit root processes
Nagakura, Daisuke - 2009
Persistent link: https://www.econbiz.de/10003895464
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Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
Nagakura, Daisuke - 2007
Persistent link: https://www.econbiz.de/10003595183
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Measuring business cycle turning points in Japan with a dynamic Markov switching factor model
Watanabe, Toshiaki - 2002
Persistent link: https://www.econbiz.de/10001701099
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Intraday price volatility and trading volume : a case of the Japanese government bond futures
Watanabe, Toshiaki - 1996
Persistent link: https://www.econbiz.de/10000926451
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Spurious regressions in technical trading : momentum or contrarian?
Shintani, Mototsugu; Yabu, Tomoyoshi; Nagakura, Daisuke - 2008
Persistent link: https://www.econbiz.de/10003727425
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Pricing Nikkei 225 options using realized volatility
Ubukata, Masato; Watanabe, Toshiaki - 2011
Persistent link: https://www.econbiz.de/10009311822
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Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - 2009
Persistent link: https://www.econbiz.de/10003843389
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Approximation of interest rate derivatives' price by Gram-Charlier expansion and bond moments
Tanaka, Keiichi; Yamada, Takeshi; Watanabe, Toshiaki - 2005
Persistent link: https://www.econbiz.de/10003213175