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Wild bootstrap testing for cointegration in an ESTAR error correction model

Maki, Daiki - In: Economic modelling 47 (2015), pp. 280-291

Persistent link: https://www.econbiz.de/10011439126

Detecting cointegration relationships under nonlinear models : Monte Carlo analysis and some applications

Maki, Daiki - In: Empirical economics : a journal of the Institute for … 45 (2013) 1, pp. 605-625

Persistent link: https://www.econbiz.de/10009780025

Residual-based tests for cointegration with three-regime TAR adjustment

Maki, Daiki; Kitasaka, Shin'ichi - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 1013-1054

Persistent link: https://www.econbiz.de/10011303548

Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate

Maki, Daiki - In: Economics letters 81 (2003) 3, pp. 349-354

Persistent link: https://www.econbiz.de/10001835510

Tests for cointegration allowing for an unknown number of breaks

Maki, Daiki - In: Economic modelling 29 (2012) 5, pp. 2011-2015

Persistent link: https://www.econbiz.de/10009667003

Non-linear adjustment in the term structure of interest rates : a cointegration analysis in the non-linear STAR framework

Maki, Daiki - In: Applied financial economics 16 (2006) 17, pp. 1301-1307

Persistent link: https://www.econbiz.de/10003387426

The equilibrium relationship among money, income, prices, and interest rates : evidence from a threshold cointegration test

Maki, Daiki; Kitasaka, Shin'ichi - In: Applied economics 38 (2006) 13, pp. 1585-1592

Persistent link: https://www.econbiz.de/10003354070

Asymmetric Effect of Trading Volume on Realized Volatility

Maki, Daiki - 2023

This study examines the asymmetric effect of trading volume on realized volatility. The study introduces new realized … volatility models to examine this effect: one model uses asymmetric trading volume variables based on intraday returns, and the … comparisons present results in which asymmetric trading variables increase the forecasting accuracy of realized volatility. These …

Persistent link: https://www.econbiz.de/10014356029

Impacts of asymmetry on forecasting realized volatility in Japanese stock markets

Maki, Daiki; Ota, Yasushi - In: Economic modelling 101 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10012796559

Testing for time-varying properties under misspecified conditional mean and variance

Maki, Daiki; Ota, Yasushi - In: Computational economics 57 (2021) 4, pp. 1167-1182

Persistent link: https://www.econbiz.de/10012543270