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Modified quasi-likelihood ratio test for regime switching
Kasahara, Hiroyuki; Okimoto, Tatsuyoshi; Shimotsu, Katsumi - In: The Japanese economic review : the journal of the … 65 (2014) 1, pp. 25-41
Persistent link: https://www.econbiz.de/10010425091
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Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity
Okimoto, Tatsuyoshi; Shimotsu, Katsumi - In: Journal of the Japanese and international economies : … 24 (2010) 3, pp. 395-411
Persistent link: https://www.econbiz.de/10009247722
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Decline in the persistence of real exchange rates : but not sufficient for purchasing power parity
Okimoto, Tatsuyoshi; Shimotsu, Katsumi - 2010
The paper investigates the possibility of decline in the persistence of real exchange rates, or deviations from PPP. To this end, we test the null hypothesis of no decline in the PPP deviation persistence between two subsamples using a fractional integration framework. In addition, our...
Persistent link: https://www.econbiz.de/10008702781
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Financial market integration and world economic stabilization toward purchasing power parity
Okimoto, Tatsuyoshi (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003594329
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Trend inflation and monetary policy regimes in Japan
Okimoto, Tatsuyoshi - In: Journal of international money and finance 92 (2019), pp. 137-152
Persistent link: https://www.econbiz.de/10012134524
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Asymmetric increasing trends in dependence in international equity markets
Okimoto, Tatsuyoshi - 2014
Persistent link: https://www.econbiz.de/10011341996
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Asymmetric increasing trends in dependence in international equity markets
Okimoto, Tatsuyoshi - In: Journal of banking & finance 46 (2014), pp. 219-232
Persistent link: https://www.econbiz.de/10010467819
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New evidence of asymmetric dependence structures in international equity markets
Okimoto, Tatsuyoshi - In: Journal of financial and quantitative analysis : JFQA 43 (2008) 3, pp. 787-815
Persistent link: https://www.econbiz.de/10003757805
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Gaussian semiparametric estimation of multivariate fractionally integrated processes
Shimotsu, Katsumi (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001901392
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Exact local whittle estimation of fractionally cointegrated systems
Shimotsu, Katsumi (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001901946