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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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A state space approach to estimating the integrated variance and microstructure noise component
Nagakura, Daisuke; Watanabe, Toshiaki - 2009
Persistent link: https://www.econbiz.de/10003854536
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A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
Nagakura, Daisuke; Watanabe, Toshiaki - 2010
We call the realized variance (RV) calculated with observed prices contaminated by (market) microstructure noises (MNs) the noise-contaminated RV (NCRV), referring to the bias component in the NCRV associated with the MNs as the MN component. This paper develops a state space method for...
Persistent link: https://www.econbiz.de/10014210221
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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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Testing for random coefficient autoregressive and stochastic unit root models
Nagakura, Daisuke - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 117-129
Persistent link: https://www.econbiz.de/10014288865
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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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A non-linear filtering approach to stochastic volatility models with an application to daily stock returns
Watanabe, Toshiaki - In: Journal of applied econometrics 14 (1999) 2, pp. 101-121
Persistent link: https://www.econbiz.de/10001387229
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Measuring business cycle turning points in Japan with a dynamic Markov switching factor model
Watanabe, Toshiaki - In: Monetary and economic studies 21 (2003) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10001734984
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Spurious regressions in technical trading
Shintani, Mototsugu; Tomoyoshi, Yabu; Nagakura, Daisuke - In: Journal of econometrics 169 (2012) 2, pp. 301-309
Persistent link: https://www.econbiz.de/10009673181