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A note on the two assumptions of standard unobserved components models
Nagakura, Daisuke - In: Economics letters 100 (2008) 1, pp. 123-125
Persistent link: https://www.econbiz.de/10003747495
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How are shocks to trend and cycle correlated? : a simple methodology for unidentified unobserved components models
Nagakura, Daisuke - In: Keio economic studies 55 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012659623
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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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A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke; Watanabe, Toshiaki - 2010
Persistent link: https://www.econbiz.de/10003940731
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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 under the existence of market microstructure noise
Nagakura, Daisuke; Watanabe, Toshiaki - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
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A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke; Watanabe, Toshiaki - 2011
Persistent link: https://www.econbiz.de/10009239349
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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