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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 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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A note on the relationship of the ordered and sequential probit models to the multinomial probit model
Nagakura, Daisuke (contributor) - In: Economics bulletin : EB (2004)
Persistent link: https://www.econbiz.de/10003074848
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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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Bayesian analysis of dynamic bivariate mixture models : can they explain the behavior of returns and trading volume?
Watanabe, Toshiaki - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 199-210
Persistent link: https://www.econbiz.de/10001469682
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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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Margin requirements, positive feedback trading, and stock return autocorrelations : the case of Japan
Watanabe, Toshiaki - In: Applied financial economics 12 (2002) 6, pp. 395-403
Persistent link: https://www.econbiz.de/10001671112
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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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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/10009935016