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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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Testing the sequential logit model against the nested logit model
Nagakura, Daisuke; Kobayashi, Masahito - In: The Japanese economic review : the journal of the … 60 (2009) 3, pp. 345-361
Persistent link: https://www.econbiz.de/10003882767
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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 under the existence of market microstructure noise
Nagakura, Daisuke; Watanabe, Toshiaki - 2011
Persistent link: https://www.econbiz.de/10009239349
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How much asymmetry is there in bond returns and exchange rates?
Fujiwara, Ippei; Koerber, Lena Mareen; Nagakura, Daisuke - 2011
Persistent link: https://www.econbiz.de/10009301818
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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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Asymmetry in government bond returns
Fujiwara, Ippei; Korber, Lena Mareen; Nagakura, Daisuke - 2013
Persistent link: https://www.econbiz.de/10009713792
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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
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Testing for Symmetry of Distribution
Nagakura, Daisuke - 2011
Persistent link: https://www.econbiz.de/10013121722
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Asymmetry in Government Bond Returns
Fujiwara, Ippei - 2013
Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This...
Persistent link: https://www.econbiz.de/10013086343