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Variance ratio tests for a unit root in the presence of a mean shift : small sample properties and an application to purchasing power parity
Maki, Daiki - In: Applied financial economics 16 (2006) 8, pp. 607-615
Persistent link: https://www.econbiz.de/10003328492
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Tests for a unit root using three-regime TAR models : power comparison and some applications
Maki, Daiki - In: Econometric reviews 28 (2009) 4, pp. 335-363
Persistent link: https://www.econbiz.de/10003864021
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The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes : evidence from Monte Carlo simulations and applications
Maki, Daiki - In: Computational economics 31 (2008) 1, pp. 77-94
Persistent link: https://www.econbiz.de/10003612217
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Non-linear adjustment in the term structure of interest rates : a cointegration analysis in the non-linear STAR framework
Maki, Daiki - In: Applied financial economics 16 (2006) 17, pp. 1301-1307
Persistent link: https://www.econbiz.de/10003387426
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Tests for cointegration allowing for an unknown number of breaks
Maki, Daiki - In: Economic modelling 29 (2012) 5, pp. 2011-2015
Persistent link: https://www.econbiz.de/10009667003
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Detection of stationarity in nonlinear processes : a comparison between structural breaks and three-regime TAR models
Maki, Daiki - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10009515140
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Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate
Maki, Daiki - In: Economics letters 81 (2003) 3, pp. 349-354
Persistent link: https://www.econbiz.de/10001835510
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Detecting cointegration relationships under nonlinear models : Monte Carlo analysis and some applications
Maki, Daiki - In: Empirical economics : a journal of the Institute for … 45 (2013) 1, pp. 605-625
Persistent link: https://www.econbiz.de/10009780025
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Detection of stationarity in nonlinear processes : a comparison between structural breaks and three-regime TAR models
Maki, Daiki - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10009949976
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Evaluation of volatility spillovers for asymmetric realized covariance
Maki, Daiki - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014581009