Details about Daisuke Nagakura

Access statistics for papers by Daisuke Nagakura.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pna148

Working Papers

2013

1. Asymmetry in Government Bond Returns
   Finance Working Papers, East Asian Bureau of Economic Research View citations (5)
   Also in AJRC Working Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University (2013) View citations (5)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) View citations (4)
   Macroeconomics Working Papers, East Asian Bureau of Economic Research (2013) View citations (5)
   See also Journal Article Asymmetry in government bond returns, Journal of Banking & Finance, Elsevier (2013) View citations (4) (2013)

2011

2. A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (1)
   Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2010) View citations (3)
   See also Journal Article A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise, Journal of Financial Econometrics, Oxford University Press (2015) (2015)
3. How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (1)
   Also in IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2008) View citations (1)
4. How much Asymmetry is there in Bond Returns and Exchange Rates?
   Bank of Japan Working Paper Series, Bank of Japan View citations (1)
   Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2011) View citations (7)

2009

5. A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
   Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (1)
   Also in IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2009) View citations (1)
6. Inconsistency of a Unit Root Test against Stochastic Unit Root Processes
   IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (10)

2008

7. Spurious Regressions in Technical Trading: Momentum or Contrarian?
   IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (1)

2007

8. Implications of Two Measures of Persistence for Correlation Between Permanent and Transitory Shocks in U.S. Real GDP
   Working Papers, University of Washington, Department of Economics View citations (2)
9. Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process
   IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (2)

Journal Articles

2020

1. Further results on the vecd operator and its applications
   Communications in Statistics - Theory and Methods, 2020, 49, (10), 2321-2338

2018

2. On the relationship between the matrix operators, vech and vecd
   Communications in Statistics - Theory and Methods, 2018, 47, (13), 3252-3268

2015

3. A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
   Journal of Financial Econometrics, 2015, 13, (1), 45-82
   See also Working Paper A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise, Global COE Hi-Stat Discussion Paper Series (2011) View citations (1) (2011)

2013

4. Asymmetry in government bond returns
   Journal of Banking & Finance, 2013, 37, (8), 3218-3226 View citations (4)
   See also Working Paper Asymmetry in Government Bond Returns, Finance Working Papers (2013) View citations (5) (2013)

2012

5. Spurious regressions in technical trading
   Journal of Econometrics, 2012, 169, (2), 301-309 View citations (5)

2009

6. Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
   Statistics & Probability Letters, 2009, 79, (24), 2476-2483 View citations (12)
7. TESTING THE SEQUENTIAL LOGIT MODEL AGAINST THE NESTED LOGIT MODEL*
   The Japanese Economic Review, 2009, 60, (3), 345-361 View citations (8)

2008

8. A note on the relationship between the information matrx test and a score test for parameter constancy
   Economics Bulletin, 2008, 3, (5), 1-7
9. A note on the two assumptions of standard unobserved components models
   Economics Letters, 2008, 100, (1), 123-125 View citations (3)

2004

10. A Note on the Relationship of the Ordered and Sequential Probit Models to the Multinomial Probit Model
    Economics Bulletin, 2004, 3, (40), 1-7 View citations (1)