EconPapers    
Economics at your fingertips  
 

Details about Daisuke Nagakura

E-mail:
Homepage:http://user.keio.ac.jp/~nagakura/index.html
Workplace:Faculty of Economics, Keio University, (more information at EDIRC)

Access statistics for papers by Daisuke Nagakura.

Last updated 2019-05-08. Update your information in the RePEc Author Service.

Short-id: pna148


Jump to Journal Articles

Working Papers

2013

  1. Asymmetry in Government Bond Returns
    Macroeconomics Working Papers, East Asian Bureau of Economic Research Downloads View citations (1)
    Also in Finance Working Papers, East Asian Bureau of Economic Research (2013) Downloads View citations (1)
    AJRC Working Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University (2013) Downloads View citations (1)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) Downloads View citations (1)

    See also Journal Article in Journal of Banking & Finance (2013)

2011

  1. 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 Downloads
    Also in Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (2010) Downloads View citations (3)

    See also Journal Article in Journal of Financial Econometrics (2015)
  2. 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 Downloads View citations (1)
    Also in IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2008) Downloads
  3. How much Asymmetry is there in Bond Returns and Exchange Rates?
    Bank of Japan Working Paper Series, Bank of Japan Downloads View citations (1)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2011) Downloads View citations (7)

2009

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

2008

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

2007

  1. 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 Downloads View citations (2)
  2. 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 Downloads View citations (2)

Journal Articles

2015

  1. 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 Downloads
    See also Working Paper (2011)

2013

  1. Asymmetry in government bond returns
    Journal of Banking & Finance, 2013, 37, (8), 3218-3226 Downloads View citations (1)
    See also Working Paper (2013)

2012

  1. Spurious regressions in technical trading
    Journal of Econometrics, 2012, 169, (2), 301-309 Downloads View citations (4)

2009

  1. 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 Downloads View citations (7)
  2. TESTING THE SEQUENTIAL LOGIT MODEL AGAINST THE NESTED LOGIT MODEL*
    The Japanese Economic Review, 2009, 60, (3), 345-361 Downloads View citations (6)

2008

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

2004

  1. A Note on the Relationship of the Ordered and Sequential Probit Models to the Multinomial Probit Model
    Economics Bulletin, 2004, 3, (40), 1-7 Downloads View citations (1)
 
Page updated 2021-05-17