11
H index
11
i10 index
654
Citations
Bank of Japan | 11 H index 11 i10 index 654 Citations RESEARCH PRODUCTION: 16 Articles 44 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jouchi Nakajima. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Computational Statistics & Data Analysis | 3 |
The B.E. Journal of Macroeconomics | 2 |
Year | Title of citing document |
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2020 | Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312. Full description at Econpapers || Download paper |
2021 | Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123. Full description at Econpapers || Download paper |
2020 | Bayesian Median Autoregression for Robust Time Series Forecasting. (2020). Li, Meng ; Zeng, Zijian. In: Papers. RePEc:arx:papers:2001.01116. Full description at Econpapers || Download paper |
2020 | Quantifying the Economic Impact of Extreme Shocks on Businesses using Human Mobility Data: a Bayesian Causal Inference Approach. (2020). Ukkusuri, Satish ; Zhang, Yunchang ; Yabe, Takahiro. In: Papers. RePEc:arx:papers:2004.11121. Full description at Econpapers || Download paper |
2020 | Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023. Full description at Econpapers || Download paper |
2020 | Understanding Trend Inflation Through the Lens of the Goods and Services Sectors. (2020). Wong, Benjamin ; Uzeda, Luis ; Eo, Yunjong. In: Staff Working Papers. RePEc:bca:bocawp:20-45. Full description at Econpapers || Download paper |
2020 | The economic drivers of volatility and uncertainty. (2020). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1285_20. Full description at Econpapers || Download paper |
2020 | Does the Liquidity Trap Exist?. (2020). Mojon, Benoit ; Rubio-Ramirez, Juan ; Lhuissier, Stephane. In: Working papers. RePEc:bfr:banfra:762. Full description at Econpapers || Download paper |
2020 | Regime shifts in the effects of Japan’s unconventional monetary policies. (2020). Okimoto, Tatsuyoshi ; Miyao, Ryuzo. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:6:p:749-772. Full description at Econpapers || Download paper |
2020 | High-frequency Identification of Unconventional Monetary Policy Shocks in Japan. (2020). Shintani, Mototsugu ; Kubota, Hiroyuki. In: CARF F-Series. RePEc:cfi:fseres:cf502. Full description at Econpapers || Download paper |
2020 | Trend, Seasonal, and Sectorial Inflation in the Euro Area. (2020). Watson, Mark W ; Stock, James H. In: Central Banking, Analysis, and Economic Policies Book Series. RePEc:chb:bcchsb:v27c09pp317-344. Full description at Econpapers || Download paper |
2020 | On the inflation risks embedded in sovereign bond yields. (2020). Camba-Mendez, Gonzalo. In: Working Paper Series. RePEc:ecb:ecbwps:20202423. Full description at Econpapers || Download paper |
2020 | Sequential Bayesian inference for vector autoregressions with stochastic volatility. (2020). Zito, John ; Bognanni, Mark. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s016518892030021x. Full description at Econpapers || Download paper |
2020 | Horizon-unbiased investment with ambiguity. (2020). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300646. Full description at Econpapers || Download paper |
2020 | Is the slope of the Phillips curve time-varying? Evidence from unobserved components models. (2020). Fu, Bowen. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:320-340. Full description at Econpapers || Download paper |
2020 | Macroeconomic effects of monetary policy in Korea: A time-varying coefficient VAR approach. (2020). Hur, Joonyoung ; Han, Jong-Suk. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:142-152. Full description at Econpapers || Download paper |
2020 | Systemic risk: The coordination of macroprudential and monetary policies in China. (2020). Weng, Yin-Che ; Liu, Bai ; Pan, Mengmeng ; Zhang, Ailian. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:415-429. Full description at Econpapers || Download paper |
2020 | The role of credit supply shocks in pacific alliance countries: A TVP-VAR-SV approach. (2020). RodrÃÂguez, Gabriel ; Guevara, Carlos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819304656. Full description at Econpapers || Download paper |
2020 | Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study. (2020). Chen, Naiwei ; Bian, Zhicun ; Hong, Hui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303565. Full description at Econpapers || Download paper |
2020 | Relevant parameter changes in structural break models. (2020). Dufays, Arnaud. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:46-78. Full description at Econpapers || Download paper |
2020 | Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Omori, Yasuhiro ; Kurose, Yuta. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68. Full description at Econpapers || Download paper |
2020 | Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105. Full description at Econpapers || Download paper |
2020 | On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin. (2020). Peiris, Shelton ; Chan, Jennifer ; Phillip, Andrew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:69-90. Full description at Econpapers || Download paper |
2020 | The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model. (2020). Iseringhausen, Martin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:275-292. Full description at Econpapers || Download paper |
2020 | The pass-through effects of oil price shocks on Chinas inflation: A time-varying analysis. (2020). Chen, Jinyu ; Li, Hailing ; Zhu, Xuehong. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300347. Full description at Econpapers || Download paper |
2020 | Analyzing time-varying volatility spillovers between the crude oil markets using a new method. (2020). Gong, XU ; Liu, Tangyong. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300505. Full description at Econpapers || Download paper |
2020 | Interaction among China carbon emission trading markets: Nonlinear Granger causality and time-varying effect. (2020). Zhao, Lili ; Wang, Xiong ; Wen, Fenghua. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302413. Full description at Econpapers || Download paper |
2020 | Factors driving oil price —— from the perspective of United States. (2020). Lobon, Oana-Ramona ; Moldovan, Nicoleta-Claudia ; Tao, Ran ; Qin, Meng ; Su, Chi-Wei. In: Energy. RePEc:eee:energy:v:197:y:2020:i:c:s0360544220303261. Full description at Econpapers || Download paper |
2020 | Analyzing dynamic impacts of different oil shocks on oil price. (2020). Lin, Boqiang ; Gong, XU ; Chen, Liqiang. In: Energy. RePEc:eee:energy:v:198:y:2020:i:c:s0360544220304138. Full description at Econpapers || Download paper |
2020 | Inflation expectations as a policy tool?. (2020). Gorodnichenko, Yuriy ; Coibion, Olivier ; Pedemonte, Mathieu ; Kumar, Saten. In: Journal of International Economics. RePEc:eee:inecon:v:124:y:2020:i:c:s0022199620300167. Full description at Econpapers || Download paper |
2020 | Mexican peso-USD exchange rate: A switching linear dynamical model application. (2020). Torres-Preciado, Victor H ; Velasco-Cruz, Ciro ; Saldaa-Zepeda, Dayna P. In: International Economics. RePEc:eee:inteco:v:162:y:2020:i:c:p:80-91. Full description at Econpapers || Download paper |
2020 | International effects of a compression of euro area yield curves. (2020). Huber, Florian ; Feldkircher, Martin ; Gruber, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s037842661930072x. Full description at Econpapers || Download paper |
2020 | Bayesian sequential stock return prediction through copulas. (2020). Frey, Christoph ; Virbickait, Audron ; Macedo, Demian N. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300207. Full description at Econpapers || Download paper |
2020 | The effects of geopolitical risks on the stock dynamics of Chinas rare metals: A TVP-VAR analysis. (2020). Chen, Jin-Yu ; Huang, Jian-Bai ; Zhou, Mei-Jing. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420719309183. Full description at Econpapers || Download paper |
2020 | Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect. (2020). He, Zhifang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:131-153. Full description at Econpapers || Download paper |
2021 | The effects of uncertainty measures on commodity prices from a time-varying perspective. (2021). Chen, Jinyu ; Zhang, Hongwei ; Li, Yingli ; Huang, Jianbai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:100-114. Full description at Econpapers || Download paper |
2020 | Time-varying Uncertainty of the Federal Reserve’s Output Gap Estimate. (2020). Berge, Travis J. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-12. Full description at Econpapers || Download paper |
2021 | The Impact of Forecasting Jumps on Forecasting Electricity Prices. (2021). Kostrzewska, Jadwiga ; Kostrzewski, Maciej. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:2:p:336-:d:477466. Full description at Econpapers || Download paper |
2020 | Fiscal Adjustments and Debt-Dependent Multipliers: Evidence from the U.S. Time Series. (2020). Iwata, Yasuharu ; Iiboshi, Hirokuni. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-103. Full description at Econpapers || Download paper |
2021 | Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2021). Omori, Yasuhiro ; Watanabe, Toshiaki ; Takahashi, Makoto. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-104. Full description at Econpapers || Download paper |
2020 | Empirical Analysis on the Effects of Japanese Fiscal Policy under the Effective Lower Bound. (2020). Morita, Hiroshi. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-97. Full description at Econpapers || Download paper |
2020 | Posterior Inference on Parameters in a Nonlinear DSGE Model via Gaussian-Based Filters. (2020). Noh, Sanha. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09944-5. Full description at Econpapers || Download paper |
2020 | Using Survey Information for Improving the Density Nowcasting of US GDP with a Focus on Predictive Performance during Covid-19 Pandemic. (2020). Demircan, Hamza ; Cakmakli, Cem . In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2016. Full description at Econpapers || Download paper |
2020 | Uncertainty Shocks and Business Cycle Research. (2020). Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo A. In: NBER Working Papers. RePEc:nbr:nberwo:26768. Full description at Econpapers || Download paper |
2020 | A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series. (2020). Ahelegbey, Daniel Felix ; Carvalho, Luis ; Kolaczyk, Eric D. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0181. Full description at Econpapers || Download paper |
2020 | Bayesian dynamic variable selection in high dimensions. (2020). Korobilis, Dimitris ; Koop, Gary. In: MPRA Paper. RePEc:pra:mprapa:100164. Full description at Econpapers || Download paper |
2020 | Endogenous Financial Uncertainty and Macroeconomic Volatility: Evidence from the United States. (2020). Sensoy, Ahmet ; Nguyen, Duc Khuong ; ben Zaied, Younes ; Awijen, Haithem . In: MPRA Paper. RePEc:pra:mprapa:101276. Full description at Econpapers || Download paper |
2020 | Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Byrne, Joseph ; Zong, Xiaoyu ; Ibrahim, Boulis Maher. In: MPRA Paper. RePEc:pra:mprapa:101781. Full description at Econpapers || Download paper |
2020 | Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States. (2020). GUPTA, RANGAN ; Gabauer, David ; Andre, Christophe. In: Working Papers. RePEc:pre:wpaper:202091. Full description at Econpapers || Download paper |
2020 | Uncertainty Shocks and Business Cycle Research. (). Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo. In: Review of Economic Dynamics. RePEc:red:issued:20-250. Full description at Econpapers || Download paper |
2020 | A Time-varying VAR Investigation of the Relationship among Electricity, Fossil Fuel Prices and Exchange Rate in Turkey. (2020). Atik, Abdurrahman Nazif. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2020:i:3:p:60-77. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2020 | Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions. (2020). West, Mike. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-019-00741-3. Full description at Econpapers || Download paper |
2020 | Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisionsâ€. (2020). Nakajima, Jouchi. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-019-00742-2. Full description at Econpapers || Download paper |
2020 | Reply to Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisionsâ€. (2020). West, Mike. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-019-00744-0. Full description at Econpapers || Download paper |
2020 | A dominance approach for comparing the performance of VaR forecasting models. (2020). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-020-00990-4. Full description at Econpapers || Download paper |
2020 | Measuring public inflation perceptions and expectations in the UK. (2020). Murasawa, Yasutomo. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:1:d:10.1007_s00181-019-01675-8. Full description at Econpapers || Download paper |
2020 | The Cross-Sectional Distribution of Price Stickiness Implied by Aggregate Data. (2020). Carvalho, Carlos ; Lee, Jae Won ; Dam, Niels Arne . In: The Review of Economics and Statistics. RePEc:tpr:restat:v:102:y:2020:i:1:p:162-179. Full description at Econpapers || Download paper |
2020 | Uncertainty shocks and inflation dynamics in the U.S.. (2020). Haque, Qazi ; Magnusson, Leandro M. In: Economics Discussion / Working Papers. RePEc:uwa:wpaper:20-25. Full description at Econpapers || Download paper |
2020 | A large Bayesian VAR with a block?specific shrinkage: A forecasting application for Italian industrial production. (2020). Aprigliano, Valentina. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:8:p:1291-1304. Full description at Econpapers || Download paper |
2020 | Labor Market and Financial Shocks: A Timeâ€Varying Analysis. (2020). Landi, Valerio Nispi ; Corsello, Francesco. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:52:y:2020:i:4:p:777-801. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2012 | BAYESIAN ANALYSIS OF GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY AND STOCHASTIC VOLATILITY: MODELING LEVERAGE, JUMPS AND HEAVYâ€TAILS FOR FINANCIAL TIME SERIES In: The Japanese Economic Review. [Full Text][Citation analysis] | article | 6 |
2015 | The natural yield curve: its concept and developments in Japan In: Bank of Japan Research Laboratory Series. [Full Text][Citation analysis] | paper | 1 |
2015 | What do negative inflation risk premia tell us? In: Bank of Japan Research Laboratory Series. [Full Text][Citation analysis] | paper | 0 |
2015 | Household Inflation Expectations: The Term Structure and the Anchor Effects of Monetary Policy In: Bank of Japan Research Laboratory Series. [Full Text][Citation analysis] | paper | 0 |
2014 | Disagreement in households inflation expectations and its evolution In: Bank of Japan Review Series. [Full Text][Citation analysis] | paper | 6 |
2016 | Slow Trade: Structural and Cyclical Factors in Global Trade Slowdown In: Bank of Japan Research Papers. [Full Text][Citation analysis] | paper | 3 |
2005 | Bank Health and Investment: An Analysis of Unlisted Companies in Japan In: Bank of Japan Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
2005 | Bank Health and Investment: An Analysis of Unlisted Companies in Japan.(2005) In: CARF F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2005 | Bank Health and Investment: An Analysis of Unlisted Companies in Japan.(2005) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2013 | On the Reliability of Japanese Inflation Expectations Using Purchasing Power Parity In: Bank of Japan Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
2014 | On the reliability of Japanese inflation expectations using purchasing power parity.(2014) In: Economic Analysis and Policy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2013 | Identifying Conventional and Unconventional Monetary Policy Shocks: A Latent Threshold Approach In: Bank of Japan Working Paper Series. [Full Text][Citation analysis] | paper | 25 |
2016 | Identifying conventional and unconventional monetary policy shocks: a latent threshold approach.(2016) In: The B.E. Journal of Macroeconomics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | article | |
2015 | Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model In: Bank of Japan Working Paper Series. [Full Text][Citation analysis] | paper | 9 |
2015 | Has Trend Inflation Shifted?: An Empirical Analysis with a Regime-Switching Model In: Bank of Japan Working Paper Series. [Full Text][Citation analysis] | paper | 21 |
2015 | The natural yield curve: its concept and measurement In: Bank of Japan Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2015 | Are Household Inflation Expectations Anchored in Japan? In: Bank of Japan Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
2016 | Identifying Oil Price Shocks and Their Consequences:Role of Expectations and Financial Factors in the Crude Oil Market In: Bank of Japan Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2011 | Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach In: The B.E. Journal of Macroeconomics. [Full Text][Citation analysis] | article | 18 |
2011 | Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach.(2011) In: IMES Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2013 | Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 7 |
2004 | Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in Journal of Econometrics, 140, 425-449, 2007. ) In: CARF F-Series. [Full Text][Citation analysis] | paper | 0 |
2005 | Deteriorating Bank Health and Lending in Japan: Evidence from Unlisted Companies Undergoing Financial Distress (Subsequently published in Journal of the Asia Pacific Economy Vo.11, No.4, December 2006 In: CARF F-Series. [Full Text][Citation analysis] | paper | 0 |
2007 | Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in Computational Statistics and Data Analysis, 53-6, 2335-2353. April 2009. ) In: CARF F-Series. [Full Text][Citation analysis] | paper | 0 |
2009 | Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Students t-distribution In: CARF F-Series. [Citation analysis] | paper | 33 |
2010 | Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution.(2010) In: CARF F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2012 | Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution.(2012) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | article | |
2010 | Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Students t-distribution.(2010) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2009 | Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution.(2009) In: CIRJE F-Series. [Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
2009 | Leverage, heavy-tails and correlated jumps in stochastic volatility models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 35 |
2007 | Leverage, heavy-tails and correlated jumps in stochastic volatility models.(2007) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
2012 | Generalized extreme value distribution with time-dependence using the AR and MA models in state space form In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 8 |
2009 | Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form.(2009) In: IMES Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2009 | Generalized extreme value distribution with time-dependence using the AR and MA models in state space form.(2009) In: CIRJE F-Series. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2011 | Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form.(2011) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2007 | Stochastic volatility with leverage: Fast and efficient likelihood inference In: Journal of Econometrics. [Full Text][Citation analysis] | article | 165 |
2014 | Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 20 |
2011 | Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy In: Journal of the Japanese and International Economies. [Full Text][Citation analysis] | article | 72 |
2009 | Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy.(2009) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
2009 | Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy.(2009) In: IMES Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
2012 | Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data- In: Economic Review. [Full Text][Citation analysis] | article | 0 |
2012 | Time-Varying Vector Autoregressive Model - A Survey with the Application to the Japanese Macroeconomic Data -.(2012) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2011 | Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] | paper | 48 |
2008 | EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns In: IMES Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
2009 | The Evolution of Loan Rate Stickiness Across the Euro Area In: IMES Discussion Paper Series. [Full Text][Citation analysis] | paper | 1 |
2010 | The Effects of Monetary Policy Commitment: Evidence from Time- varying Parameter VAR Analysis In: IMES Discussion Paper Series. [Full Text][Citation analysis] | paper | 9 |
2010 | How well do the sticky price models explain the disaggregated price responses to aggregate technology and monetary policy shocks? In: IMES Discussion Paper Series. [Full Text][Citation analysis] | paper | 5 |
2010 | How Well Do the Sticky Price Models Explain the Disaggregated Price Responses to Aggregate Technology and Monetary Policy Shocks?.(2010) In: Discussion papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2011 | Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications In: IMES Discussion Paper Series. [Full Text][Citation analysis] | paper | 80 |
2011 | Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications.(2011) In: Monetary and Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | article | |
2004 | Stochastic volatility with leverage: fast likelihood inference In: Economics Papers. [Full Text][Citation analysis] | paper | 7 |
2004 | Stochastic Volatility with Leverage: Fast Likelihood Inference.(2004) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2012 | Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2017 | Bayesian analysis of multivariate stochastic volatility with skew return distribution In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
2013 | Bayesian Analysis of Latent Threshold Dynamic Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 45 |
2005 | Deteriorating Bank Health and Lending in Japan: Evidence from Unlisted Companies Undergoing Financial Distress In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 4 |
2010 | Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution Models In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 1 |
2015 | Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes In: CIRJE F-Series. [Full Text][Citation analysis] | paper | 1 |
2015 | Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes .(2015) In: CIRJE F-Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2010 | GH skew Students t-distribution in stochastic volatility model with application to stock returns (in Japanese) In: CIRJE J-Series. [Full Text][Citation analysis] | paper | 0 |
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