Jouchi Nakajima : Citation Profile

Are you Jouchi Nakajima?

Bank of Japan

10

H index

10

i10 index

436

Citations

RESEARCH PRODUCTION:

16

Articles

44

Papers

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 33
   Journals where Jouchi Nakajima has often published
   Relations with other researchers
   Recent citing documents: 75.    Total self citations: 17 (3.75 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pna189
   Updated: 2018-09-22    RAS profile: 2017-06-29    
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Relations with other researchers

Works with:

Kamada, Koichiro (4)

Kimura, Takeshi (2)

Kunihama, Tsuyoshi (2)

Omori, Yasuhiro (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jouchi Nakajima.

Is cited by:

Omori, Yasuhiro (26)

Chan, Joshua (11)

GUPTA, RANGAN (9)

Takahashi, Makoto (9)

Deschamps, Philippe (8)

Yetman, James (7)

Nakazono, Yoshiyuki (6)

Ruiz, Esther (6)

Veiga, Helena (6)

Thorsrud, Leif (6)

Moreno Gutiérrez, José (6)

Cites to:

Shephard, Neil (27)

Omori, Yasuhiro (18)

Harvey, Andrew (12)

Primiceri, Giorgio (11)

Yu, Jun (10)

Jeliazkov, Ivan (10)

Korobilis, Dimitris (8)

Chernov, Mikhail (8)

Koop, Gary (8)

Gallant, A. (7)

Shiratsuka, Shigenori (7)

Main data

Where Jouchi Nakajima has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis3
The B.E. Journal of Macroeconomics2

Working Papers Series with more than one paper published# docs
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo10
IMES Discussion Paper Series / Institute for Monetary and Economic Studies, Bank of Japan8
Bank of Japan Working Paper Series / Bank of Japan8
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo6
Bank of Japan Research Laboratory Series / Bank of Japan3

Recent works citing Jouchi Nakajima (2018 and 2017)

YearTitle of citing document
2017Volatility Forecasts Using Nonlinear Leverage Effects. (2017). Nakatsuma, Teruo ; McAlinn, Kenichiro ; Ushio, Asahi . In: Papers. RePEc:arx:papers:1605.06482.

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2018Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738.

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2018How does monetary policy affect income inequality in Japan? Evidence from grouped data. (2018). Feldkircher, Martin ; Kakamu, Kazuhiko. In: Papers. RePEc:arx:papers:1803.08868.

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2018A Bayesian GED-Gamma stochastic volatility model for return data: a marginal likelihood approach. (2018). Santos, T R. In: Papers. RePEc:arx:papers:1809.01489.

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2018Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler. (2018). Rego, Arthur T ; Dos, Thiago R. In: Papers. RePEc:arx:papers:1809.01501.

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2018How Does Unconventional Monetary Policy Influence the Economy in Japan?. (2018). Otsubo, Kansho Piotr. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:308-330.

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2018The global component of inflation volatility. (2018). Marcellino, Massimiliano ; Carriero, Andrea ; Corsello, Francesco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1170_18.

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2017Unconventional monetary policy - is there a call for unconventional statistics?. (2017). Lima, Filipa ; Mota, Sonia . In: IFC Bulletins chapters. RePEc:bis:bisifc:43-21.

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2017The evolution of inflation expectations in Japan. (2017). Yetman, James ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:647.

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2018Effectiveness of unconventional monetary policies in a low interest rate environment. (2018). Filardo, Andrew ; Nakajima, Jouchi. In: BIS Working Papers. RePEc:bis:biswps:691.

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2018A time series model of interest rates with the effective lower bound. (2018). Mertens, Elmar ; Johannsen, Benjamin K. In: BIS Working Papers. RePEc:bis:biswps:715.

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2017Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage. (2017). Ishihara, Tsunehiro ; Omori, Yasuhiro. In: The Japanese Economic Review. RePEc:bla:jecrev:v:68:y:2017:i:1:p:63-94.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2018Business cycle narratives. (2018). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0064.

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2017Phillips Curve and Price-Change Distribution under Declining Trend Inflation. (2017). Shiraki, Noriyuki ; Kaihatsu, Sohei ; Katagiri, Mitsuru . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp17e05.

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2017Myths and Observations on Unconventional Monetary Policy -- Takeaways from Post-Bubble Japan --. (2017). Sudo, Nao ; Iwasaki, Yuto . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp17e11.

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2017Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models. (2017). Peter, Reusens ; Christophe, Croux. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:18:n:1.

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2017Creating Investment Scheme with State Space Modeling. (2017). Nakano, Masafumi ; Takahashi, Soichiro. In: CARF F-Series. RePEc:cfi:fseres:cf406.

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2018On the Persistence of UK Inflation: A Long-Range Dependence Approach. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1731.

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2017Financial globalisation, monetary policy spillovers and macro-modelling: tales from 1001 shocks. (2017). Georgiadis, Georgios ; Janokova, Martina . In: Working Paper Series. RePEc:ecb:ecbwps:20172082.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Trend inflation estimates for Thailand from disaggregated data. (2017). Limjaroenrat, Vorada ; Manopimoke, Pym. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:75-94.

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2018Oil price shocks and uncertainty: How stable is their relationship over time?. (2018). Filis, George ; Degiannakis, Stavros ; Panagiotakopoulou, Sofia. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:42-53.

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2017Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility. (2017). Dimitrakopoulos, Stefanos . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:10-14.

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2017An extension of stochastic volatility model with mixed frequency information. (2017). Shang, Yuhuang ; Liu, Lulu . In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:144-148.

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2017Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models. (2017). Gruber, Lutz F ; West, Mike . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:3-22.

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2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2017Oil price shocks and Chinas economy: Reactions of the monetary policy to oil price shocks. (2017). GUPTA, RANGAN ; Hyun, Jun Seog ; Hammoudeh, Shawkat ; Kim, Won Joong. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:61-69.

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2017The relationship between global oil price shocks and Chinas output: A time-varying analysis. (2017). Cross, Jamie ; Nguyen, Bao H. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:79-91.

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2018Time-varying effects of oil supply and demand shocks on Chinas macro-economy. (2018). Lin, Boqiang ; Gong, XU. In: Energy. RePEc:eee:energy:v:149:y:2018:i:c:p:424-437.

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2018Time-varying effects of cyclical fluctuations in Chinas energy industry on the macro economy and carbon emissions. (2018). Lin, Boqiang ; He, Yongda. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:1102-1112.

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2017The effectiveness of conventional and unconventional monetary policy: Evidence from a structural dynamic factor model for Japan. (2017). Hanisch, Max. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:110-134.

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2017Are there differences in the effectiveness of quantitative easing at the zero-lower-bound in Japan over time?. (2017). Michaelis, Henrike ; Watzka, Sebastian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:204-233.

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2017The evolution of inflation expectations in Japan. (2017). Yetman, James ; Hattori, Masazumi. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:46:y:2017:i:c:p:53-68.

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2017Variability in the effects of uncertainty shocks: New stylized facts from OECD countries. (2017). Choi, Sangyup. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:53:y:2017:i:c:p:127-144.

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2017Global macroeconomic uncertainty. (2017). Kempa, Bernd ; Grabert, Sibylle ; Berger, Tino. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:53:y:2017:i:c:p:42-56.

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2018Empirical research on complex networks modeling of combat SoS based on data from real war-game, Part I: Statistical characteristics. (2018). Wu, Cheng ; Chen, Lei ; Li, Zhanwu ; Kou, Yingxin ; Xu, AN. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:754-773.

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2017Energy consumption and economic growth: An empirical study of the electricity consumption in Saudi Arabia. (2017). Mezghani, Imed ; ben Haddad, Hedi . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:75:y:2017:i:c:p:145-156.

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2017A non-iterative (trivial) method for posterior inference in stochastic volatility models. (2017). Tsionas, Mike. In: Statistics & Probability Letters. RePEc:eee:stapro:v:126:y:2017:i:c:p:83-87.

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2017The Macroeconomic Effects of Japans Unconventional Monetary Policies. (2017). Okimoto, Tatsuyoshi ; MIYAO, Ryuzo ; Tatsuyoshi, Okimoto ; Ryuzo, MIYAO . In: Discussion papers. RePEc:eti:dpaper:17065.

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2017Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks. (2017). Georgiadis, Georgios ; Jancokova, Martina . In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:314.

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2017Inferring the Shadow Rate from Real Activity. (2017). Skaperdas, Arsenios ; Garcia, Benjamin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-106.

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2017The evolution of inflation expectations in Japan. (2017). Yetman, James ; Hattori, Masazumi. In: CIS Discussion paper series. RePEc:hit:cisdps:662.

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2017Expected Inflation Regimes in Japan. (2017). Okimoto, Tatsuyoshi. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-41.

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2017Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations. (2017). Lorusso, Marco ; Byrne, Joseph ; Xu, Bing. In: CEERP Working Paper Series. RePEc:hwc:wpaper:006.

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2017Amplification effects of news shocks through uncertainty. (2017). Cascaldi-Garcia, Danilo. In: 2017 Papers. RePEc:jmp:jm2017:pca1251.

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2017Identifying Unconventional Monetary Policy Shocks. (2017). Shibamoto, Masahiko ; Nakashima, Kiyotaka ; Takahashi, Koji . In: Discussion Paper Series. RePEc:kob:dpaper:dp2017-05.

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2017Empirical Evidence from a Japanese Lending Survey within the TVP-VAR Framework: Does the Credit Channel Matter for Monetary Policy?. (2017). Okamoto, Tatsuki ; Matsubayashi, Yoichi. In: Discussion Papers. RePEc:koe:wpaper:1709.

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2018Időben változó Taylor-szabály a hazai monetáris politika jellemzésére. (2018). Schepp, Zoltan ; Nemeth, Kristof ; Abaligeti, Gallusz. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1744.

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2018Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?. (2018). Guidolin, Massimo ; Bianchi, Daniele ; Ravazzolo, Francesco. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:34-62..

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2017Transmission mechanisms in Japan’s quantitative easing policy (2001–2006). (2017). Ijiri, Hiroyuki . In: Economics and Business Letters. RePEc:ove:journl:aid:11339.

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2017Changing Macroeconomic Dynamics at the Zero Lower Bound. (2017). Zanetti, Francesco ; Theodoridis, Konstantinos ; mumtaz, haroon ; Liu, Philip . In: Economics Series Working Papers. RePEc:oxf:wpaper:824.

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2017Measuring the Distributions of Public Inflation Perceptions and Expectations in the UK. (2017). Murasawa, Yasutomo. In: MPRA Paper. RePEc:pra:mprapa:76244.

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2017Did quantitative easing boost bank lending? The Slovak experience.. (2017). Lojschova, Adriana. In: MPRA Paper. RePEc:pra:mprapa:79567.

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2017Time Varying VAR Analysis for Disaggregated Exchange Rate Pass-through in Tunisia. (2017). Dahem, Ahlem ; Fatma, Siala Guermazi ; Skander, Slim . In: MPRA Paper. RePEc:pra:mprapa:79759.

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2017Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations. (2017). Xu, Bing ; Lorusso, Marco ; Byrne, Joseph. In: MPRA Paper. RePEc:pra:mprapa:80668.

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2017Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals. (2017). Xu, Bing ; Sakemoto, Ryuta ; Byrne, Joseph. In: MPRA Paper. RePEc:pra:mprapa:80791.

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2018Variational Bayes inference in high-dimensional time-varying parameter models. (2018). Korobilis, Dimitris ; Koop, Gary. In: MPRA Paper. RePEc:pra:mprapa:87972.

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2018A generalised stochastic volatility in mean VAR. (2018). mumtaz, haroon. In: Working Papers. RePEc:qmw:qmwecw:855.

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2018Variational Bayes inference in high-dimensional time-varying parameter models. (2018). Korobilis, Dimitris ; Koop, Gary. In: Working Paper series. RePEc:rim:rimwps:18-31.

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2017MEASURING THE INTERNATIONAL DIMENSION OF OUTPUT VOLATILITY. (2017). Iseringhausen, Martin ; Everaert, Gerdie. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:17/928.

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2018THE TIME-VARYING ASYMMETRY OF EXCHANGE RATE RETURNS: A STOCHASTIC VOLATILITY – STOCHASTIC SKEWNESS MODEL. (2018). Iseringhausen, Martin. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:18/944.

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2017Changes in the Liquidity Effect Over Time: Evidence from Four Monetary Policy Regimes. (2017). van Lill, Dawid Johannes . In: Working Papers. RePEc:rza:wpaper:704.

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2017Computing long‐term market inflation expectations for countries without inflation expectation markets. (2017). Rosenblatt-Wisch, Rina ; Moessner, Richhild ; Gerlach-Kristen, Petra. In: Working Papers. RePEc:snb:snbwpa:2017-09.

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2018Large Shocks and the Business Cycle: The Effect of Outlier Adjustments. (2018). Ohtsuka, Yoshihiro . In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:14:y:2018:i:1:d:10.1007_s41549-018-0027-z.

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2017Demographic structure and monetary policy effectiveness: evidence from Taiwan. (2017). Chen, Wen-Yi. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:51:y:2017:i:6:d:10.1007_s11135-016-0407-1.

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2017Periodic autoregressive stochastic volatility. (2017). Aknouche, Abdelhakim . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:20:y:2017:i:2:d:10.1007_s11203-016-9139-z.

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2017Did quantitative easing boost bank lending? The Slovak experience. (2017). Lojschova, Adriana . In: Working and Discussion Papers. RePEc:svk:wpaper:1042.

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2017Do Fiscal Multipliers Vary with Different Character of Monetary-Fiscal Interactions?. (2017). Bencik, Michal. In: Working and Discussion Papers. RePEc:svk:wpaper:1052.

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2018Bayesian Dynamic Modeling of High-Frequency Integer Price Changes. (2018). Koopman, Siem Jan ; Barra, Istvan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160028.

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2017Particle rolling MCMC with Double Block Sampling: Conditional SMC Update Approach. (2017). Awaya, Naoki ; Omori, Yasuhiro. In: CIRJE F-Series. RePEc:tky:fseres:2017cf1066.

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2018Particle rolling MCMC with double block sampling: conditional SMC update approach. (2018). Awaya, Naoki ; Omori, Yasuhiro. In: CIRJE F-Series. RePEc:tky:fseres:2018cf1080.

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2018.

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2017What Has Publishing Inflation Forecasts Accomplished? Central Banks And Their Competitors. (2017). Siklos, Pierre. In: LCERPA Working Papers. RePEc:wlu:lcerpa:0098.

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2017What has caused global business cycle decoupling: Smaller shocks or reduced sensitivity?. (2017). Berger, Tino ; Richter, Julia . In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:300.

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Works by Jouchi Nakajima:

YearTitleTypeCited
2012BAYESIAN ANALYSIS OF GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY AND STOCHASTIC VOLATILITY: MODELING LEVERAGE, JUMPS AND HEAVY‐TAILS FOR FINANCIAL TIME SERIES In: The Japanese Economic Review.
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2015The natural yield curve: its concept and developments in Japan In: Bank of Japan Research Laboratory Series.
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2015What do negative inflation risk premia tell us? In: Bank of Japan Research Laboratory Series.
[Full Text][Citation analysis]		paper0
2015Household Inflation Expectations: The Term Structure and the Anchor Effects of Monetary Policy In: Bank of Japan Research Laboratory Series.
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2014Disagreement in households inflation expectations and its evolution In: Bank of Japan Review Series.
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2016Slow Trade: Structural and Cyclical Factors in Global Trade Slowdown In: Bank of Japan Research Papers.
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2005Bank Health and Investment: An Analysis of Unlisted Companies in Japan In: Bank of Japan Working Paper Series.
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2005Bank Health and Investment: An Analysis of Unlisted Companies in Japan.(2005) In: CARF F-Series.
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2005Bank Health and Investment: An Analysis of Unlisted Companies in Japan.(2005) In: CIRJE F-Series.
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2013On the Reliability of Japanese Inflation Expectations Using Purchasing Power Parity In: Bank of Japan Working Paper Series.
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2014On the reliability of Japanese inflation expectations using purchasing power parity.(2014) In: Economic Analysis and Policy.
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2013Identifying Conventional and Unconventional Monetary Policy Shocks: A Latent Threshold Approach In: Bank of Japan Working Paper Series.
[Full Text][Citation analysis]		paper17
2016Identifying conventional and unconventional monetary policy shocks: a latent threshold approach.(2016) In: The B.E. Journal of Macroeconomics.
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2015Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model In: Bank of Japan Working Paper Series.
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2015Has Trend Inflation Shifted?: An Empirical Analysis with a Regime-Switching Model In: Bank of Japan Working Paper Series.
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2015The natural yield curve: its concept and measurement In: Bank of Japan Working Paper Series.
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2015Are Household Inflation Expectations Anchored in Japan? In: Bank of Japan Working Paper Series.
[Full Text][Citation analysis]		paper5
2016Identifying Oil Price Shocks and Their Consequences:Role of Expectations and Financial Factors in the Crude Oil Market In: Bank of Japan Working Paper Series.
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2011Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach In: The B.E. Journal of Macroeconomics.
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2011Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach.(2011) In: IMES Discussion Paper Series.
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2013Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns In: Studies in Nonlinear Dynamics & Econometrics.
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2004Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in Journal of Econometrics, 140, 425-449, 2007. ) In: CARF F-Series.
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2005Deteriorating 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.
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2007Leverage, 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.
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2009Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Students t-distribution In: CARF F-Series.
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2010Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution.(2010) In: CARF F-Series.
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2012Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution.(2012) In: Computational Statistics & Data Analysis.
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2010Stochastic Volatility Model with Leverage and Asymmetrically Heavy-tailed Error Using GH Skew Students t-distribution.(2010) In: Global COE Hi-Stat Discussion Paper Series.
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2009Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution.(2009) In: CIRJE F-Series.
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2009Leverage, heavy-tails and correlated jumps in stochastic volatility models In: Computational Statistics & Data Analysis.
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2007Leverage, heavy-tails and correlated jumps in stochastic volatility models.(2007) In: CIRJE F-Series.
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2012Generalized extreme value distribution with time-dependence using the AR and MA models in state space form In: Computational Statistics & Data Analysis.
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2009Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form.(2009) In: IMES Discussion Paper Series.
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2009Generalized extreme value distribution with time-dependence using the AR and MA models in state space form.(2009) In: CIRJE F-Series.
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2011Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form.(2011) In: CIRJE F-Series.
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