Katsumi Shimotsu : Citation Profile


Are you Katsumi Shimotsu?

University of Tokyo (90% share)
Queen's University (10% share)

12

H index

13

i10 index

503

Citations

RESEARCH PRODUCTION:

15

Articles

38

Papers

RESEARCH ACTIVITY:

   14 years (2000 - 2014). See details.
   Cites by year: 35
   Journals where Katsumi Shimotsu has often published
   Relations with other researchers
   Recent citing documents: 72.    Total self citations: 17 (3.27 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psh189
   Updated: 2019-07-14    RAS profile: 2015-02-04    
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Relations with other researchers


Works with:

Kasahara, Hiroyuki (5)

Suzuki, Michio (3)

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

Is cited by:

Yazgan, Ege (23)

DE TRUCHIS, Gilles (17)

Stengos, Thanasis (17)

Aguirregabiria, Victor (16)

Jochmans, Koen (16)

Phillips, Peter (15)

Gil-Alana, Luis (14)

Asai, Manabu (13)

McAleer, Michael (13)

Keddad, Benjamin (12)

Santucci de Magistris, Paolo (12)

Cites to:

Phillips, Peter (19)

Andrews, Donald (11)

Velasco, Carlos (11)

Aguirregabiria, Victor (9)

Nielsen, Morten (9)

Bollerslev, Tim (9)

Rust, John (8)

Kasahara, Hiroyuki (8)

Rust, John (8)

Diebold, Francis (8)

Robinson, Peter (8)

Main data


Where Katsumi Shimotsu has published?


Journals with more than one article published# docs
Journal of Econometrics6
Journal of the Japanese and International Economies2
Econometric Theory2
Econometrica2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University13
Discussion Papers / Graduate School of Economics, Hitotsubashi University6
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University4
CESifo Working Paper Series / CESifo Group Munich2
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo2

Recent works citing Katsumi Shimotsu (2018 and 2017)


YearTitle of citing document
2018Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09.

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2017Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models. (2017). Arellano, Manuel ; Bonhomme, Stephane. In: Annual Review of Economics. RePEc:anr:reveco:v:9:y:2017:p:471-496.

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2019On the iterated estimation of dynamic discrete choice games. (2018). Bugni, Federico ; Bunting, Jackson. In: Papers. RePEc:arx:papers:1802.06665.

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2018Schooling Choice, Labour Market Matching, and Wages. (2018). Schwartz, Jacob . In: Papers. RePEc:arx:papers:1803.09020.

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2018Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.00953.

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2019Improved Inference on the Rank of a Matrix. (2018). Chen, Qihui ; Fang, Zheng. In: Papers. RePEc:arx:papers:1812.02337.

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2019Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Identification of Regression Models with a Misclassified and Endogenous Binary Regressor. (2019). Shimotsu, Katsumi ; Kasahara, Hiroyuki. In: Papers. RePEc:arx:papers:1904.11143.

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2018Inference in Games Without Nash Equilibrium: An Application to Restaurants, Competition in Opening Hours. (2018). Xie, Erhao . In: Staff Working Papers. RePEc:bca:bocawp:18-60.

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2018PERSISTENCE IN CONVERGENCE AND CLUB FORMATION. (2018). Stengos, Thanasis ; Zkan, Harun ; Yazgan, Ege M. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:2:p:119-138.

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2017Multinomial choice with social interactions: occupations in Victorian London. (2017). Guerra, José ; Mohnen, Myra . In: DOCUMENTOS CEDE. RePEc:col:000089:015667.

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2018Linear IV Regression Estimators for Structural Dynamic Discrete Choice Models. (2018). Kalouptsidi, Myrto ; Souza-Rodrigues, Eduardo ; Scott, Paul T. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13240.

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2017Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence. (2017). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez, Carlos Vladimir ; Ergemen, Yunus Emre . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614.

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2018Dynamic Random Utility. (2018). Strzalecki, Tomasz ; Iijima, Ryota ; Frick, Mira . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2092r.

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2019Identifying finite mixture models in the presence of moment-generating function: application in medical care using a zero-inflated binomial model. (2019). Masuhara, Hiroaki . In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00287.

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2018Perpetual learning and apparent long memory. (2018). Mavroeidis, Sophocles ; Chevillon, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:343-365.

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2017A social interaction model with ordered choices. (2017). Liu, Xiaodong ; Zhou, Jiannan. In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:86-89.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2017Learning can generate long memory. (2017). Mavroeidis, Sophocles ; Chevillon, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:1-9.

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2017The econometrics of unobservables: Applications of measurement error models in empirical industrial organization and labor economics. (2017). Hu, Yingyao. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:154-168.

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2017Nonparametric estimation of non-exchangeable latent-variable models. (2017). Jochmans, Koen ; Bonhomme, Stephane ; Robin, Jean-Marc. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:237-248.

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2018A multivariate test against spurious long memory. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Busch, Marie. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:33-49.

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2018Generating univariate fractional integration within a large VAR(1). (2018). Hecq, Alain ; Chevillon, Guillaume ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:54-65.

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2018A semi-nonparametric estimator of regression discontinuity design with discrete duration outcomes. (2018). Xu, Ke-Li. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:258-278.

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2019A computationally efficient fixed point approach to dynamic structural demand estimation. (2019). Ishihara, Masakazu ; Sun, Yutec. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:563-584.

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2017Dynamic spillover between commodities and commodity currencies during United States Q.E.. (2017). Yip, Pick Schen ; Do, Hung Xuan ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:399-410.

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2018Further evidence on the debate of oil-gas price decoupling: A long memory approach. (2018). Zhang, Dayong ; Ji, Qiang. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:68-75.

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2017Crude oil price behaviour before and after military conflicts and geopolitical events. (2017). Pérez de Gracia, Fernando ; Monge, Manuel ; Gil-Alana, Luis. In: Energy. RePEc:eee:energy:v:120:y:2017:i:c:p:79-91.

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2019Volatility discovery: Can the CDS market beat the equity options market?. (2019). Lovreta, Lidija ; Forte, Santiago. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:107-111.

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2019Are shocks on the returns and volatility of cryptocurrencies really persistent?. (2019). Maouchi, Youcef ; Charfeddine, Lanouar. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:423-430.

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2017How does real option value compare with Faustmann value when log prices follow fractional Brownian motion?. (2017). Niquidet, Kurt ; Manley, Bruce. In: Forest Policy and Economics. RePEc:eee:forpol:v:85:y:2017:i:p1:p:76-84.

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2017CPI and inflation in Kenya. Structural breaks, non-linearities and dependence. (2017). Gil-Alana, Luis ; Mudida, Robert. In: International Economics. RePEc:eee:inteco:v:150:y:2017:i:c:p:72-79.

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2017On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning. (2017). Keddad, Benjamin ; DE TRUCHIS, Gilles ; Delleva, Cyril . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:82-98.

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2017Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration. (2017). Miller, Stephen ; Canarella, Giorgio. In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:45-62.

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2017Do financial reforms help stabilize inequality?. (2017). McAdam, Peter ; Christopoulos, Dimitris. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:45-61.

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2018Wavelet eigenvalue regression for n-variate operator fractional Brownian motion. (2018). Abry, Patrice ; Didier, Gustavo. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:168:y:2018:i:c:p:75-104.

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2017Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach. (2017). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Awe, Olushina. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:117-124.

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2019Lithium: Production and estimated consumption. Evidence of persistence. (2019). Monge, Manuel ; Gil-Alana, Luis A. In: Resources Policy. RePEc:eee:jrpoli:v:60:y:2019:i:c:p:198-202.

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2017Long-range dependence in returns and volatility of global gold market amid financial crises. (2017). Omane-Adjepong, Maurice ; Boako, Gideon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:472:y:2017:i:c:p:188-202.

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2017Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models. (2017). Christian, ; Gramacy, Robert B ; Watkins, Nicholas W ; Tindale, Elizabeth ; Graves, Timothy . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:60-71.

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2018Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data. (2018). GUPTA, RANGAN ; Charfeddine, Lanouar ; Aye, Goodness C ; ben Khediri, Karim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:632-647.

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2018Spillover effects in home mortgage defaults: Identifying the power neighbor. (2018). Chomsisengphet, Souphala ; Liu, Xiaodong ; Kiefer, Hua. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:73:y:2018:i:c:p:68-82.

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2017Convergence of per capita CO2 emissions across the globe: Insights via wavelet analysis. (2017). Khan, Atif ; Zakaria, Muhammad ; Bibi, Salma ; Ahmed, Mumtaz. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:75:y:2017:i:c:p:86-97.

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2019The forward premium anomaly in the energy futures markets: A time-varying approach. (2019). Charfeddine, Lanouar ; Mrabet, Zouhair ; ben Khediri, Karim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:600-615.

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2017Volatility Dynamics of Precious Metals: Evidence from Russia. (2017). Kirkulak, Berna ; Lkhamazhapov, Zorikto ; Kirkulak-Uludag, Berna. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:4:p:300-317.

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2017Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses. (2017). Perron, Pierre ; Chang, Seong Yeon. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:5-:d:87211.

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2017Modelling Heterogeneity in the Resilience to Major Socioeconomic Life Events. (2017). Shields, Michael ; Frijters, Paul ; Etilé, Fabrice ; Johson, David W ; Etile, Fabrice. In: PSE Working Papers. RePEc:hal:psewpa:halshs-01485989.

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2018Integration and Disintegration of EMU Government Bond Markets. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-625.

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2018Misclassification and the hidden silent rivalry. (2018). Hu, Yingyao ; Lin, Zhongjian. In: CeMMAP working papers. RePEc:ifs:cemmap:12/18.

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2017Discretizing unobserved heterogeneity. (2017). Lamadon, Thibaut ; Manresa, Elena ; Bonhomme, Stephane. In: IFS Working Papers. RePEc:ifs:ifsewp:17/03.

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2018Generalised Empirical Likelihood Kernel Block Bootstrapping. (2018). Parente, Paulo ; Smith, Richard J. In: Working Papers REM. RePEc:ise:remwps:wp0552018.

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2017Hedge Fund Return Dynamics: Long Memory and Regime Switching. (2017). Limam, M A ; Terraza, M. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:8:y:2017:i:4:p:148-166.

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2017Price convergence within and between the Italian electricity day-ahead and dispatching services markets. (2017). Fontini, Fulvio ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0215.

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2018High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach. (2018). YAYA, OLAOLUWA ; Gil-Alana, Luis A. In: MPRA Paper. RePEc:pra:mprapa:90518.

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2017Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data. (2017). GUPTA, RANGAN ; Charfeddine, Lanouar ; Aye, Goodness C ; ben Khediri, Karim. In: Working Papers. RePEc:pre:wpaper:201771.

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2018Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks. (2018). ben Maatoug, Abderrazak ; Fatnassi, Ibrahim ; Davidson, Russell ; Lamouchi, Rim. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:10:y:2018:i:1:p:1-25.

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2018On Worker and Firm Heterogeneity in Wages and Employment Mobility: Evidence from Danish Register Data. (2018). Robin, Jean-Marc ; Piyapromdee, Suphanit ; Lentz, Rasmus. In: PIER Discussion Papers. RePEc:pui:dpaper:91.

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2018On Worker and Firm Heterogeneity in Wages and Employment Mobility: Evidence from Danish Register Data. (2018). Robin, Jean-Marc ; Piyapromdee, Suphanit ; Lentz, Rasmus. In: 2018 Meeting Papers. RePEc:red:sed018:469.

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2017Nonparametric estimation of non-exchangeable latent-variable models. (2017). Bonhomme, Stephane ; Robin, Jean-Marc ; Jochmans, Koen. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/4m4fqk908d9obqasu0uhft7t94.

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2017Nonparametric estimation of non-exchangeable latent-variable models. (2017). Jochmans, Koen ; Bonhomme, Stephane ; Robin, Jean-Marc. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/lpag9391598uoauqu4u9opq76.

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2018Persistence of travel and leisure sector equity indices. (2018). Rodrigues, Paulo ; Andraz, Jorge ; Jorge, . In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:4:d:10.1007_s00181-017-1276-8.

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2018Competitive moment matching of a New-Keynesian and an Old-Keynesian model. (2018). Franke, Reiner. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:2:d:10.1007_s11403-016-0181-0.

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2018What Can We Learn About the Real Exchange Rate Behavior in the Case of a Peripheral Country?. (2018). Ftiti, Zied ; Chaouachi, Slim . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:3:d:10.1007_s40953-017-0098-z.

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2018A study of fractionally integrated time series using descriptive methods. (2018). Clark, Steven P ; Coggin, Daniel T. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:2:p:172-186.

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2017A fractionally integrated Wishart stochastic volatility model. (2017). McAleer, Michael ; Asai, Manabu. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:42-59.

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2017Forecasting the volatility of Nikkei 225 futures. (2017). McAleer, Michael ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1707.

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2018The emergence of the RMB: A New Normal for Chinas exchange rate system?. (2018). Kunze, Frederik ; Spiwoks, Markus ; Wegener, Christoph ; Basse, Tobias. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:348.

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2017Tax incentives for research and development and their use in tax planning. (2017). Pfeiffer, Olena ; Spengel, Christoph. In: ZEW Discussion Papers. RePEc:zbw:zewdip:17046.

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2019The power of (non-)linear shrinking: a review and guide to covariance matrix estimation. (2019). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:323.

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Works by Katsumi Shimotsu:


YearTitleTypeCited
2008Empirical Likelihood Block Bootstrapping In: Staff Working Papers.
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2011Empirical likelihood block bootstrapping.(2011) In: Journal of Econometrics.
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2010Empirical Likelihood Block Bootstrapping.(2010) In: Discussion Papers.
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2008Empirical Likelihood Block Bootstrapping.(2008) In: Working Paper.
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2014Modified Quasi-Likelihood Ratio Test for Regime Switching In: The Japanese Economic Review.
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article3
2014Non-parametric identification and estimation of the number of components in multivariate mixtures In: Journal of the Royal Statistical Society Series B.
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2012Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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2012Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures.(2012) In: CIRJE F-Series.
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2008Sequential Estimation of Structural Models with a Fixed Point Constraint In: CESifo Working Paper Series.
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2012Sequential Estimation of Structural Models With a Fixed Point Constraint.(2012) In: Econometrica.
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2009Sequential Estimation of Structural Models with a Fixed Point Constraint.(2009) In: Discussion Papers.
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2008Sequential Estimation Of Structural Models With A Fixed Point Constraint.(2008) In: Working Paper.
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2013Does an R&D Tax Credit Affect R&D Expenditure? The Japanese R&D Tax Credit Reform in 2003 In: CESifo Working Paper Series.
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2014Does an R&D tax credit affect R&D expenditure? The Japanese R&D tax credit reform in 2003.(2014) In: Journal of the Japanese and International Economies.
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2013Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003 In: CARF F-Series.
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2012Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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2009COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE In: Econometric Theory.
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2004Covariance-based orthogonality tests for regressors with unknown persistence.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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2004Covariance-based orthogonality tests for regressors with unknown persistence.(2004) In: Econometric Society 2004 North American Summer Meetings.
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2007Covariance-based Orthogonality Tests For Regressors With Unknown Persistence.(2007) In: Working Paper.
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2010EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND In: Econometric Theory.
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2006Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend.(2006) In: Working Paper.
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2000Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case In: Cowles Foundation Discussion Papers.
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2003Local Whittle Estimation in Nonstationary and Unit Root Cases In: Cowles Foundation Discussion Papers.
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2000Pooled Log Periodogram Regression In: Cowles Foundation Discussion Papers.
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2004Exact Local Whittle Estimation of Fractional Integration In: Cowles Foundation Discussion Papers.
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2009Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices In: Econometrica.
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2006Local Whittle estimation of fractional integration and some of its variants In: Journal of Econometrics.
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article59
2007Gaussian semiparametric estimation of multivariate fractionally integrated processes In: Journal of Econometrics.
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2006Gaussian Semiparametric Estimation Of Multivariate Fractionally Integrated Processes.(2006) In: Working Paper.
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2007Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach In: Journal of Econometrics.
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2006Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach.(2006) In: Working Paper.
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2008Pseudo-likelihood estimation and bootstrap inference for structural discrete Markov decision models In: Journal of Econometrics.
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2012Exact local Whittle estimation of fractionally cointegrated systems In: Journal of Econometrics.
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2010Exact Local Whittle Estimation of Fractionally Cointegrated Systems.(2010) In: Discussion Papers.
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2009Improvement in finite sample properties of the Hansen-Jagannathan distance test In: Journal of Empirical Finance.
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2007Improvement In Finite Sample Properties Of The Hansen-jagannathan Distance Test.(2007) In: Working Paper.
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2010Decline in the persistence of real exchange rates, but not sufficient for purchasing power parity In: Journal of the Japanese and International Economies.
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2010Decline in the Persistence of Real Exchange Rates : But Not Sufficient for Purchasing Power Parity.(2010) In: Discussion Papers.
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