Research Output per year

## Fingerprint Dive into the research topics where Daisuke Nagakura is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

- 2 Similar Profiles

Random Coefficient Models
Mathematics

Gaussian Model
Mathematics

Unit Root
Mathematics

State-space Model
Mathematics

Spurious Regression
Mathematics

Locally Best Invariant Test
Mathematics

Autoregressive Model
Mathematics

Unit Root Tests
Mathematics

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## Research Output 2008 2019

- 27 Citations
- 4 h-Index
- 10 Article

## Computing exact score vectors for linear Gaussian state space models

Nagakura, D., 2019 Jan 1, In : Communications in Statistics: Simulation and Computation.Research output: Contribution to journal › Article

Gaussian Model

State-space Model

Computing

Covariance matrix

MATLAB

## On the relationship between the matrix operators, vech and vecd

Nagakura, D., 2017 Aug 30, (Accepted/In press) In : Communications in Statistics - Theory and Methods. p. 1-17 17 p.Research output: Contribution to journal › Article

Operator Matrix

Operator

Heteroscedastic Model

Wald Test

Conditional Model

1
Citation
(Scopus)

## A state space approach to estimating the integrated variance under the existence of market microstructure noise

Nagakura, D. & Watanabe, T., 2015, In : Journal of Financial Econometrics. 13, 1, p. 45-82 38 p.Research output: Contribution to journal › Article

Market microstructure noise

State space

Integrated variance

Realized variance

Microstructure noise

3
Citations
(Scopus)

## Asymmetry in government bond returns

Fujiwara, I., Körber, L. M. & Nagakura, D., 2013 Aug, In : Journal of Banking and Finance. 37, 8, p. 3218-3226 9 p.Research output: Contribution to journal › Article

Bond returns

Government bonds

Asymmetry

Skewness

Coefficients

1
Citation
(Scopus)

## Explicit vector expression of exact score for time series models in state space form

Nagakura, D., 2013 Jul, In : Statistical Methodology. 13, p. 69-74 6 p.Research output: Contribution to journal › Article

Space Form

Time Series Models

State Space

Gaussian Model

State-space Model