• 27 Citations
  • 4 h-Index
20082019
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Research Output 2008 2019

  • 27 Citations
  • 4 h-Index
  • 10 Article
Filter
Article
2019
Gaussian Model
State-space Model
Computing
Covariance matrix
MATLAB
2017

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 journalArticle

Operator Matrix
Operator
Heteroscedastic Model
Wald Test
Conditional Model
2015
1 Citation (Scopus)
Market microstructure noise
State space
Integrated variance
Realized variance
Microstructure noise
2013
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 journalArticle

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 journalArticle

Space Form
Time Series Models
State Space
Gaussian Model
State-space Model
2012
5 Citations (Scopus)

Spurious regressions in technical trading

Shintani, M., Yabu, T. & Nagakura, D., 2012 Aug, In : Journal of Econometrics. 169, 2, p. 301-309 9 p.

Research output: Contribution to journalArticle

Spurious Regression
Momentum
Statistics
Economics
Moving Average
2009
4 Citations (Scopus)
Random Coefficient Models
Unit Root Tests
Unit Root
Asymptotic Theory
Autoregressive Model
4 Citations (Scopus)
Stationary Process
Null
Locally Best Invariant Test
Testing
Random Coefficient Models
7 Citations (Scopus)

Testing the sequential logit model against the nested logit model

Nagakura, D. & Kobayashi, M., 2009, In : Japanese Economic Review. 60, 3, p. 345-361 17 p.

Research output: Contribution to journalArticle

Nested logit model
Logit model
Testing
Multinomial logit model
LM test
2008
2 Citations (Scopus)

A note on the two assumptions of standard unobserved components models

Nagakura, D., 2008 Jul, In : Economics Letters. 100, 1, p. 123-125 3 p.

Research output: Contribution to journalArticle

Economics
Unobserved components model
Random walk
Permanent and transitory components
Output fluctuations