← All authors Daiki Maki Doshisha University (from arXiv:2006.00158, 2020) · ORCID · OpenAlex
31 papers in scope · 30 published · 5 on the econ.EM arXiv · 586 citations · h-index 9 (over the papers listed here)
Papers (3 of 31)
Asymmetric effect of trading volume on realized volatility
published 2024 · International Review of Economics & Finance · 3 citations · first circulated 2023
Evaluation of volatility spillovers for asymmetric realized covariance
published 2024 · The North American Journal of Economics and Finance · first circulated 2023
Forecasting downside and upside realized volatility: The role of asymmetric information
published 2024 · The Journal of Economic Asymmetries · 3 citations · first circulated 2023
Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach
published 2023 · Results in Applied Mathematics · 1 citations · first circulated 2022
Nonlinearity and forecast performance of realized volatility
published 2023 · Communications in Statistics Case Studies Data Analysis and Applications
published 2021 · Economic Modelling · 10 citations · first circulated 2020
Robust tests for ARCH in the presence of a misspecified conditional mean: A comparison of nonparametric approaches
published 2021 · Cogent Economics & Finance · 1 citations
published 2020 · Computational Economics · first circulated 2019
working paper 2019 · arXiv
Properties of Time-Varying Causality Tests in the Presence of Multivariate Stochastic Volatility
published 2016 · Open Journal of Statistics · 2 citations
Time-varying asymmetric error correction mechanism: An application to the relationship between the oil price and economic activity
published 2016 · Journal of Statistical and Econometric Methods
no link
Wild bootstrap testing for cointegration in an ESTAR error correction model
published 2015 · Economic Modelling · 2 citations
Wild bootstrap tests for unit root in ESTAR models
published 2014 · Statistical Methods & Applications · 2 citations
Residual-based tests for cointegration with three-regime TAR adjustment
published 2014 · Empirical Economics · 11 citations
with Shin-ichi Kitasaka
Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications
published 2012 · Empirical Economics · 7 citations
Tests for cointegration allowing for an unknown number of breaks
published 2012 · Economic Modelling · 431 citations
The influence of heteroskedastic variances on cointegration tests: A comparison using Monte Carlo simulations
published 2011 · Computational Statistics · 4 citations
Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment
published 2011 · Communications in Statistics - Simulation and Computation · 2 citations
Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models
published 2010 · Studies in Nonlinear Dynamics and Econometrics
An alternative procedure to test for cointegration in STAR models
published 2009 · Mathematics and Computers in Simulation · 13 citations
Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
published 2009 · Econometric Reviews · 13 citations
Limit Cycles in Japanese Macroeconomic Data: Policy Implications from he View of Business Cycles
published 2009 · International Journal of Economic Policy Studies · 1 citations
with Mitsuhiko Satake, Yasuyuki Nishigaki
Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts
published 2008 · Mathematics and Computers in Simulation
The size performance of a nonparametric unit root test under a variance shift
published 2007 · Statistics & Probability Letters · 2 citations
The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications
published 2007 · Computational Economics · 1 citations
Non-linear adjustment in the term structure of interest rates: a cointegration analysis in the non-linear STAR framework
published 2006 · Applied Financial Economics · 16 citations
The equilibrium relationship among money, income, prices, and interest rates: evidence from a threshold cointegration test
published 2006 · Applied Economics · 24 citations
with Shin-ichi Kitasaka
Variance ratio tests for a unit root in the presence of a mean shift: small sample properties and an application to purchasing power parity
published 2006 · Applied Financial Economics · 2 citations
Asymmetric adjustment of the equilibrium relationship between the nominal interest rate and inflation rate
published 2005 · Economics bulletin · 10 citations
no link
The term structure of interest rates with nonlinear adjustment: Evidence from a unit root test in the nonlinear STAR framework
published 2005 · Economics bulletin · 6 citations
no link
Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate
published 2003 · Economics Letters · 19 citations
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