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Time-varying parameter VAR model with stochastic volatility : an overview of methodology and empirical applications
Nakajima, Jouchi - 2011
Persistent link: https://www.econbiz.de/10008937530
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Monetary policy transmission under zero interest rates : an extended time-varying parameter vector autoregression approach
Nakajima, Jouchi - 2011
Persistent link: https://www.econbiz.de/10008937534
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EGARCH and stochastic volatility : modeling jumps and heavy-tails for stock returns
Nakajima, Jouchi - 2008
Persistent link: https://www.econbiz.de/10003759269
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The effect of the increase in monetary base on Japan's economy at zero interest rates : an empirical analysis
Kimura, Takeshi; Kobayashi, Hiroshi; Muranaga, Jun; … - 2002
Persistent link: https://www.econbiz.de/10001725366
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Generalized extreme value distribution with time-dependence using the AR and MA models in state space form
Nakajima, Jouchi; Kunihama, Tsuyoshi; Omori, Yasuhiro; … - 2009
Persistent link: https://www.econbiz.de/10003908068
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How well do the sticky price models explain the disaggregated price responses to aggregate technology and monetary policy shocks?
Nakajima, Jouchi; Sudo, Nao; Tsuruga, Takayuki - 2010
Persistent link: https://www.econbiz.de/10008665137
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The effects of monetary policy commitment : evidence from time-varying parameter VAR analysis
Nakajima, Jouchi; Shiratsuka, Shigenori; Teranishi, Yuki - 2010
Persistent link: https://www.econbiz.de/10003951379
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Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - 2009
Persistent link: https://www.econbiz.de/10003843389
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The evolution of loan rate stickiness across the euro area
Nakajima, Jouchi; Teranishi, Yuki - 2009
Persistent link: https://www.econbiz.de/10003822407