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Stationary and non-stationary simultaneous switching autoregressive models with an application to financial time series
Kunitomo, Naoto; Sato, Seisho - In: The Japanese economic review : the journal of the … 50 (1999) 2, pp. 161-190
Persistent link: https://www.econbiz.de/10001470186
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Estimation of asymmetrical volatility for asset prices : the simultaneous switching ARIMA approach
Kunitomo, Naoto; Sato, Seisho - 1996
Persistent link: https://www.econbiz.de/10000950664
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Asymmetry in economic time series and the simultaneous switching autoregressive model
Kunitomo, Naoto - In: Structural change and economic dynamics : SC+ED 7 (1996) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001196687
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On the simultaneous switching autoregressive model
Kunitomo, Naoto; Sato, Seisho - In: Nonlinear statistical modeling : proceedings of the …, (pp. 363-391). 2000
Persistent link: https://www.econbiz.de/10001587933
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The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
Kunitomo, Naoto; Misaki, Hiroumi; Sato, Seisho - In: Asia-Pacific financial markets 22 (2015) 3, pp. 333-368
Persistent link: https://www.econbiz.de/10011524812
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Backward smoothing for noisy non-stationary time series
Sato, Seisho; Kunitomo, Naoto - 2021
Persistent link: https://www.econbiz.de/10012813370
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Frequency regression and smoothing for noisy nonstationary time series
Sato, Seisho; Kunitomo, Naoto - 2021
Persistent link: https://www.econbiz.de/10012813391
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[Rezension von: Handbook of econometrics, Vol. 2, ed. by Zvi Griliches ..]
Kunitomo, Naoto - In: Journal of economic literature 24 (1986) 1, pp. 101-102
Persistent link: https://www.econbiz.de/10001341356
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Improving the Parkinson method of estimating security price volatilities
Kunitomo, Naoto - In: The journal of business : B 65 (1992) 2, pp. 295-302
Persistent link: https://www.econbiz.de/10001124145
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Approximate distributions and power of test statistics for overidentifying restrictions in a system of simultaneous equations
Kunitomo, Naoto - In: Econometric theory 4 (1988) 2, pp. 248-274
Persistent link: https://www.econbiz.de/10001052651