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Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate

Maki, Daiki - In: Economics letters 81 (2003) 3, pp. 349-354

Persistent link: https://www.econbiz.de/10001835510

Tests for cointegration allowing for an unknown number of breaks

Maki, Daiki - In: Economic modelling 29 (2012) 5, pp. 2011-2015

Persistent link: https://www.econbiz.de/10009667003

Detection of stationarity in nonlinear processes : a comparison between structural breaks and three-regime TAR models

Maki, Daiki - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10009515140

Variance ratio tests for a unit root in the presence of a mean shift : small sample properties and an application to purchasing power parity

Maki, Daiki - In: Applied financial economics 16 (2006) 8, pp. 607-615

Persistent link: https://www.econbiz.de/10003328492

Non-linear adjustment in the term structure of interest rates : a cointegration analysis in the non-linear STAR framework

Maki, Daiki - In: Applied financial economics 16 (2006) 17, pp. 1301-1307

Persistent link: https://www.econbiz.de/10003387426

Tests for a unit root using three-regime TAR models : power comparison and some applications

Maki, Daiki - In: Econometric reviews 28 (2009) 4, pp. 335-363

Persistent link: https://www.econbiz.de/10003864021

The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes : evidence from Monte Carlo simulations and applications

Maki, Daiki - In: Computational economics 31 (2008) 1, pp. 77-94

Persistent link: https://www.econbiz.de/10003612217

Evaluation of volatility spillovers for asymmetric realized covariance

Maki, Daiki - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014581009

Detecting cointegration relationships under nonlinear models : Monte Carlo analysis and some applications

Maki, Daiki - In: Empirical economics : a journal of the Institute for … 45 (2013) 1, pp. 605-625

Persistent link: https://www.econbiz.de/10009780025

Asymmetric Effect of Trading Volume on Realized Volatility

Maki, Daiki - 2023

This study examines the asymmetric effect of trading volume on realized volatility. The study introduces new realized volatility models to examine this effect: one model uses asymmetric trading volume variables based on intraday returns, and the other uses asymmetric trading volume variables...

Persistent link: https://www.econbiz.de/10014356029