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Time-varying parameter VAR model with stochastic volatility : an overview of methodology and empirical applications
Nakajima, Jouchi - In: Monetary and economic studies 29 (2011), pp. 107-142
Persistent link: https://www.econbiz.de/10009385289
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Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
Nakajima, Jouchi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 499-520
Persistent link: https://www.econbiz.de/10010228561
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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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Monetary policy transmission under zero interest rates : an extended time-varying parameter vector autoregression approach
Nakajima, Jouchi - In: The B.E. journal of macroeconomics 11 (2011) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10009578442
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High-frequency realized stochastic volatility model
Watanabe, Toshiaki; Nakajima, Jouchi - In: Journal of empirical finance 79 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10015179722
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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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Bayesian analysis of generalized autoregressive conditional heteroskedasticity and stochastic volatility : modeling leverage, jumps and heavy-tails for financial time series
Nakajima, Jouchi - In: The Japanese economic review : the journal of the … 63 (2012) 1, pp. 81-103
Persistent link: https://www.econbiz.de/10009564869
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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
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Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew student's t-distribution
Nakajima, Jouchi; Omori, Yasuhiro - 2010
Persistent link: https://www.econbiz.de/10003940764