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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
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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
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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
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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