牧 大樹

Asymmetric effect of trading volume on realized volatility 

International Review of Economics and Finance 94(Article 103388) 1-17 2024年7月  査読有り筆頭著者責任著者

Evaluation of volatility spillovers for asymmetric realized covariance 

The North American Journal of Economics and Finance 73(Article 102177) 1-18 2024年7月  査読有り筆頭著者責任著者

Forecasting downside and upside realized volatility: The role of asymmetric information 

The Journal of Economic Asymmetries 29(Article e00357) 1-17 2024年6月  査読有り筆頭著者責任著者

Nonlinearity and forecast performance of realized volatility 

Communications in Statistics: Case Studies, Data Analysis and Applications 9(1) 51-71 2023年  査読有り筆頭著者責任著者

Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach 

Results in Applied Mathematics 17(Article 100353) 1-14 2023年1月  査読有り

Impacts of asymmetry on forecasting realized volatility in Japanese stock markets 

Economic modelling 101(Article 105533) 1-9 2021年8月  査読有り筆頭著者責任著者

Testing for time-varying properties under misspecified conditional mean and variance 

Computational Economics 57(4) 1167-1182 2021年4月  査読有り筆頭著者責任著者

Robust tests for ARCH in the presence of a misspecified conditional mean: A comparison of nonparametric approaches 

Cogent Economics & Finance 9(1) 1-18 2021年1月  査読有り筆頭著者責任著者

Volatility spillover effect on nonlinear causality tests 

Far East Journal of Theoretical Statistics 54(4) 407-425 2018年  査読有り筆頭著者責任著者

Properties of time-varying causality tests in the presence of multivariate stochastic volatility 

Open Journal of Statistics Vol.6(No.5) 777-788 2016年  査読有り筆頭著者責任著者

Time-varying asymmetric error correction mechanism: An application to the relationship between the oil price and economic activity 

Journal of Statistical and Econometric Methods 5(2) 49-67 2016年  査読有り筆頭著者責任著者

Wild bootstrap tests for unit root in ESTAR models 

Statistical Methods and Applications 24(3) 475-490 2015年9月  査読有り筆頭著者責任著者

Wild bootstrap testing for cointegration in an ESTAR error correction model 

Economic Modelling 47 292-298 2015年6月  査読有り筆頭著者責任著者

Residual-based tests for cointegration with three-regime TAR adjustment 

Empirical Economics 48(3) 1013-1054 2015年5月  査読有り筆頭著者責任著者

Capital adjustment and limit cycles: an empirical analysis based on the threshold autoregressive model 

International Journal of Economic Behavior and Organization 3(1-2) 52-59 2015年  査読有り

A comparison of linearity tests based on wild bootstrap 

Advances and Applications in Statistics 40(2) 93-107 2014年  査読有り筆頭著者責任著者

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

Empirical Economics 45(1) 605-625 2013年8月  査読有り筆頭著者責任著者

The influence of heteroskedastic variances on cointegration tests: A comparison using Monte Carlo simulations 

Computational Statistics 28(1) 179-198 2013年2月  査読有り筆頭著者責任著者

Tests for cointegration allowing for an unknown number of breaks 

Economic Modelling 29(5) 2011-2015 2012年9月  査読有り筆頭著者責任著者

Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment 

Communications in Statistics-Simulation and Computation 40(8) 1111-1121 2011年  査読有り筆頭著者責任著者