2-1, Rokkodai
Nada-Ku
Kobe, Hyogo, 657-8501
Japan
Kobe University - Graduate School of Economics
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dimension reduction, Granger causality test, max test, Mixed Data Sampling (MIDAS), parsimonious regression models
Granger causality test, Local asymptotic power, Mixed Data Sampling (MIDAS), Temporal aggregation, Vector autoregression (VAR)
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Granger causality, mixed data sampling (MIDAS), temporal aggression, vector autoregression (VAR)
Blockwise wild bootstrap, Randomized block size, Serial correlation, Weak form efficiency, White noise test.
Japan's Lost Decade, Mixed Data Sampling (MIDAS), mixed frequency vector autoregression (MF-VAR), private investment
Consumption function, Hypothesis testing, Money illusion, Mixed Data Sampling (MIDAS), Temporal aggregation.
bimodal distribution, Brownian motion, functional central limit theorem, non-stationary time series, Type I Error
dependent wild bootstrap, maximum correlation, near epoch dependence, white noise test
profiling estimation, regime switch, self-exciting threshold autoregression (SETAR), threshold effect, Volatility Index (VIX), nonlinear time series
Conditional Value-at-Risk (CoVaR), Macroeconomic Shock, Mixed Data Sampling (MIDAS), Quantile Regression, Systemic Risk, Wavelet Transform
birthday problem, collision, pairwise approach, permutation approach, probability
calibration estimation, generalized regression model, missing at random, semiparametric copula
calibration estimation, covariate balancing, missing at random (MAR), semiparametric copula model
Conditional heteroscedasticity, COVID-19, Geographical diversification, Vector autoregression (VAR), Vector error correction model (VECM).
Granger causality test, multivariate time series analysis, realized volatility, threshold autoregression (TAR), vector heterogeneous autoregression (VHAR)
heterogeneous autoregression (HAR), model selection, out-of-sample forecast, threshold autoregression (TAR), time series analysis
forecasting, Mixed Data Sampling (MIDAS), nonlinear time series model, realized volatility (RV), temporal aggregation, Threshold Autoregression (TAR)
Conditional Threshold Autoregression (CoTAR), Diebold-Mariano test, good and bad volatilities, out-of-sample forecast, realized volatility
conditional probability, exponentiation approximation, pairwise approach, permutation approach, collision
Asymmetry, nonlinear time series analysis, size distortion, Threshold Autoregression (TAR), type-I error, wild bootstrap
