Research
Shuichi Nagata (永田 修一)
Published and Forthcoming Papers (Refereed)
[6] Robust Estimation of a High-dimensional Integrated Covariance Matrix, Communications in Statistics - Simulation and Computation, 46(2) 1102-1112, (2017) with T. Morimoto.
[5] On the Behavior of the GMM Estimator in Persistent Dynamic Panel Data Models with Unrestricted Initial Conditions. Computational Statistics and Data Analysis, 100, pp. 265-303. (2016) with K. Hayakawa.
[4] On a Number theoretic problem by Blanc, Scientiae Mathematicae Japonicae Online, 76(2), pp. 281-287 (2013) with K. Kitahara and T. Shimotomai.
[3] Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes, Economics Bulletin, 32 (1), pp.306-314, (2012).
[2] Predicting Volatility with Realized Absolute Values: Evidence from the Tokyo Stock Exchange, Empirical Economics Letters, 11(6), pp.551-558, (2012)
[1] A Comparison of Two Alternative Composite Leading Indicators for Detecting Japanese Business Cycle Turning Points, Applied Economics Letters, 17(9), pp.875-879, (2010) with H. Yamada and Y. Honda.
International Conference
<2016>
8. Maekawa K., Nagata, S., 2016. Testing short-run restrictions in non-Gaussian SVAR model, 2016 HU-HUE-SMU Tripartite Conference, Singapore Management University.
<2015>
7.Ishida, S. and S.Nagata, 2015
9th CSDA International Conference on "Computational and Financial Econometrics, University of London.
<2013>
6. Nagata. S. and K. Oya (2012) Volatility Forecast Comparison with Biased Proxy and Related Statistic.
7th CSDA International Conference on "Computational and Financial Econometrics, University of London.
<2012>
5. Nagata. S. and K. Oya (2012) Volatility Forecast Comparison with Biased Proxy, University of Delhi.
2012 The Asian Meeting of Econometric Society 2012, India.
<2011>
4. Nagata, S. Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes.
5th CSDA International Conference on "Computational and Financial Econometrics, University of London.
3. Nagata, S. Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes.
The Second International Conference "High Frequency Data Analysis in Financial Markets", Osaka University.
<2008>
2. Nagata, S., Tokutsu, Y. and Maekawa, K., Comparison of Estimators for Long-Memory Process- Simulation and Empirical Study -,
2008 Far Eastern and South Asian Meeting of Econometric Society, Singapore.
<2007>
1. Yamada, H, Nagata S. and Honda Y., A Comparison of Two Alternative Composite Leading Indicators for ditecting Turning Points, MODSIM07 (International Congress on Modeling and Simulation), New Zealand.
Proceedings
Yamada H., Nagata, S. and Honda, Y. (2007) A Comparison of Two Alternative Composite Leading Indicators for ditecting Japanese Business Cycle Turning Points, Modsim2007.