1 citations · 1 across the 1 of their papers we have counts for
2 papers
stat.ME2017
An Alternative Estimation Method of a Time-Varying Parameter Model
Mikio Ito, Akihiko Noda, Tatsuma Wada
A non-Bayesian, regression-based or generalized least squares (GLS)-based approach is formally proposed to estimate a class of time-varying AR parameter models. This approach has p…
q-fin.ST2016★ 1 cited
Time-Varying Comovement of Foreign Exchange Markets
Mikio Ito, Akihiko Noda, Tatsuma Wada
A time-varying cointegration model for foreign exchange rates is presented. Unlike previous studies, we allow the loading matrix in the vector error correction (VEC) model to be va…