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Jouchi Nakajima · Study
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Author
Jouchi Nakajima
13 works
· latest 2020
· 4 institutions
cluster: provisional
ORCID 0000-0002-8830-9138
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Most cited in this library
Stochastic volatility with leverage: Fast and efficient likelihood inference
2006 · 464 citations
Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications
2011 · 402 citations
Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
2011 · 307 citations
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t -distribution
2010 · 109 citations
Leverage, heavy-tails and correlated jumps in stochastic volatility models
2008 · 99 citations
Works
13 shown
The role of household debt heterogeneity on consumption: Evidence from Japanese household data
Economic Analysis and Policy
·
2020
·
1 author
·
Open access
22
citations
Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
Journal of the American Statistical Association
·
2019
·
4 authors
·
Open access
65
citations
The natural yield curve: its concept and measurement
Empirical Economics
·
2017
·
3 authors
19
citations
Identifying conventional and unconventional monetary policy shocks: a latent threshold approach
The B E Journal of Macroeconomics
·
2015
·
2 authors
63
citations
Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model
RePEc: Research Papers in Economics
·
2015
·
2 authors
·
preprint
21
citations
Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
International Journal of Forecasting
·
2014
·
2 authors
69
citations
Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach
The B E Journal of Macroeconomics
·
2011
·
1 author
·
Open access
50
citations
Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy
Journal of the Japanese and International Economies
·
2011
·
3 authors
·
Open access
307
citations
Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model with the Ordering of Variables for the Japanese Economy and Monetary Policy
RePEc: Research Papers in Economics
·
2011
·
2 authors
·
preprint
·
Open access
17
citations
Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications
RePEc: Research Papers in Economics
·
2011
·
1 author
·
preprint
402
citations
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t -distribution
Computational Statistics & Data Analysis
·
2010
·
2 authors
109
citations
Leverage, heavy-tails and correlated jumps in stochastic volatility models
Computational Statistics & Data Analysis
·
2008
·
2 authors
99
citations
Stochastic volatility with leverage: Fast and efficient likelihood inference
Journal of Econometrics
·
2006
·
4 authors
·
Open access
464
citations