Publications

Book

Book Chapters

  1. Relationship between monetary policy and inflation expectations: comparison among Japan, the United State, and the United Kingdom
    Yoshiyuki Nakazono, Takayuki Shiohama, and Kenichiro Tamaki
    Monetary Policy: Roles, Forecasting and Effects (Editor: Yasuo Nishiyama)
    Nova Science Publishers, New York, pp. 51–84, 2012 (ISBN: 978-1619421813)
  2. Asymptotic expansion for interest rates with non-Gaussian dependent innovations
    Takayuki Shiohama and Kenichiro Tamaki
    Interest Rates: Term Structure Models, Monetary Policy, and Prediction (Editor: Yasuo Nishiyama)
    Nova Science Publishers, New York, pp. 19–61, 2012 (ISBN: 978-1613247204)

Papers

  1. Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations
    Masakazu Miura, Kenichiro Tamaki, and Takayuki Shiohama
    Asia-Pacific Financial Markets, vol. 20, no. 4, pp. 311–344, 2013
  2. Jackknifed Whittle estimators
    Masanobu Taniguchi, Kenichiro Tamaki, Thomas J. DiCiccio, and Anna Clara Monti
    Statistica Sinica, vol. 22, no. 3, pp. 1287–1304, 2012
  3. Preliminary test estimation for spectra
    Yusuke Maeyama, Kenichiro Tamaki, and Masanobu Taniguchi
    Statistics & Probability Letters, vol. 81, no. 11, pp. 1580–1587, 2011
  4. Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations
    Tetsuhiro Honda, Kenichiro Tamaki, and Takayuki Shiohama
    Finance Research Letters, vol. 7, no. 1, pp. 60–69, 2010
  5. Second order properties of locally stationary processes
    Kenichiro Tamaki
    Journal of Time Series Analysis, vol. 30, no. 1, pp. 145–166, 2009
  6. The Bernstein-von Mises theorem for stationary processes
    Kenichiro Tamaki
    Journal of the Japan Statistical Society, vol. 38, no. 2, pp. 311–323, 2008
  7. Generalized information criteria in model selection for locally stationary processes
    Junichi Hirukawa, Hiroko Solvang Kato, Kenichiro Tamaki, and Masanobu Taniguchi
    Journal of the Japan Statistical Society, vol. 38, no. 1, pp. 157–171, 2008
  8. Power properties of empirical likelihood for stationary processes
    Kenichiro Tamaki
    Scientiae Mathematicae Japonicae, vol. 66, no. 3, pp. 359–369, 2007
  9. Second order optimality for estimators in time series regression models
    Kenichiro Tamaki
    Journal of Multivariate Analysis, vol. 98, no. 3, pp. 638–659, 2007
  10. Higher order asymptotic option valuation for non-Gaussian dependent returns
    Kenichiro Tamaki and Masanobu Taniguchi
    Journal of Statistical Planning and Inference, vol. 137, no. 3, pp. 1043–1058, 2007
  11. Second order asymptotic properties of a class of test statistics under the existence of nuisance parameters
    Kenichiro Tamaki
    Scientiae Mathematicae Japonicae, vol. 61, no. 1, pp. 119–143, 2005

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