| Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications J Nakajima Institute for Monetary and Economic Studies, Bank of Japan, 2011 | 755 | 2011 |
| Stochastic volatility with leverage: Fast and efficient likelihood inference Y Omori, S Chib, N Shephard, J Nakajima Journal of Econometrics 140 (2), 425-449, 2007 | 654 | 2007 |
| Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy J Nakajima, M Kasuya, T Watanabe Journal of the Japanese and International Economies 25 (3), 225-245, 2011 | 389 | 2011 |
| Bayesian analysis of latent threshold dynamic models J Nakajima, M West Journal of Business & Economic Statistics 31 (2), 151-164, 2013 | 210 | 2013 |
| Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution J Nakajima, Y Omori Computational Statistics & Data Analysis 56 (11), 3690-3704, 2012 | 138 | 2012 |
| Leverage, heavy-tails and correlated jumps in stochastic volatility models J Nakajima, Y Omori Computational Statistics & Data Analysis 53 (6), 2335-2353, 2009 | 127 | 2009 |
| Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models X Zhou, J Nakajima, M West International Journal of Forecasting 30 (4), 963-980, 2014 | 94 | 2014 |
| Multivariate Bayesian predictive synthesis in macroeconomic forecasting K McAlinn, KA Aastveit, J Nakajima, M West Journal of the American Statistical Association 115 (531), 1092-1110, 2020 | 93 | 2020 |
| Identifying conventional and unconventional monetary policy shocks: A latent threshold approach T Kimura, J Nakajima The BE Journal of Macroeconomics 16 (1), 277-300, 2016 | 79 | 2016 |
| Monetary policy transmission under zero interest rates: An extended time-varying parameter vector autoregression approach J Nakajima The BE Journal of Macroeconomics 11 (1), 2011 | 71 | 2011 |
| Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions M West Annals of the Institute of Statistical Mathematics 72 (1), 1-31, 2020 | 60 | 2020 |
| Identifying oil price shocks and their consequences: the role of expectations in the crude oil market T Fueki, J Nakajima, S Ohyama, Y Tamanyu International Finance 24 (1), 53-76, 2021 | 51 | 2021 |
| Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model K Imakubo, J Nakajima Bank of Japan, 2015 | 49 | 2015 |
| Generalized extreme value distribution with time-dependence using the AR and MA models in state space form J Nakajima, T Kunihama, Y Omori, S Frühwirth-Schnatter Computational Statistics & Data Analysis 56 (11), 3241-3259, 2012 | 47 | 2012 |
| Dynamic factor volatility modeling: A Bayesian latent threshold approach J Nakajima, M West Journal of Financial Econometrics 11 (1), 116-153, 2012 | 44 | 2012 |
| Bayesian dynamic factor models: Latent threshold approach J Nakajima, M West Journal of Financial Econometrics 11 (1), 116-153, 2013 | 41 | 2013 |
| Are household inflation expectations anchored in Japan? K Kamada, J Nakajima, S Nishiguchi Bank of Japan, 2015 | 35 | 2015 |
| Bayesian analysis of multivariate stochastic volatility with skew return distribution J Nakajima Econometric Reviews 36 (5), 546-562, 2017 | 34 | 2017 |
| Dynamic network signal processing using latent threshold models J Nakajima, M West Digital Signal Processing 47, 5-16, 2015 | 31 | 2015 |
| The effects of monetary policy commitment: Evidence from time-varying parameter VAR analysis J Nakajima, S Shiratsuka, Y Teranishi IMES Discussion Paper Series, 2010 | 31 | 2010 |