Naoto Kunitomo

  • 596 Citations
  • 13 h-Index
1980 …2020

Research output per year

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Research Output

  • 596 Citations
  • 13 h-Index
  • 31 Article
  • 2 Conference contribution
  • 1 Editorial
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Article
2017

Effects of Jumps and Small Noise in High-Frequency Financial Econometrics

Kunitomo, N. & Kurisu, D., 1 Mar 2017, In : Asia-Pacific Financial Markets. 24, 1, p. 39-73 35 p.

Research output: Contribution to journalArticle

1 Citation (Scopus)
2015
3 Citations (Scopus)
2 Citations (Scopus)
2013
11 Citations (Scopus)

The limited information maximum likelihood approach to dynamic panel structural equation models

Akashi, K. & Kunitomo, N., 1 Jan 2013, In : Annals of the Institute of Statistical Mathematics. 67, 1, p. 39-73 35 p.

Research output: Contribution to journalArticle

5 Citations (Scopus)
2012
6 Citations (Scopus)

Some properties of the LIML estimator in a dynamic panel structural equation

Akashi, K. & Kunitomo, N., 1 Feb 2012, In : Journal of Econometrics. 166, 2, p. 167-183 17 p.

Research output: Contribution to journalArticle

13 Citations (Scopus)
2011

On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments

Anderson, T. W., Kunitomo, N. & Matsushita, Y., 3 Nov 2011, In : Journal of Econometrics. 165, 1, p. 58-69 12 p.

Research output: Contribution to journalArticle

6 Citations (Scopus)
7 Citations (Scopus)
2010

On the asymptotic optimality of the LIML estimator with possibly many instruments

Anderson, T. W., Kunitomo, N. & Matsushita, Y., 1 Aug 2010, In : Journal of Econometrics. 157, 2, p. 191-204 14 p.

Research output: Contribution to journalArticle

30 Citations (Scopus)
2009

Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations

Kunitomo, N. & Matsushita, Y., 1 Sep 2009, In : Journal of Multivariate Analysis. 100, 8, p. 1727-1751 25 p.

Research output: Contribution to journalArticle

Open Access
3 Citations (Scopus)
2007

Effects of stochastic interest rates and volatility on contingent claims

Kunitomo, N. & Kim, Y. J., 1 Mar 2007, In : Japanese Economic Review. 58, 1, p. 71-106 36 p.

Research output: Contribution to journalArticle

6 Citations (Scopus)
2003

On validity of the asymptotic expansion approach in contingent claim analysis

Kunitomo, N. & Takahashi, A., 1 Aug 2003, In : Annals of Applied Probability. 13, 3, p. 914-952 39 p.

Research output: Contribution to journalArticle

48 Citations (Scopus)
2001

The asymptotic expansion approach to the valuation of interest rate contingent claims

Kunitomo, N. & Takahashi, A., Jan 2001, In : Mathematical Finance. 11, 1, p. 117-151 35 p.

Research output: Contribution to journalArticle

71 Citations (Scopus)
1999

Pricing options under stochastic interest rates: A new approach

Kim, Y. J. & Kunitomo, N., 1 Jan 1999, In : Asia-Pacific Financial Markets. 6, 1, p. 49-70 22 p.

Research output: Contribution to journalArticle

20 Citations (Scopus)

Stationary and non-stationary simultaneous switching autoregressive models with an application to financial time series

Kunitomo, N. & Sato, S., 1 Jan 1999, In : Japanese Economic Review. 50, 2, p. 161-190 30 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)
1996

Asymmetry in economic time series and the simultaneous switching autoregressive model

Kunitomo, N. & Sato, S., 1 Jan 1996, In : Structural Change and Economic Dynamics. 7, 1, p. 1-34 34 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

Some properties of the maximum likelihood estimator in the simultaneous switching autoregressive model

Sato, S. & Kunitomo, N., 1 Jan 1996, In : Journal of Time Series Analysis. 17, 3, p. 287-307 21 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

Tests of unit roots and cointegration hypotheses in econometric models

Kunitomo, N., Mar 1996, In : Japanese Economic Review. 47, 1, p. 79-109 31 p.

Research output: Contribution to journalArticle

13 Citations (Scopus)
1994

Asymptotic robustness of tests of overidentification and predeterminedness

Anderson, T. W. & Kunitomo, N., Jun 1994, In : Journal of Econometrics. 62, 2, p. 383-414 32 p.

Research output: Contribution to journalArticle

2 Citations (Scopus)
1992

Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances

Anderson, T. W. & Kunitomo, N., 1 Jan 1992, In : Journal of Multivariate Analysis. 40, 2, p. 221-243 23 p.

Research output: Contribution to journalArticle

Open Access
14 Citations (Scopus)

Pricing Options With Curved Boundaries

Kunitomo, N. & Ikeda, M., 1 Jan 1992, In : Mathematical Finance. 2, 4, p. 275-298 24 p.

Research output: Contribution to journalArticle

142 Citations (Scopus)

Tests of overidentification and predeterminedness in simultaneous equation models

Anderson, T. W. & Kunitomo, N., 1 Jan 1992, In : Journal of Econometrics. 54, 1-3, p. 49-78 30 p.

Research output: Contribution to journalArticle

10 Citations (Scopus)
1988
2 Citations (Scopus)
1987
4 Citations (Scopus)
1986

Comparing single-equation estimators in a simultaneous equation system

Anderson, T. W., Kunitomo, N. & Morimune, K., Apr 1986, In : Econometric Theory. 2, 1, p. 1-32 32 p.

Research output: Contribution to journalArticle

18 Citations (Scopus)
1985

Properties of predictors in misspecified autoregressive time series models

Kunitomo, N. & Yamamoto, T., Dec 1985, In : Journal of the American Statistical Association. 80, 392, p. 941-950 10 p.

Research output: Contribution to journalArticle

51 Citations (Scopus)
1984

Asymptotic bias of the least squares estimator for multivariate autoregressive models

Yamamoto, T. & Kunitomo, N., 1 Dec 1984, In : Annals of the Institute of Statistical Mathematics. 36, 1, p. 419-430 12 p.

Research output: Contribution to journalArticle

23 Citations (Scopus)
1982

Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system

Fujikoshi, Y., Morimune, K., Kunitomo, N. & Taniguchi, M., Feb 1982, In : Journal of Econometrics. 18, 2, p. 191-205 15 p.

Research output: Contribution to journalArticle

18 Citations (Scopus)
1980
50 Citations (Scopus)
6 Citations (Scopus)