MAKI Daiki 牧大樹

… Alternative Names

牧大樹マキダイキ

DAIKI Maki 牧大樹

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Researcher Number	60423737
Other IDs	https://orcid.org/0000-0001-7711-870X
Affiliation (Current)	2025: 同志社大学, 商学部, 教授
Affiliation (based on the past Project Information) *help	2025: 同志社大学, 商学部, 教授 2022 – 2023: 同志社大学, 商学部, 教授 2018 – 2019: 同志社大学, 商学部, 教授 2017 – 2018: 同志社大学, 商学部, 准教授 2011 – 2016: 龍谷大学, 経済学部, 准教授 2009: University of the Ryukyus, 経済学部, 講師 2006 – 2008: 琉球大学, 法文学部, 講師
Review Section/Research Field	Principal Investigator Economic statistics / Basic Section 07060:Money and finance-related / Basic Section 07030:Economic statistics-related Except Principal Investigator Public finance/Public economy / Public finance/Monetary economics
Keywords	Principal Investigator ボラティリティ / 非線形時系列 / 構造変化 / モデル特定化 / 共和分 / 非線形 / 単位根 / 非対称効果 / 取引量 / 予測精度 … More / 非線形性 / 実現ボラティリティ / アップサイドリスク / ダウンサイドリスク / ボラティリティスピルオーバー / 非対称性 / 実現共分散 / 不確実性 / モデル選択 / サイズの歪み / 時変的特性 / 統計的特性 / ノンパラメトリック回帰 / ノンパラメトリック検定 / ARCH検定 / 不確実なモデル / 予測 / 誤って特定化されたモデル / LSTAR / 線形性の検定 / TAR / ESTAR / 誤差修正モデル / 円滑遷移自己回帰 / ブートストラップ / 不均一分散 / Wild bootstrap / 線形検定 / 非線形調整 / 共和分検定 / 共和分分析 / 内生性 / 閾値自己回帰 / 3レジーム閾値自己回帰モデル / 検出力 … More Except Principal Investigator ヤードスティック競争 / Voice and Exit　モデル / 投票行動モデル / Voice & Exit　モデル / プリンシパル、エージェント関係 / Nash　交渉 / エージェンシー・コスト / Voice and Exit / ヤードスティック競争モデル / Nash交渉 / エージェンシーコスト / モラルハザード / アカウンタビリティ / 地方公共財 / Voice & Exit / 投票モデル / 行政の効率化 / SNSによる情報発信 / 電子政府評価 / ナッシュ均衡 / 公共選択 / 情報の非対称性 / 政策評価 / 電子政府 / 地方分権 / 公共経済学 Less

非対称性と共分散を考慮した金融資産のボラティリティ波及効果の計測Principal Investigator
- Principal Investigator
  
  牧大樹
- Project Period (FY)
  2025 – 2027
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Doshisha University
モデル特定化をしない実現ボラティリティの予測精度の比較Principal Investigator
- Principal Investigator
  
  牧大樹
- Project Period (FY)
  2022 – 2024
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Doshisha University
Forecasting economic times series by uncertain modelsPrincipal Investigator
- Principal Investigator
  
  Maki Daiki
- Project Period (FY)
  2016 – 2019
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Doshisha University
  Ryukoku University
Regional Competition and Residents' Participation in Policy Decision- Voting Behavior, Voice & Exit and Yardstick Competition
- Principal Investigator
  
  Nishigaki Yasuyuki
- Project Period (FY)
  2015 – 2018
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Public finance/Public economy
- Research Institution
  Ryukoku University
Inference of nonlinear time series under time-varying volatilityPrincipal Investigator
- Principal Investigator
  
  Maki Daiki
- Project Period (FY)
  2013 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Economic statistics
- Research Institution
  Ryukoku University
On Efficiency of Public Goods Provision, Cost Efficiency of Public Administration, and e-Government promotion Policy of Decentrarised Government
- Principal Investigator
  
  NISHIGAKI Yasuyuki
- Project Period (FY)
  2012 – 2014
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Research Field
  
  Public finance/Monetary economics
- Research Institution
  Ryukoku University
The influence of volatility and endogeneity in economic time series on cointegration analysisPrincipal Investigator
- Principal Investigator
  
  DAIKI Maki
- Project Period (FY)
  2011 – 2012
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  Ryukoku University
Properties of cointegration tests in misspecified nonlinear modelsPrincipal Investigator
- Principal Investigator
  
  MAKI Daiki
- Project Period (FY)
  2008 – 2009
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  University of the Ryukyus
非線形の枠組みにおける単位根検定の検出力比較とモデル特定化Principal Investigator
- Principal Investigator
  
  牧大樹
- Project Period (FY)
  2006 – 2007
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  University of the Ryukyus

[Journal Article] Asymmetric effect of trading volume on realized volatility2023
- Author(s)
  Daiki Maki
- Journal Title
  
  SSRN
  
  Volume: 4401551 Pages: 1-34
- DOI
  10.2139/ssrn.4401551
- Open Access
- Data Source
  KAKENHI-PROJECT-22K01430
[Journal Article] Evaluation of volatility spillovers for asymmetric realized covariance2023
- Author(s)
  Daiki Maki
- Journal Title
  
  SSRN
  
  Volume: 4583190 Pages: 1-34
- DOI
  10.2139/ssrn.4583190
- Open Access
- Data Source
  KAKENHI-PROJECT-22K01430
[Journal Article] Nonlinearity and forecast performance of realized volatility2023
- Author(s)
  Daiki Maki
- Journal Title
  
  Communications in Statistics: Case Studies, Data Analysis and Applications
  
  Volume: 9 Issue: 1 Pages: 51-71
- DOI
  10.1080/23737484.2023.2175277
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22K01430
[Journal Article] Forecasting downside and upside realized volatility: The role of asymmetric information2023
- Author(s)
  Daiki Maki
- Journal Title
  
  SSRN
  
  Volume: 4669728 Pages: 1-30
- DOI
  10.2139/ssrn.4669728
- Open Access
- Data Source
  KAKENHI-PROJECT-22K01430
[Journal Article] Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approaches2019
- Author(s)
  Daiki Maki, Yasushi Ota
- Journal Title
  
  arXiv
  
  Volume: 1907.12752
- Open Access
- Data Source
  KAKENHI-PROJECT-16K03604
[Journal Article] Testing for time-varying properties under misspecified conditional mean and variance2019
- Author(s)
  Daiki Maki, Yasushi Ota
- Journal Title
  
  arXiv
  
  Volume: 1907.12107
- Open Access
- Data Source
  KAKENHI-PROJECT-16K03604
[Journal Article] Volatility spillover effect on nonlinear causality tests2018
- Author(s)
  Daiki Maki
- Journal Title
  
  Far East Journal of Theoretical Statistics
  
  Volume: 54 Issue: 4 Pages: 407-425
- DOI
  10.17654/ts054040407
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-16K03604, KAKENHI-PROJECT-15K03527
[Journal Article] 貨幣と景気循環―均衡の不決定性とリミットサイクルの計量分析2017
- Author(s)
  西垣　泰幸、佐竹光彦、牧大樹
- Journal Title
  
  松本昭夫編著『経済理論・応用・実証の新展開』
  
  Volume: 1 Pages: 259-289
- Data Source
  KAKENHI-PROJECT-15K03527
[Journal Article] Properties of time-varying causality tests in the presence of multivariate stochastic volatility2016
- Author(s)
  Daiki Maki
- Journal Title
  
  Open Journal of Statistics
  
  Volume: 6 Issue: 05 Pages: 777-788
- DOI
  10.4236/ojs.2016.65064
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-15K03527
[Journal Article] Time-varying asymmetric error correction mechanism: An application to the relationship between the oil price and economic activity2016
- Author(s)
  Daiki Maki
- Journal Title
  
  Journal of Statistical and Econometric Methods
  
  Volume: 5 Pages: 49-67
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-15K03527
[Journal Article] Residual-based tests for cointegration with three-regime TAR adjustment2015
- Author(s)
  Maki, D., Kitasaka, S.
- Journal Title
  
  Empirical Economics
  
  Volume: 48 Issue: 3 Pages: 1013-1054
- DOI
  10.1007/s00181-014-0822-x
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-24530375, KAKENHI-PROJECT-25380272
[Journal Article] Wild bootstrap tests for unit root in ESTAR models2015
- Author(s)
  Daiki Maki
- Journal Title
  
  Statistical Methods and Applications
  
  Volume: Forth coming Issue: 3 Pages: 475-490
- DOI
  10.1007/s10260-014-0289-0
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-24530375, KAKENHI-PROJECT-25380272
[Journal Article] Wild bootstrap testing for cointegration in an ESTAR error correction model2015
- Author(s)
  Daiki Maki
- Journal Title
  
  Economic Modelling
  
  Volume: 47 Pages: 292-298
- DOI
  10.1016/j.econmod.2015.03.007
- Peer Reviewed / Acknowledgement Compliant
- Data Source
  KAKENHI-PROJECT-25380272
[Journal Article] Capital Adjustment and Limit Cycles: An Empirical Analysis Based on the Threshold Autoregressive Model2015
- Author(s)
  Yasuyuki Nishigaki, Daiki Maki, and Mitsuhiko Satake
- Journal Title
  
  International Journal of Economic Behavior and Organization
  
  Volume: 3 Issue: 2 Pages: 52-59
- DOI
  10.11648/j.ijebo.s.2015030201.19
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-24530375, KAKENHI-PROJECT-15K03527
[Journal Article] A comparison of linearity tests based on wild bootstrap2014
- Author(s)
  Maki, D
- Journal Title
  
  Advances and Applications in Statistics
  
  Volume: 40 Pages: 93-107
- Peer Reviewed / Acknowledgement Compliant / Open Access
- Data Source
  KAKENHI-PROJECT-24530375
[Journal Article] A comparison of linearity tests based on wild bootstrap2014
- Author(s)
  Daiki Maki
- Journal Title
  
  Advances and Applications in Statistics
  
  Volume: 印刷中
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-25380272
[Journal Article] Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications2013
- Author(s)
  Daiki Maki
- Journal Title
  
  Empirical Economics
  
  Volume: 未定 Issue: 1 Pages: 605-625
- DOI
  10.1007/s00181-012-0605-1
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730220
[Journal Article] Detecting Cointegration Relationships under Nonlinear Models: Monte Carlo Analysis and Some Applications2013
- Author(s)
  Daiki Maki
- Journal Title
  
  Empirical Economics
  
  Volume: Forth Coming
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24530375
[Journal Article] Detecting cointegration relationship under nonlinear models: Monte Carlo analysis and some applications2013
- Author(s)
  Daiki Maki
- Journal Title
  
  Empirical Economics
  
  Volume: Vol. 45, issue 1 Pages: 605-625
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24530375
[Journal Article] The influence of heteroskedastic variances on cointegration tests: A comparison using Monte Carlo simulation2013
- Author(s)
  Maki Daiki
- Journal Title
  
  Computational Statistics
  
  Volume: Vol. 28, Issue 1 Pages: 179-198
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24530375
[Journal Article] The Influence of Heteroskedastic Variances on Cointegration Teste: A Comparison Using Monte Carlo Simulation2013
- Author(s)
  Daiki Maki
- Journal Title
  
  Computational Statistics
  
  Volume: Forth Coming
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24530375
[Journal Article] Tests for cointegration allowing for an unknown number of breaks2012
- Author(s)
  Daiki Maki
- Journal Title
  
  Economic Modelling
  
  Volume: Vol. 29, Issue 5 Issue: 5 Pages: 2011-2015
- DOI
  10.1016/j.econmod.2012.04.022
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730220
[Journal Article] Limit Cycles in Japanese Macro-economic and Financial Data2012
- Author(s)
  Yasuyuki Nishigaki, Mitsuhiko Satake and Daiki Maki
- Journal Title
  
  Conference of Japan Regional Science Association, Resume
  
  Volume: vol.1 Pages: 1-6
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-24530375
[Journal Article] The influence of heteroskedastic variances on cointegration tests: A comparison using Monte Carlo simulation2011
- Author(s)
  Daiki Maki
- Journal Title
  
  Computational Statistics
  
  Volume: Vol.28, Issue 1 Issue: 1 Pages: 179-198
- DOI
  10.1007/s00180-011-0293-x
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-23730220
[Journal Article] An alternative procedure to test for cointegration in STAR models2010
- Author(s)
  Daiki Maki
- Journal Title
  
  Mathematics and Computers in Simulation 80
  
  Pages: 999-1006
- Data Source
  KAKENHI-PROJECT-20730146
[Journal Article] Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts2009
- Author(s)
  Daiki Maki
- Journal Title
  
  Mathematics and Computers in Simulation 79
  
  Pages: 1754-1760
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20730146
[Journal Article] Some properties of a unit root test with multiple level shiftsin the presence of Markov level shifts2009
- Author(s)
  Daiki Maki
- Journal Title
  
  Mathematics and Computers in Simulation 79
  
  Pages: 1754-1760
- Data Source
  KAKENHI-PROJECT-20730146
[Journal Article] The size performance of a nonparametric unit root test under a variance shift2008
- Author(s)
  Daiki Maki
- Journal Title
  
  Statistics and Probability Letters 78
  
  Pages: 743-748
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18730149
[Journal Article] The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: Evidence from Monte Carlo simulations and applications2008
- Author(s)
  Daiki Maki
- Journal Title
  
  Computational Economics 31
  
  Pages: 77-94
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-18730149
[Journal Article] Tests for a unit root using three-regime TAR models : Power comparison and some applications2007
- Author(s)
  Daiki Maki
- Journal Title
  
  Econometric Reviews (in press)(未定)
- Data Source
  KAKENHI-PROJECT-18730149
[Journal Article] Detection of stationarity in nonlinear models: A comparison between structural breaks and three-regime TAR models
- Author(s)
  Daiki Maki
- Journal Title
  
  Studies in nonlinear Dynamics and Econometrics (forthcoming)
- Data Source
  KAKENHI-PROJECT-20730146
[Journal Article] Detection of stationarity in nonlinear models : A comparison between structural breaks and three-regime TAR models
- Author(s)
  Daiki Maki
- Journal Title
  
  Studies in nonlinear Dynamics and Econometrics (近刊)
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20730146
[Presentation] Asymmetric effect of trading volume on realized volatility2024
- Author(s)
  Daiki Maki
- Organizer
  International Institute of Social and Economic Science, Economics & Finance Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-22K01430
[Presentation] Nonlinearity and forecast performance of realized volatility2022
- Author(s)
  Daiki Maki
- Organizer
  Eurasian Business and Economic Society
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-22K01430
[Presentation] Limit Cycles in Japanese Macro-economic and Financial Data2012
- Author(s)
  Yasuyuki Nishigaki, Mitsuhiko Satake and Daiki Maki
- Organizer
  Conference of Japan Regional Science Association
- Place of Presentation
  Rissyo University, Tokyo
- Data Source
  KAKENHI-PROJECT-24530375
[Presentation] Residual-based tests for cointegration in three-regime TAR models2009
- Author(s)
  牧大樹
- Organizer
  日本経済学会
- Place of Presentation
  京都大学
- Year and Date
  2009-06-07
- Data Source
  KAKENHI-PROJECT-20730146
[Presentation] Persistence and power performance of unit root tests in misspecified structural breaks and three-regime TAR models2008
- Author(s)
  牧大樹
- Organizer
  日本経済学会
- Place of Presentation
  東北大学
- Year and Date
  2008-06-01
- Data Source
  KAKENHI-PROJECT-20730146
[Presentation] Persistence and power performance of unit root tests in misspecified structural breaks and three-regime TAR models2008
- Author(s)
  牧大樹
- Organizer
  日本経済学会
- Place of Presentation
  東北大学(宮城)
- Year and Date
  2008-06-01
- Data Source
  KAKENHI-PROJECT-20730146

1. NISHIGAKI Yasuyuki (20180599)

# of Collaborated Projects: 2 results

# of Collaborated Products: 4 results
2. NISHIMOTO Hideki (70164605)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
3. HIGASHI Yuzo

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
4. YASUGI Naoya

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
5. WONG Meng Seng

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
6. 加藤秀弥 (80434629)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

MAKI Daiki 牧 大樹

牧 大樹 マキ ダイキ

DAIKI Maki 牧 大樹

Research Projects

Research Products

Co-Researchers

非対称性と共分散を考慮した金融資産のボラティリティ波及効果の計測Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

モデル特定化をしない実現ボラティリティの予測精度の比較Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Forecasting economic times series by uncertain modelsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Regional Competition and Residents' Participation in Policy Decision- Voting Behavior, Voice & Exit and Yardstick Competition

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Inference of nonlinear time series under time-varying volatilityPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

On Efficiency of Public Goods Provision, Cost Efficiency of Public Administration, and e-Government promotion Policy of Decentrarised Government

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

The influence of volatility and endogeneity in economic time series on cointegration analysisPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Properties of cointegration tests in misspecified nonlinear modelsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

非線形の枠組みにおける単位根検定の検出力比較とモデル特定化Principal Investigator

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] Asymmetric effect of trading volume on realized volatility2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Evaluation of volatility spillovers for asymmetric realized covariance2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Nonlinearity and forecast performance of realized volatility2023

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Forecasting downside and upside realized volatility: The role of asymmetric information2023

Author(s)

Journal Title

DOI

Data Source

MAKI Daiki 牧大樹

牧大樹マキダイキ

DAIKI Maki 牧大樹