Researcher Profile and Settings

researchmap

https://researchmap.jp/read0200886

Research Areas

• Humanities & social sciences / Economic statistics
• Humanities & social sciences / Money and finance

Research Experience

• Doshisha University, Faculty of Commerce, 2019/04 - Today
• Doshisha University, Faculty of Commerce, 2017/04 - 2019/03
• Ryukoku University, Faculty of Economics, 2011/04 - 2017/03
• Ryukoku University, Faculty of Economics, 2009/04 - 2011/03
• University of the Ryukyus, Faculty of Law and Letters, 2005/10 - 2009/03

Education

• Doshisha University, 経済学研究科, 2002/04 - 2005/09
• Doshisha University, Graduate School, Division of Economics, 2000/04 - 2002/03
• Doshisha University, Faculty of Economics, 1996/04 - 2000/03

Published Papers

• Asymmetric effect of trading volume on realized volatility
  Daiki Maki
  International Review of Economics and Finance, 94(Article 103388) 1 - 17, Jul. 2024, Scientific journal
• Evaluation of volatility spillovers for asymmetric realized covariance
  Daiki Maki
  The North American Journal of Economics and Finance, 73(Article 102177) 1 - 18, Jul. 2024, Scientific journal
• Forecasting downside and upside realized volatility: The role of asymmetric information
  Daiki Maki
  The Journal of Economic Asymmetries, 29(Article e00357) 1 - 17, Jun. 2024, Scientific journal
• Nonlinearity and forecast performance of realized volatility
  Daiki Maki
  Communications in Statistics: Case Studies, Data Analysis and Applications, 9(1) 51 - 71, 2023, Scientific journal
• Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach
  Yasushi Ota; Yu Jiang; Daiki Maki
  Results in Applied Mathematics, 17(Article 100353) 1 - 14, Jan. 2023, Scientific journal
• Impacts of asymmetry on forecasting realized volatility in Japanese stock markets
  Daiki Maki; Yasushi Ota
  Economic Modelling, 101(Article 105533) 1 - 9, Aug. 2021, Scientific journal
• Testing for time-varying properties under misspecified conditional mean and variance
  Daiki Maki; Yasushi Ota
  Computational Economics, 57(4) 1167 - 1182, Apr. 2021, Scientific journal
• Robust tests for ARCH in the presence of a misspecified conditional mean: A comparison of nonparametric approaches
  Daiki Maki; Yasushi Ota
  Cogent Economics & Finance, 9(1) 1 - 18, Jan. 2021, Scientific journal
• Volatility spillover effect on nonlinear causality tests
  Daiki Maki
  Far East Journal of Theoretical Statistics, 54(4) 407 - 425, 2018, Scientific journal
• Properties of time-varying causality tests in the presence of multivariate stochastic volatility
  Daiki Maki
  Open Journal of Statistics, Vol.6(No.5) 777 - 788, 2016, Scientific journal
• Time-varying asymmetric error correction mechanism: An application to the relationship between the oil price and economic activity
  Daiki Maki
  Journal of Statistical and Econometric Methods, 5(2) 49 - 67, 2016, Scientific journal
• Wild bootstrap tests for unit root in ESTAR models
  Daiki Maki
  Statistical Methods and Applications, SPRINGER HEIDELBERG, 24(3) 475 - 490, Sep. 2015, Scientific journal
• Wild bootstrap testing for cointegration in an ESTAR error correction model
  Daiki Maki
  Economic Modelling, ELSEVIER SCIENCE BV, 47 292 - 298, Jun. 2015, Scientific journal
• Residual-based tests for cointegration with three-regime TAR adjustment
  Daiki Maki; Shin-ichi Kitasaka
  Empirical Economics, PHYSICA-VERLAG GMBH & CO, 48(3) 1013 - 1054, May 2015, Scientific journal
• Capital adjustment and limit cycles: an empirical analysis based on the threshold autoregressive model
  Nishigaki Yasuyuki; Daiki Maki; Mistuhiko Satake
  International Journal of Economic Behavior and Organization, 3(1-2) 52 - 59, 2015, Scientific journal
• A comparison of linearity tests based on wild bootstrap
  Daiki Maki
  Advances and Applications in Statistics, 40(2) 93 - 107, 2014, Scientific journal
• Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications
  Daiki Maki
  Empirical Economics, PHYSICA-VERLAG GMBH & CO, 45(1) 605 - 625, Aug. 2013, Scientific journal
• The influence of heteroskedastic variances on cointegration tests: A comparison using Monte Carlo simulations
  Daiki Maki
  Computational Statistics, SPRINGER HEIDELBERG, 28(1) 179 - 198, Feb. 2013, Scientific journal
• Tests for cointegration allowing for an unknown number of breaks
  Daiki Maki
  Economic Modelling, ELSEVIER SCIENCE BV, 29(5) 2011 - 2015, Sep. 2012, Scientific journal
• Pitfalls in Estimating Cointegrating Vector when Cointegration Relationship has Nonlinear Adjustment
  Daiki Maki
  Communications in Statistics-Simulation and Computation, TAYLOR & FRANCIS INC, 40(8) 1111 - 1121, 2011, Scientific journal
• An alternative procedure to test for cointegration in STAR models
  Daiki Maki
  Mathematics and Computers in Simulation, ELSEVIER SCIENCE BV, 80(5) 999 - 1006, Jan. 2010, Scientific journal
• Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models
  Daiki Maki
  STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, BERKELEY ELECTRONIC PRESS, 14(4) 1 - 41, 2010, Scientific journal
• Tests for a Unit Root Using Three-Regime TAR Models: Power Comparison and Some Applications
  Daiki Maki
  Econometric Reviews, TAYLOR & FRANCIS INC, 28(4) 335 - 363, 2009, Scientific journal
• Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts
  Daiki Maki
  Mathematics and Computers in Simulation, ELSEVIER SCIENCE BV, 79(5) 1754 - 1760, Jan. 2009, Scientific journal
• Limit Cycles in Japanese Macroeconomic Data: Policy Implications from the View of Business Cycles
  Mitsuhiko Satake; Daiki Maki; Yasuyuki Nishigaki
  International Journal of Economic Policy Studies, 4 37 - 54, 2009, Scientific journal
• The size performance of a nonparametric unit root test under a variance shift
  Daiki Maki
  Statistics & Probability Letters, ELSEVIER SCIENCE BV, 78(6) 743 - 748, Apr. 2008, Scientific journal
• The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: Evidence from Monte Carlo simulations and applications
  Daiki Maki
  Computational Economics, SPRINGER, 31(1) 77 - 94, Feb. 2008, Scientific journal
• The equilibrium relationship among money, income, prices, and interest rates: evidence from a threshold cointegration test
  Daiki Maki; Shin-ichi Kitasaka
  Applied Economics, ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 38(13) 1585 - 1592, Jul. 2006, Scientific journal
• Nonlinear adjustment in the term structure of interest rates: A cointegration analysis in the nonlinear STAR framework
  Daiki Maki
  Applied Financial Economics, 16(17) 1301 - 1307, 2006, Scientific journal
• Variance ratio tests for a unit root in the presence of a mean shift: Small sample properties and an application to purchasing power parity
  Daiki Maki
  Applied Financial Economics, 16(8) 607 - 615, 2006, Scientific journal
• Asymmetric adjustment of the equilibrium relationship between the nominal interest rate and expected inflation rate
  Daiki Maki
  Economics Bulletin, 3(9) 1 - 8, 2005, Scientific journal
• Nonlinear adjustment of the yield spread: Evidence from a unit root test in the nonlinear STAR framework
  Daiki Maki
  Economics Bulletin, 3(6) 1 - 7, 2005, Scientific journal
• Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate
  Daiki Maki
  Economics Letters, ELSEVIER SCIENCE SA, 81(3) 349 - 354, Dec. 2003, Scientific journal

MISC

• ETFにおける実現ボラティリティの特性の比較
  牧 大樹
  信託研究奨励金論集, (45) 87 - 99, Nov. 2024
• Forecasting downside and upside realized volatility: The role of asymmetric information
  Daiki Maki
  SSRN, http://dx.doi.org/10.2139/ssrn.4669728, Dec. 2023, Introduction scientific journal
• Evaluation of volatility spillovers for asymmetric realized covariance
  Daiki Maki
  SSRN, http://dx.doi.org/10.2139/ssrn.4583190, Sep. 2023, Introduction scientific journal
• Asymmetric effect of trading volume on realized volatility
  Daiki Maki
  SSRN, http://dx.doi.org/10.2139/ssrn.4401551, Mar. 2023, Introduction scientific journal
• Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach
  Yasushi Ota, Yu Jiang, Daiki Maki
  arXiv:, 2205.11012, May 2022, Introduction scientific journal
• The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets
  Daiki Maki; Yasushi Ota
  arXiv:2006.00158, Jun. 2020, Introduction scientific journal
• Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approaches
  Daiki Maki; Yasushi Ota
  arXiv:1907.12752, Jul. 2019, Introduction scientific journal
• Testing for time-varying properties under misspecified conditional mean and variance
  Daiki Maki; Yasushi Ota
  arXiv:1907.12107, Jul. 2019, Introduction scientific journal
• 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－
  西垣泰幸; 佐竹光彦; 牧大樹
  経済理論・応用・実証分析の新展開(中央大学経済研究所研究叢書 72), 松本昭夫編著, 第12章, 259 - 289, 2017
• 日経225株価指数と先物・オプション価格の関係－非線形共和分検定による実証分析－，
  新関 三希代; 牧 大樹
  同志社大学ワールドワイドビジネスレビュー, 第6巻(第2号) 1 - 15, 2005
• 派生商品市場の取引量と価格変動の不確実性－日本の株式市場における実証－，
  新関 三希代; 牧 大樹
  同志社大学ワールドワイドビジネスレビュー, 第5巻(第2号) 1 - 10, 2004
• 資産選択問題における異常値への対応: L∞ノルムの応用，
  牧 大樹
  同志社大学経済学論叢, 第55巻(第4号) 135 - 149, 2004
• 日本の株価変動における金利の影響，
  牧 大樹
  同志社大学経済学論叢, 第55巻(第3号) 19 - 38, 2003

Books etc

• 計量経済学の使い方 下[応用編] A・H・ストゥデムンド(著)、 高橋晴天(監訳)、第14章担当、
  ミネルヴァ書房, 2018
• 計量経済学の使い方 上[基礎編] A・H・ストゥデムンド(著)、 高橋晴天(監訳)、第0章担当、
  ミネルヴァ書房, 2017

Research Projects

• 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
  牧 大樹
  日本学術振興会, 科学研究費助成事業, 2025, Principal investigator, Competitive research funding, 基盤研究（Ｃ）
• 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
  牧 大樹
  日本学術振興会, 科学研究費助成事業, 2022 -2024, Principal investigator, Competitive research funding, 基盤研究（Ｃ）
• ETFにおける実現ボラティリティの特性の比較
  牧 大樹
  信託協会, 信託研究奨励金, 2021, Principal investigator, Competitive research funding
• 取引量が実現ボラティリティに与える非対称効果
  牧 大樹
  全国銀行学術研究振興財団, 研究助成金, 2021, Principal investigator, Competitive research funding
• 不確実なモデルによる経済時系列の予測
  牧 大樹
  日本学術振興会, 科学研究費助成事業, 2016 -2019, Principal investigator, Competitive research funding, 基盤研究（Ｃ）
• 地域間競争と住民参加-投票、Voice&Exitとヤードスティック競争
  西垣 泰幸; 牧 大樹; 西本 秀樹; 加藤 秀弥
  日本学術振興会, 科学研究費助成事業, 2015 -2018, Coinvestigator, Competitive research funding, 基盤研究（Ｃ）
• ボラティリティが変動する状況における非線形時系列の推測
  牧 大樹
  日本学術振興会, 科学研究費助成事業, 2013 -2015, Principal investigator, Competitive research funding, 基盤研究（Ｃ）
• 地方分権化における公共財サービスの最適性、行政コストの効率性 と電子自治体推進
  西垣 泰幸; 牧 大樹; 西本 秀樹
  日本学術振興会, 科学研究費助成事業, 2012 -2014, Coinvestigator, Competitive research funding, 基盤研究（Ｃ）
• 経済時系列のボラティリティと内生性が共和分分析に与える影響
  牧 大樹
  日本学術振興会, 科学研究費助成事業, 2011 -2012, Principal investigator, Competitive research funding, 若手研究（Ｂ）
• 非対称性と取引コストを考慮した金融時系列の均衡関係の検証
  牧 大樹
  公益財団法人 野村財団, 研究助成金, 2010, Principal investigator, Competitive research funding
• 非線形モデルの特定化を誤った共和分検定の特性
  牧 大樹
  日本学術振興会, 科学研究費助成事業, 2008 -2009, Principal investigator, Competitive research funding, 若手研究（Ｂ）
• 取引コストを考慮した金融時系列の推定法の開発とその応用
  牧 大樹
  全国銀行学術研究振興財団, 研究助成金, 2008, Principal investigator, Competitive research funding
• 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
  牧 大樹
  日本学術振興会, 科学研究費助成事業, 2006 -2007, Principal investigator, Competitive research funding, 若手研究（Ｂ）