Yohei Yamamoto : Citation Profile

Are you Yohei Yamamoto?

Hitotsubashi University

8

H index

5

i10 index

156

Citations

RESEARCH PRODUCTION:

14

Articles

33

Papers

RESEARCH ACTIVITY:

   18 years (2001 - 2019). See details.
   Cites by year: 8
   Journals where Yohei Yamamoto has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 20 (11.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya247
   Updated: 2019-12-15    RAS profile: 2019-10-10    
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Relations with other researchers

Works with:

Perron, Pierre (10)

Fatum, Rasmus (10)

Cheung, Yin-Wong (3)

Zhu, Guozhong (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Yohei Yamamoto.

Is cited by:

Perron, Pierre (42)

Oka, Tatsushi (12)

Chang, Seong Yeon (6)

Cheung, Yin-Wong (5)

Tsang, Andrew (5)

Hartigan, Luke (4)

Beckmann, Joscha (4)

Baumohl, Eduard (4)

Su, Liangjun (4)

Feng, Qu (3)

Barigozzi, Matteo (3)

Cites to:

Perron, Pierre (61)

Bai, Jushan (40)

Andrews, Donald (21)

Watson, Mark (15)

Fatum, Rasmus (10)

Ng, Serena (10)

Rossi, Barbara (10)

Qu, Zhongjun (9)

Taylor, Mark (8)

Neely, Christopher (8)

Inoue, Atsushi (7)

Main data

Where Yohei Yamamoto has published?

Journals with more than one article published# docs
Journal of International Money and Finance3
Journal of Applied Econometrics2
Econometrics Journal2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Boston University - Department of Economics - Working Papers Series / Boston University - Department of Economics7
Discussion Papers / Graduate School of Economics, Hitotsubashi University7
Discussion paper series / Hitotsubashi Institute for Advanced Study, Hitotsubashi University5
Globalization Institute Working Papers / Federal Reserve Bank of Dallas4
GRU Working Paper Series / City University of Hong Kong, Department of Economics and Finance, Global Research Unit3

Recent works citing Yohei Yamamoto (2019 and 2018)

YearTitle of citing document
2018Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092.

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2018Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2019Generalized Laplace Inference in Multiple Change-Points Models. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10871.

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2019Continuous Record Asymptotics for Structural Change Models. (2019). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10881.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2019State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248.

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2018Change Point Estimation in Panel Data with Time-Varying Individual Effects. (2018). Gan, Zhuojiong ; Boldea, Otilia ; Drepper, Bettina. In: Papers. RePEc:arx:papers:1808.03109.

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2018Bootstrapping Structural Change Tests. (2018). Cornea-Madeira, Adriana ; Boldea, Otilia ; Hall, Alastair R. In: Papers. RePEc:arx:papers:1811.04125.

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2019Testing for time-varying properties under misspecified conditional mean and variance. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12107.

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2017Monitoring Parameter Constancy with Endogenous Regressors. (2017). Perron, Pierre ; Kurozumi, Eiji ; Zorita, Eduardo . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:5:p:791-805.

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2018Confidence Sets for the Date of a Structural Change at the End of a Sample. (2018). Kurozumi, Eiji. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:850-862.

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2017Continuous Record Asymptotics for Structural Change Models. (2017). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-010.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002.

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2018The RMB Central Parity Formation Mechanism: August 2015 to December 2016. (2018). Tsang, Andrew ; Cheung, Yin-Wong ; Hui, Cho-Hoi. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_010.

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2017The internal dynamic of Indian economic growth. (2017). Balakrishnan, Pulapre ; Parameswaran, M ; Das, Mausumi. In: Journal of Asian Economics. RePEc:eee:asieco:v:50:y:2017:i:c:p:46-61.

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2019Network-based asset allocation strategies. (2019). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan ; Vrost, Tomas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:516-536.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2018Threshold regression with endogeneity. (2018). Phillips, Peter ; PEter, ; Yu, Ping . In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:50-68.

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2018Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:66-85.

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2018Simultaneous multiple change-point and factor analysis for high-dimensional time series. (2018). Barigozzi, Matteo ; Fryzlewicz, Piotr ; Cho, Haeran . In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:187-225.

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2018Estimation of large dimensional factor models with an unknown number of breaks. (2018). Su, Liangjun ; Ma, Shujie. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:1-29.

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2019A model-free consistent test for structural change in regression possibly with endogeneity. (2019). Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:206-242.

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2019Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model. (2019). Fan, Ying ; Liu, Bing-Yue ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:80-92.

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2019Is Bitcoin a hedge or safe haven for currencies? An intraday analysis. (2019). Zhang, Hanxiong ; Urquhart, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:49-57.

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2019Are cryptocurrencies connected to forex? A quantile cross-spectral approach. (2019). Baumohl, Eduard. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:363-372.

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2018Safe-haven and hedge currencies for the US, UK, and Euro area stock markets: A copula-based approach. (2018). Tachibana, Minoru. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:82-96.

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2019The Brexit vote and currency markets. (2019). Urquhart, Andrew ; McGroarty, Frank ; Dao, Thong M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:153-164.

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2018The RMB central parity formation mechanism: August 2015 to December 2016. (2018). Cheung, Yin-Wong ; Tsang, Andrew ; Hui, Cho-Hoi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:223-243.

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2019The impact of the U.S. employment report on exchange rates. (2019). Ederington, Louis ; Yang, Lisa ; Guan, Wei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:257-267.

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2018Self-selection and treatment effects: Revisiting the effectiveness of foreign exchange intervention. (2018). Pontines, Victor. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:57:y:2018:i:c:p:299-316.

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2019Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models. (2019). Horvath, Lajos ; Rice, Gregory. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:138-165.

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2018Relationship between stock and currency markets conditional on the US stock returns: A vine copula approach. (2018). Tachibana, Minoru. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:46:y:2018:i:c:p:75-106.

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2019Diversification role of currency momentum for carry trade: Evidence from financial crises. (2019). Yamani, Ehab. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:49:y:2019:i:c:p:1-19.

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2018Simultaneous multiple change-point and factor analysis for high-dimensional time series. (2018). Barigozzi, Matteo ; Fryzlewicz, Piotr ; Cho, Haeran. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:88110.

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2017Safe Haven Currency and Market Uncertainty: Yen, renminbi, dollar, and alternatives. (2017). Yuki, MASUJIMA . In: Discussion papers. RePEc:eti:dpaper:17048.

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2019Time-Variant Safe-Haven Currency Status and Determinants. (2019). Yuki, MASUJIMA . In: Discussion papers. RePEc:eti:dpaper:19048.

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2018International capital flow pressures. (2018). Krogstrup, Signe ; Goldberg, Linda. In: Staff Reports. RePEc:fip:fednsr:834.

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2018An Overview of Modified Semiparametric Memory Estimation Methods. (2018). Sibbertsen, Philipp ; Busch, Marie. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:13-:d:135826.

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2019Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components. (2019). Lingauer, Michael ; Min, Aleksey ; Ramsauer, Franz . In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:31-:d:248593.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: Working Papers. RePEc:hae:wpaper:2019-4.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202.

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2018An Overview of Modified Semiparametric Memory Estimation Methods. (2018). Sibbertsen, Philipp ; Busch, Marie. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-628.

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2017Central Banks: Evolution and Innovation in Historical Perspective. (2017). Siklos, Pierre ; Bordo, Michael. In: Economics Working Papers. RePEc:hoo:wpaper:17105.

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2019Testing for Constant Parameters in Nonlinear Models: A Quick Procedure with an Empirical Illustration. (2019). Rivero, C ; Llorente, G ; Hoyo, J. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9693-5.

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2019Structural Changes in Heterogeneous Panels with Endogenous Regressors. (2019). Feng, Qu ; Kao, Chihwa ; Baltagi, Badi. In: Center for Policy Research Working Papers. RePEc:max:cprwps:214.

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2018Testing for common breaks in a multiple equations system. (2018). Perron, Pierre ; Oka, Tatsushi. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-3.

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2017Central Banks: Evolution and Innovation in Historical Perspective. (2017). Siklos, Pierre ; Bordo, Michael. In: NBER Working Papers. RePEc:nbr:nberwo:23847.

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2018Investor Sentiment and Crash Risk in Safe Havens. (2018). GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo ; Ben Nasr, Adnen. In: Working Papers. RePEc:pre:wpaper:201804.

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2019Investor Sentiment and Crash Risk in Safe Havens. (2019). GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo ; ben Nasr, Adnen. In: Journal of Economics and Behavioral Studies. RePEc:rnd:arjebs:v:10:y:2019:i:6:p:97-108.

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2017Inference on locally ordered breaks in multiple regressions. (2017). Perron, Pierre ; Li, YE. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:289-353.

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2018Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach. (2018). Shintani, Mototsugu ; Guo, Zi-Yi. In: Econometric Reviews. RePEc:taf:emetrv:v:37:y:2018:i:4:p:360-379.

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2018Are cryptocurrencies connected to forex? A quantile cross-spectral approach. (2018). Baumohl, Eduard. In: EconStor Preprints. RePEc:zbw:esprep:174884.

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2018Network-based asset allocation strategies. (2018). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Tomas. In: EconStor Preprints. RePEc:zbw:esprep:180063.

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2018Exchange rate predictability and dynamic Bayesian learning. (2018). Koop, Gary ; Korobilis, Dimitris ; Beckmann, Joscha ; Schussler, Rainer. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181523.

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Works by Yohei Yamamoto:

YearTitleTypeCited
2008On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]		paper8
2001On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests.(2001) In: Boston University - Department of Economics - Working Papers Series.
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This paper has another version. Agregated cites: 8		paper
2012On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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This paper has another version. Agregated cites: 8		paper
2016On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests.(2016) In: Econometric Reviews.
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This paper has another version. Agregated cites: 8		article
2008Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]		paper6
2011Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]		paper8
2012Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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This paper has another version. Agregated cites: 8		paper
2013Estimating and testing multiple structural changes in linear models using band spectral regressions.(2013) In: Econometrics Journal.
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This paper has another version. Agregated cites: 8		article
2011Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]		paper26
2015Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors.(2015) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 26		article
2011A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]		paper19
2014A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS.(2014) In: Econometric Theory.
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This paper has another version. Agregated cites: 19		article
2018Testing for Changes in Forecasting Performance In: Boston University - Department of Economics - Working Papers Series.
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2018Testing for Changes in Forecasting Performance.(2018) In: Discussion Papers.
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This paper has another version. Agregated cites: 0		paper
2001Is the Renminbi a safe haven? In: GRU Working Paper Series.
[Full Text][Citation analysis]		paper4
2017Is the Renminbi a safe haven?.(2017) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 4		article
2016Is the Renminbi a safe haven?.(2016) In: Globalization Institute Working Papers.
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This paper has another version. Agregated cites: 4		paper
2017The Exchange Rate Effects of Macro News after the Global Financial Crisis In: GRU Working Paper Series.
[Full Text][Citation analysis]		paper1
2019The exchange rate effects of macro news after the global Financial Crisis.(2019) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 1		article
2017The Exchange Rate Effects of Macro News after the Global Financial Crisis.(2017) In: Globalization Institute Working Papers.
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This paper has another version. Agregated cites: 1		paper
2019Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields In: GRU Working Paper Series.
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2019Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields.(2019) In: Globalization Institute Working Papers.
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This paper has another version. Agregated cites: 0		paper
2019Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields.(2019) In: IMES Discussion Paper Series.
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2015Testing for factor loading structural change under common breaks In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
2013Testing for Factor Loading Structural Change under Common Breaks.(2013) In: Discussion Papers.
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This paper has another version. Agregated cites: 19		paper
2014Large versus small foreign exchange interventions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2016Intra-safe haven currency behavior during the global financial crisis In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article21
2012Does foreign exchange intervention volume matter? In: Globalization Institute Working Papers.
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2012Does Foreign Exchange Intervention Volume Matter?.(2012) In: EPRU Working Paper Series.
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This paper has another version. Agregated cites: 1		paper
2019Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model In: Econometrics.
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2019Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model.(2019) In: Discussion Papers.
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2014A Modified Confidence Set for the Structural Break Date in Linear Regression Models In: Discussion Papers.
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2018A modified confidence set for the structural break date in linear regression models.(2018) In: Econometric Reviews.
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2015Confidence Sets for the Break Date Based on Optimal Tests In: Discussion Papers.
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2015Confidence sets for the break date based on optimal tests.(2015) In: Econometrics Journal.
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This paper has another version. Agregated cites: 8		article
2015Asymptotic Inference for Common Factor Models in the Presence of Jumps In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2016Asymptotic Inference for Common Factor Models in the Presence of Jumps.(2016) In: Discussion paper series.
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2016Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets In: Discussion Papers.
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2016Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions In: Discussion paper series.
[Full Text][Citation analysis]		paper13
2012Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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2019Bootstrap inference for impulse response functions in factor‐augmented vector autoregressions.(2019) In: Journal of Applied Econometrics.
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2018Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances In: Discussion paper series.
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2019Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model In: Discussion paper series.
[Full Text][Citation analysis]		paper8
2019The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence In: Discussion paper series.
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2013Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR In: Global COE Hi-Stat Discussion Paper Series.
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2013Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]		paper3
2016Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series.(2016) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 3		article

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