Yohei Yamamoto : Citation Profile


Are you Yohei Yamamoto?

Hitotsubashi University

7

H index

5

i10 index

118

Citations

RESEARCH PRODUCTION:

11

Articles

24

Papers

RESEARCH ACTIVITY:

   17 years (2001 - 2018). See details.
   Cites by year: 6
   Journals where Yohei Yamamoto has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 15 (11.28 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya247
   Updated: 2018-12-08    RAS profile: 2018-09-09    
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Relations with other researchers


Works with:

Perron, Pierre (5)

Fatum, Rasmus (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 (32)

Oka, Tatsushi (12)

Chang, Seong Yeon (6)

Kühl, Michael (3)

Su, Liangjun (3)

Beckmann, Joscha (3)

Boldea, Otilia (3)

Phillips, Peter (3)

Shintani, Mototsugu (3)

Bordo, Michael (2)

Morley, James (2)

Cites to:

Perron, Pierre (50)

Bai, Jushan (33)

Andrews, Donald (18)

Watson, Mark (11)

Ng, Serena (10)

Qu, Zhongjun (9)

Neely, Christopher (8)

Taylor, Mark (8)

Fatum, Rasmus (7)

Hall, Alastair (6)

Rossi, Barbara (6)

Main data


Where Yohei Yamamoto has published?


Journals with more than one article published# docs
Econometric Reviews2
Journal of International Money and Finance2
Econometrics Journal2

Working Papers Series with more than one paper published# docs
Boston University - Department of Economics - Working Papers Series / Boston University - Department of Economics6
Discussion Papers / Graduate School of Economics, Hitotsubashi University6
Discussion paper series / Hitotsubashi Institute for Advanced Study, Hitotsubashi University3
Globalization Institute Working Papers / Federal Reserve Bank of Dallas3

Recent works citing Yohei Yamamoto (2018 and 2017)


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

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2018Continuous Record Asymptotics for Structural Change Models. (2018). 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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2018State-Varying Factor Models of Large Dimensions. (2018). Pelger, Markus ; Xiong, Ruoxuan. 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). Boldea, Otilia ; Hall, Alastair R ; Cornea-Madeira, Adriana . In: Papers. RePEc:arx:papers:1811.04125.

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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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2017The Role for Long-run Target Values of the Exchange Rate in the Bank of Japans Policy Reaction Function. (2017). Kühl, Michael ; Beckmann, Joscha ; Kuhl, Michael. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:9:p:1836-1865.

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2017The Renminbi central parity : An empirical investigation. (2017). Cheung, Yin-Wong ; Tsang, Andrew ; Hui, Cho-Hoi. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_007.

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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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2017Structural Factor Analysis of Interest Rate Pass Through In Four Large Euro Area Economies. (2017). Mizen, Paul ; Bystrov, Victor ; Banerjee, Anindya. In: Working Papers in Economics. RePEc:cbt:econwp:17/07.

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2017Accurate Subsampling Intervals of Principal Components Factors. (2017). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974.

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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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2017Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129.

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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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2017On time-varying factor models: Estimation and testing. (2017). Su, Liangjun ; Wang, Xia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:84-101.

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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). Ma, Shujie ; Su, Liangjun. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:1-29.

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2017Where do jobs go when oil prices drop?. (2017). Karaki, Mohamad ; Herrera, Ana María ; Rangaraju, Sandeep Kumar . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:469-482.

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2017Exchange rate volatility response to macroeconomic news during the global financial crisis. (2017). Savaser, Tanseli ; Savaer, Tanseli ; ben Omrane, Walid . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:130-143.

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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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2017Central banks and macroeconomic policy choices: Relaxing the trilemma. (2017). Steiner, Andreas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:283-299.

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2017A stopping time approach to assessing the effectiveness of foreign exchange intervention: An application to Japanese data. (2017). Kitamura, Yoshihiro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:75:y:2017:i:c:p:32-46.

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2017The intrinsic value of gold: An exchange rate-free price index. (2017). Harris, Richard ; Shen, Jian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:203-217.

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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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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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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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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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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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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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2017Confidence Sets for the Date of a Mean Shift at the End of a Sample. (2017). Kurozumi, Eiji. In: Discussion Papers. RePEc:hit:econdp:2017-06.

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2017The RMB Central Parity Formation Mechanism after August 2015: A Statistical Analysis. (2017). Cheung, Yin-Wong ; Tsang, Andrew ; Hui, Cho-Hoi. In: Working Papers. RePEc:hkm:wpaper:062017.

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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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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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2017Inference on locally ordered breaks in multiple regressions. (2017). Li, YE ; Perron, Pierre. 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). Korobilis, Dimitris ; Koop, Gary ; 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]
paper7
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: 7
paper
2012On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests.(2012) In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
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: 7
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]
paper7
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: 7
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: 7
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]
paper22
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: 22
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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]
paper16
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: 16
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2015Testing for factor loading structural change under common breaks In: Journal of Econometrics.
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article13
2013Testing for Factor Loading Structural Change under Common Breaks.(2013) In: Discussion Papers.
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2014Large versus small foreign exchange interventions In: Journal of Banking & Finance.
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2016Intra-safe haven currency behavior during the global financial crisis In: Journal of International Money and Finance.
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article14
2017Is the Renminbi a safe haven? In: Journal of International Money and Finance.
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article1
2016Is the Renminbi a safe haven?.(2016) In: Globalization Institute Working Papers.
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This paper has another version. Agregated cites: 1
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2012Does foreign exchange intervention volume matter? In: Globalization Institute Working Papers.
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paper1
2012Does Foreign Exchange Intervention Volume Matter?.(2012) In: EPRU Working Paper Series.
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This paper has another version. Agregated cites: 1
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2017The Exchange Rate Effects of Macro News after the Global Financial Crisis In: Globalization Institute Working 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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This paper has another version. Agregated cites: 4
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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: 6
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2015Asymptotic Inference for Common Factor Models in the Presence of Jumps In: Discussion Papers.
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2016Asymptotic Inference for Common Factor Models in the Presence of Jumps.(2016) In: Discussion paper series.
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This paper has another version. Agregated cites: 0
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2016Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets In: Discussion Papers.
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2018Testing for Changes in Forecasting Performance In: Discussion Papers.
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2016Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions In: Discussion paper series.
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2012Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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2018Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances 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.
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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
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