Yohei Yamamoto : Citation Profile


Are you Yohei Yamamoto?

Hitotsubashi University

8

H index

5

i10 index

193

Citations

RESEARCH PRODUCTION:

15

Articles

33

Papers

RESEARCH ACTIVITY:

   19 years (2001 - 2020). See details.
   Cites by year: 10
   Journals where Yohei Yamamoto has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 22 (10.23 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya247
   Updated: 2021-02-20    RAS profile: 2020-08-31    
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Relations with other researchers


Works with:

Fatum, Rasmus (10)

Perron, Pierre (8)

Zhu, Guozhong (3)

Cheung, Yin-Wong (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 (40)

Oka, Tatsushi (12)

Casini, Alessandro (10)

Chang, Seong Yeon (6)

Boldea, Otilia (5)

Beckmann, Joscha (4)

Barigozzi, Matteo (4)

Hartigan, Luke (4)

Feng, Qu (4)

Baumohl, Eduard (4)

Su, Liangjun (4)

Cites to:

Perron, Pierre (63)

Bai, Jushan (38)

Andrews, Donald (21)

Watson, Mark (15)

Ng, Serena (10)

Rossi, Barbara (10)

Fatum, Rasmus (9)

Qu, Zhongjun (9)

Neely, Christopher (8)

Boldea, Otilia (7)

Inoue, Atsushi (7)

Main data


Where Yohei Yamamoto has published?


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

Working Papers Series with more than one paper published# docs
Discussion Papers / Graduate School of Economics, Hitotsubashi University7
Boston University - Department of Economics - Working Papers Series / Boston University - Department of Economics7
Discussion paper series / Hitotsubashi Institute for Advanced Study, Hitotsubashi University6
Globalization Institute Working Papers / Federal Reserve Bank of Dallas5

Recent works citing Yohei Yamamoto (2021 and 2020)


YearTitle of citing document
2020Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2021Generalized Laplace Inference in Multiple Change-Points Models. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10871.

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2020State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248.

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2020Does it pay to be green? A disaggregated analysis of U.S. firms with green patents. (2020). Przychodzen, Wojciech ; Segbotangni, Elyse A ; van Hoang, Thi Hong. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:29:y:2020:i:3:p:1331-1361.

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2020Safehavenness of the Chinese renminbi. (2020). Fong, Tom ; Tong, Alfred Yun. In: International Finance. RePEc:bla:intfin:v:23:y:2020:i:2:p:215-233.

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2020Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series. (2020). Perron, Pierre ; Yu, Xuewen ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:676-690.

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2020Urban commuting behavior and time allocation among women: Evidence from US metropolitan areas. (2020). Sakanishi, Akiko. In: Regional Science Policy & Practice. RePEc:bla:rgscpp:v:12:y:2020:i:2:p:349-363.

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2020Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach. (2020). Wang, Shouyang ; Zheng, Jiali ; Bao, Qin ; Sun, Yuying. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x20300730.

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2021Winners and losers of central bank foreign exchange interventions. (2021). Viziniuc, Mdlin. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:748-767.

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2020States of psychological anchors and price behavior of Japanese yen futures. (2020). Wang, Yu-Chun ; Lu, Yang-Cheng ; Lee, Yun-Huan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302912.

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2020Common factors and common breaks in panels: An empirical investigation. (2020). Feng, Qu. In: Economics Letters. RePEc:eee:ecolet:v:187:y:2020:i:c:s0165176519304525.

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2020Testing for the null of block zero restrictions in common factor models. (2020). Kim, Dukpa ; Han, Chirok. In: Economics Letters. RePEc:eee:ecolet:v:188:y:2020:i:c:s0165176519304550.

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2020Estimation and inference of change points in high-dimensional factor models. (2020). Han, XU ; Bai, Jushan ; Shi, Yutang . In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:66-100.

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2020A lesson from the four recent large public Japanese FX interventions. (2020). Kitamura, Yoshihiro. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:57:y:2020:i:c:s0889158320300241.

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2020Japanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxy. (2020). Yabu, Tomoyoshi ; Ito, Takatoshi. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:58:y:2020:i:c:s0889158320300435.

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2020Cryptocurrencies as hedges and safe-havens for US equity sectors. (2020). Hussain, Syed Jawad ; Bouri, Elie ; Roubaud, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:294-307.

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2020A new mechanism for anticipating price exuberance. (2020). Moreira, Afonso M ; Martins, Luis F. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:199-221.

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2020Sequential testing for structural stability in approximate factor models. (2020). Trapani, Lorenzo ; Barigozzi, Matteo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:8:p:5149-5187.

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2020Issues Regarding the Use of the Policy Rate Tool. (2020). Zarutskie, Rebecca ; King, Thomas ; Campbell, Jeffrey ; Orlik, Anna . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-70.

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2020Another look into the factor model black box: factor interpretation and structural (in)stability. (2020). Doz, Catherine ; Despois, Thomas. In: Working Papers. RePEc:hal:wpaper:halshs-02235543.

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2021Solving the Price Puzzle Via A Functional Coefficient Factor-Augmented VAR Model. (2021). Liu, Xiyuan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202106.

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2020Flight-to-quality in the stock–bond return relation: a regime-switching copula approach. (2020). Tachibana, Minoru. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00361-5.

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2020News announcements and price discovery in the RMB–USD market. (2020). Chen, Yu-Lun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-019-00832-5.

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2020Japanese Foreign Exchange Interventions, 1971-2018: Estimating a Reaction Function Using the Best Proxy. (2020). Yabu, Tomoyoshi ; Ito, Takatoshi. In: NBER Working Papers. RePEc:nbr:nberwo:26644.

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2020Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements. (2020). Ito, Takatoshi ; Yamada, Masahiro. In: NBER Working Papers. RePEc:nbr:nberwo:27036.

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2020Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS. (2020). Salisu, Afees ; GUPTA, RANGAN ; Cunado, Juncal. In: Working Papers. RePEc:pre:wpaper:2020105.

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2020Short-term determinants of bilateral exchange rates: A decomposition model for the Swiss franc. (2020). Gloede, Oliver ; Frei, Lukas ; Fink, Fabian. In: Working Papers. RePEc:snb:snbwpa:2020-21.

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2020Change point estimation in panel data with time‐varying individual effects. (2020). Gan, Zhuojiong ; Drepper, Bettina ; Boldea, Otilia. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:6:p:712-727.

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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.
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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]
paper30
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: 30
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]
paper21
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: 21
article
2019Robots Are Us: Some Economics of Human Replacement In: Boston University - Department of Economics - Working Papers Series.
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paper0
2018Testing for Changes in Forecasting Performance.(2018) In: Discussion Papers.
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This paper has another version. Agregated cites: 0
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2015Testing for factor loading structural change under common breaks In: Journal of Econometrics.
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article24
2013Testing for Factor Loading Structural Change under Common Breaks.(2013) In: Discussion Papers.
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This paper has another version. Agregated cites: 24
paper
2014Large versus small foreign exchange interventions In: Journal of Banking & Finance.
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article9
2016Intra-safe haven currency behavior during the global financial crisis In: Journal of International Money and Finance.
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article28
2017Is the Renminbi a safe haven? In: Journal of International Money and Finance.
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article7
2016Is the Renminbi a safe haven?.(2016) In: Globalization Institute Working Papers.
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This paper has another version. Agregated cites: 7
paper
2016Is the Renminbi a Safe Haven?.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 7
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2019The exchange rate effects of macro news after the global Financial Crisis In: Journal of International Money and Finance.
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article4
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: 4
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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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2019Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields In: Globalization Institute Working Papers.
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paper1
2019Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields.(2019) In: IMES Discussion Paper Series.
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2020Reserves and Risk: Evidence from China In: Globalization Institute Working Papers.
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2020Reserves and Risk : Evidence from China.(2020) In: Discussion paper series.
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2019Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model In: Econometrics.
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article1
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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2015Asymptotic Inference for Common Factor Models in the Presence of Jumps In: Discussion Papers.
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paper0
2015Asymptotic Inference for Common Factor Models in the Presence of Jumps.(2015) 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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paper1
2016Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions In: Discussion paper series.
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paper18
2012Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions.(2012) In: Global COE Hi-Stat Discussion Paper Series.
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This paper has another version. Agregated cites: 18
paper
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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paper0
2019Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model In: Discussion paper series.
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paper9
2020Testing jointly for structural changes in the error variance and coefficients of a linear regression model.(2020) In: Quantitative Economics.
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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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paper1
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: 4
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