8
H index
5
i10 index
193
Citations
Hitotsubashi University | 8 H index 5 i10 index 193 Citations RESEARCH PRODUCTION: 15 Articles 33 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Yohei Yamamoto. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of International Money and Finance | 3 |
Econometrics Journal | 2 |
Econometric Reviews | 2 |
Journal of Applied Econometrics | 2 |
Year | Title of citing document |
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2020 | Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786. Full description at Econpapers || Download paper |
2021 | Generalized Laplace Inference in Multiple Change-Points Models. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10871. Full description at Econpapers || Download paper |
2020 | State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248. Full description at Econpapers || Download paper |
2020 | Does 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. Full description at Econpapers || Download paper |
2020 | Safehavenness 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. Full description at Econpapers || Download paper |
2020 | Bootstrap 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. Full description at Econpapers || Download paper |
2020 | Urban 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. Full description at Econpapers || Download paper |
2020 | Assessing 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. Full description at Econpapers || Download paper |
2021 | Winners 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. Full description at Econpapers || Download paper |
2020 | States 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. Full description at Econpapers || Download paper |
2020 | Common 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. Full description at Econpapers || Download paper |
2020 | Testing 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. Full description at Econpapers || Download paper |
2020 | Estimation 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Japanese 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. Full description at Econpapers || Download paper |
2020 | Cryptocurrencies 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Sequential 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. Full description at Econpapers || Download paper |
2020 | Issues 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. Full description at Econpapers || Download paper |
2020 | Another 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. Full description at Econpapers || Download paper |
2021 | Solving 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. Full description at Econpapers || Download paper |
2020 | Flight-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. Full description at Econpapers || Download paper |
2020 | News 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. Full description at Econpapers || Download paper |
2020 | Japanese 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. Full description at Econpapers || Download paper |
2020 | Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements. (2020). Ito, Takatoshi ; Yamada, Masahiro. In: NBER Working Papers. RePEc:nbr:nberwo:27036. Full description at Econpapers || Download paper |
2020 | Geopolitical Risks and Historical Exchange Rate Volatility of the BRICS. (2020). Salisu, Afees ; GUPTA, RANGAN ; Cunado, Juncal. In: Working Papers. RePEc:pre:wpaper:2020105. Full description at Econpapers || Download paper |
2020 | Short-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. Full description at Econpapers || Download paper |
2020 | Change point estimation in panel data with timeâ€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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2008 | On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 8 |
2001 | On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests.(2001) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2012 | On 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: 8 | paper | |
2016 | On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests.(2016) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2008 | Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 6 |
2011 | Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 8 |
2012 | Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions.(2012) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2013 | Estimating and testing multiple structural changes in linear models using band spectral regressions.(2013) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2011 | Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 30 |
2015 | Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors.(2015) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
2011 | A 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] | paper | 21 |
2014 | A NOTE ON ESTIMATING AND TESTING FOR MULTIPLE STRUCTURAL CHANGES IN MODELS WITH ENDOGENOUS REGRESSORS VIA 2SLS.(2014) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
2019 | Robots Are Us: Some Economics of Human Replacement In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2018 | Testing for Changes in Forecasting Performance.(2018) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2015 | Testing for factor loading structural change under common breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 24 |
2013 | Testing for Factor Loading Structural Change under Common Breaks.(2013) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2014 | Large versus small foreign exchange interventions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 9 |
2016 | Intra-safe haven currency behavior during the global financial crisis In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 28 |
2017 | Is the Renminbi a safe haven? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 7 |
2016 | Is the Renminbi a safe haven?.(2016) In: Globalization Institute Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2016 | Is the Renminbi a Safe Haven?.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2019 | The exchange rate effects of macro news after the global Financial Crisis In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 4 |
2017 | The Exchange Rate Effects of Macro News after the Global Financial Crisis.(2017) In: Globalization Institute Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2012 | Does foreign exchange intervention volume matter? In: Globalization Institute Working Papers. [Full Text][Citation analysis] | paper | 1 |
2012 | Does Foreign Exchange Intervention Volume Matter?.(2012) In: EPRU Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2019 | Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields In: Globalization Institute Working Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields.(2019) In: IMES Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2020 | Reserves and Risk: Evidence from China In: Globalization Institute Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Reserves and Risk : Evidence from China.(2020) In: Discussion paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2019 | Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model In: Econometrics. [Full Text][Citation analysis] | article | 1 |
2019 | Pitfalls of Two Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model.(2019) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2014 | A Modified Confidence Set for the Structural Break Date in Linear Regression Models In: Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2018 | A modified confidence set for the structural break date in linear regression models.(2018) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2015 | Confidence Sets for the Break Date Based on Optimal Tests In: Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2015 | Confidence sets for the break date based on optimal tests.(2015) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2015 | Asymptotic Inference for Common Factor Models in the Presence of Jumps In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Asymptotic Inference for Common Factor Models in the Presence of Jumps.(2015) In: Discussion paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2016 | Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets In: Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions In: Discussion paper series. [Full Text][Citation analysis] | paper | 18 |
2012 | Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions.(2012) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2019 | Bootstrap inference for impulse response functions in factorâ€augmented vector autoregressions.(2019) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
2018 | Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances In: Discussion paper series. [Full Text][Citation analysis] | paper | 0 |
2019 | Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model In: Discussion paper series. [Full Text][Citation analysis] | paper | 9 |
2020 | Testing jointly for structural changes in the error variance and coefficients of a linear regression model.(2020) In: Quantitative Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2019 | The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence In: Discussion paper series. [Full Text][Citation analysis] | paper | 0 |
2013 | Time Instability of the U.S. Monetary System: Multiple Break Tests and Reduced Rank TVP VAR In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] | paper | 1 |
2013 | Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] | paper | 4 |
2016 | Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series.(2016) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article |
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