10
H index
11
i10 index
311
Citations
Yohei Yamamoto : Citation Profile
Hitotsubashi University | RESEARCH PRODUCTION: 20 Articles 38 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (2001 - 2023). Relations with other researchers
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:
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Main data
Where Yohei Yamamoto has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of International Money and Finance | 4 |
| Journal of Applied Econometrics | 3 |
| Econometric Theory | 2 |
| Econometrics Journal | 2 |
| Econometric Reviews | 2 |
Recent works citing Yohei Yamamoto (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052. Full description at Econpapers || Download paper |
| 2024 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
| 2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359. Full description at Econpapers || Download paper |
| 2023 | DeÂ…cit sustainability and the Fiscal Theory of the Price Level: the case of Italy, 1861-2020. (2023). Esteve, Vicente ; Daz-Roldn, Silviano Carmen ; Congregado, Emilio. In: Working Papers. RePEc:eec:wpaper:2301. Full description at Econpapers || Download paper |
| 2023 | Shock-based inference on the Phillips curve with the cost channel. (2023). Galvo, Ana Beatriz ; da Silva, Edilean Kleber. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002316. Full description at Econpapers || Download paper |
| 2023 | The confidence channel of U.S. financial uncertainty: Evidence from industry-level data. (2023). Rangaraju, Sandeep Kumar ; Karaki, Mohamad B. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003693. Full description at Econpapers || Download paper |
| 2023 | Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086. Full description at Econpapers || Download paper |
| 2023 | Group fused Lasso for large factor models with multiple structural breaks. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:132-154. Full description at Econpapers || Download paper |
| 2023 | Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2023). Bai, Jushan ; Han, XU ; Duan, Jiangtao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:209-236. Full description at Econpapers || Download paper |
| 2023 | Testing for structural changes in large dimensional factor models via discrete Fourier transform. (2023). Wang, Xia ; Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:302-331. Full description at Econpapers || Download paper |
| 2023 | Structural inference in sparse high-dimensional vector autoregressions. (2023). Trenkler, C ; Paparoditis, E ; Krampe, J. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:276-300. Full description at Econpapers || Download paper |
| 2023 | Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892. Full description at Econpapers || Download paper |
| 2023 | Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models. (2023). Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:372-392. Full description at Econpapers || Download paper |
| 2023 | Predictability of risk appetite in Turkey: Local versus global factors. (2023). Bouri, Elie ; Gok, Remzi ; Gemici, Eray. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000237. Full description at Econpapers || Download paper |
| 2023 | CBDC uncertainty: Financial market implications. (2023). Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001230. Full description at Econpapers || Download paper |
| 2023 | Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies. (2023). Hu, Bing ; Lin, Zhitao ; Wang, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000533. Full description at Econpapers || Download paper |
| 2023 | Safe haven for crude oil: Gold or currencies?. (2023). Dong, Minyi ; Yang, Shenggang ; Tian, Xinyi ; Ming, Lei. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001666. Full description at Econpapers || Download paper |
| 2023 | How resistant is gold to stress? New evidence from global supply chain. (2023). Su, Chi Wei ; Song, Yubing ; Wang, Yue ; Li, Jingwen. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723006712. Full description at Econpapers || Download paper |
| 2023 | Does machine learning help private sectors to alarm crises? Evidence from China’s currency market. (2023). Zong, LU ; Wang, Peiwan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:611:y:2023:i:c:s0378437123000250. Full description at Econpapers || Download paper |
| 2023 | Global risk and market conditions. (2023). Carrieri, Francesca ; Akbari, Amir. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:51-70. Full description at Econpapers || Download paper |
| 2023 | Analyzing a dynamic relation between RMB exchange rate onshore and offshore during the extreme market conditions. (2023). Qiu, Hong ; Wang, Xiangjin ; Hu, Genhua. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:408-417. Full description at Econpapers || Download paper |
| 2023 | Foreign exchange market efficiency during COVID-19 pandemic. (2023). El-Masry, Ahmed ; Azzam, Islam ; Yamani, Ehab. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:717-730. Full description at Econpapers || Download paper |
| 2023 | International Capital Flow Pressures and Global Factors. (2023). Krogstrup, Signe ; Goldberg, Linda S. In: Staff Reports. RePEc:fip:fednsr:95595. Full description at Econpapers || Download paper |
| 2023 | Deficit sustainability and fiscal theory of price level: the case of Italy, 1861–2020. (2023). Esteve, Vicente ; Diaz-Roldan, Carmen ; Congregado, Emilio. In: Empirica. RePEc:kap:empiri:v:50:y:2023:i:3:d:10.1007_s10663-023-09577-w. Full description at Econpapers || Download paper |
| 2023 | The words have power: the impact of news on exchange rates. (2023). Shugliashvili, Teona. In: FFA Working Papers. RePEc:prg:jnlwps:v:5:y:2023:id:5.006. Full description at Econpapers || Download paper |
| 2023 | Regime-dependent drivers of the EUR/CHF exchange rate. (2023). Stockl, Sebastian ; Hanke, Michael ; Kotlarz, Piotr. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:159:y:2023:i:1:d:10.1186_s41937-023-00107-w. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Optimal forecasts in the presence of discrete structural breaks under long memory. (2023). Sibbertsen, Philipp ; Mboya, Mwasi Paza. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1889-1908. Full description at Econpapers || Download paper |
Works by Yohei Yamamoto:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2022 | Structural change tests under heteroskedasticity: Joint estimation versus two?steps methods In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 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 | 9 |
| 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 nother version. Agregated cites: 9 | 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 nother version. Agregated cites: 9 | 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 nother version. Agregated cites: 9 | 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 | 7 |
| 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 | 10 |
| 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 nother version. Agregated cites: 10 | 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 nother version. Agregated cites: 10 | 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 | 34 |
| 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 nother version. Agregated cites: 34 | 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 | 24 |
| 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 nother version. Agregated cites: 24 | article | |
| 2018 | Testing for Changes in Forecasting Performance In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 7 |
| 2019 | Testing for Changes in Forecasting Performance.(2019) In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2018 | Testing for Changes in Forecasting Performance.(2018) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2020 | The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 3 |
| 2019 | The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence.(2019) In: Discussion paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2022 | The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence.(2022) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2020 | Testing jointly for structural changes in the error variance and coe¢ cients of a linear regression model In: Boston University - Department of Economics - Working Papers Series. [Full Text][Citation analysis] | paper | 10 |
| 2023 | A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 2015 | Testing for factor loading structural change under common breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 35 |
| 2013 | Testing for Factor Loading Structural Change under Common Breaks.(2013) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
| 2014 | Large versus small foreign exchange interventions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 12 |
| 2023 | Reserves and risk: Evidence from China In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | Reserves and Risk: Evidence from China.(2020) In: Globalization Institute Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2020 | Reserves and Risk : Evidence from China.(2020) In: Discussion paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | Intra-safe haven currency behavior during the global financial crisis In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 63 |
| 2017 | Is the Renminbi a safe haven? In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 18 |
| 2016 | Is the Renminbi a safe haven?.(2016) In: Globalization Institute Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2016 | Is the Renminbi a Safe Haven?.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | 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 | 10 |
| 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 nother version. Agregated cites: 10 | 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 nother 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 | 2 |
| 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 nother version. Agregated cites: 2 | 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 | 4 |
| 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 nother version. Agregated cites: 4 | paper | |
| 2014 | A Modified Confidence Set for the Structural Break Date in Linear Regression Models In: Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 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 nother version. Agregated cites: 5 | article | |
| 2015 | Confidence Sets for the Break Date Based on Optimal Tests In: Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
| 2015 | Confidence sets for the break date based on optimal tests.(2015) In: Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2015 | Asymptotic Inference for Common Factor Models in the Presence of Jumps In: Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Asymptotic Inference for Common Factor Models in the Presence of Jumps.(2016) In: Discussion paper series. [Full Text][Citation analysis] This paper has nother 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 |
| 2022 | The Efficiency of the Government’s Revenue Projections In: Discussion paper series. [Full Text][Citation analysis] | paper | 0 |
| 2023 | The Trend Effect of Foreign Exchange Intervention In: Discussion paper series. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions In: Discussion paper series. [Full Text][Citation analysis] | paper | 23 |
| 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 nother version. Agregated cites: 23 | paper | |
| 2019 | Bootstrap inference for impulse response functions in factor?augmented vector autoregressions.(2019) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
| 2018 | Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances In: Discussion paper series. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Identifying factor?augmented vector autoregression models via changes in shock variances.(2022) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 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 | 18 |
| 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 nother version. Agregated cites: 18 | article | |
| 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 | 5 |
| 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 nother version. Agregated cites: 5 | article |
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