Yohei Yamamoto : Citation Profile

Are you Yohei Yamamoto?

Hitotsubashi University

10

H index

10

i10 index

300

Citations

RESEARCH PRODUCTION:

20

Articles

38

Papers

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 13
   Journals where Yohei Yamamoto has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 31 (9.37 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya247
   Updated: 2023-11-04    RAS profile: 2023-08-05    
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Relations with other researchers

Works with:

Perron, Pierre (12)

Fatum, Rasmus (5)

Hara, Naoko (3)

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 (46)

Oka, Tatsushi (12)

Casini, Alessandro (11)

Bai, Jushan (8)

Chang, Seong Yeon (6)

Feng, Qu (6)

Boldea, Otilia (6)

Kao, Chihwa (5)

Hartigan, Luke (5)

Baltagi, Badi (5)

Barigozzi, Matteo (4)

Cites to:

Perron, Pierre (107)

Bai, Jushan (59)

Andrews, Donald (30)

Qu, Zhongjun (19)

Fatum, Rasmus (19)

Watson, Mark (18)

Ng, Serena (14)

Kejriwal, Mohitosh (13)

Rossi, Barbara (11)

Neely, Christopher (10)

Taylor, Mark (10)

Main data

Where Yohei Yamamoto has published?

Journals with more than one article published# docs
Journal of International Money and Finance4
Journal of Applied Econometrics3
Econometrics Journal2
Econometric Theory2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Boston University - Department of Economics - Working Papers Series / Boston University - Department of Economics10
Discussion paper series / Hitotsubashi Institute for Advanced Study, Hitotsubashi University8
Discussion Papers / Graduate School of Economics, Hitotsubashi University7
Globalization Institute Working Papers / Federal Reserve Bank of Dallas5

Recent works citing Yohei Yamamoto (2023 and 2022)

YearTitle of citing document
2022Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052.

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2022On Foreign Drivers of EMEs Fluctuations. (2022). Wlasiuk, Juan M ; Lorca, Jorge ; Bajraj, Gent. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:951.

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2023DeÂ…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.

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2022Estimation of high-dimensional factor models with multiple structural changes. (2022). Wu, Jianhong ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999321003321.

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2023Spillover 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.

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2023Group 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.

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2023Quasi-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.

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2023Testing 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.

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2023Structural 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.

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2023Predictability 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.

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2022Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries. (2022). Brooks, Robert ; Mohsen, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Tanin, Tauhidul Islam. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005187.

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2022Exchange rate return predictability in times of geopolitical risk. (2022). Narayan, Paresh Kumar ; Bach, Dinh Hoang ; Iyke, Bernard Njindan. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000692.

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2023CBDC uncertainty: Financial market implications. (2023). Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001230.

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2023Macro 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.

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2023Safe 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.

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2022The influence of the renminbi and its macroeconomic determinants: A new Chinese monetary order in Asia?. (2022). Sato, Kiyotaka ; Keddad, Benjamin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000695.

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2022Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19. (2022). Mohamad, Azhar ; Stavroyiannis, Stavros. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001184.

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2022Global risk sentiment and the Swiss franc: A time-varying daily factor decomposition model. (2022). Gloede, Oliver ; Frei, Lukas ; Fink, Fabian . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s026156062100190x.

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2022Out-of-sample forecasting of foreign exchange rates: The band spectral regression and LASSO. (2022). Wada, Tatsuma. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:128:y:2022:i:c:s026156062200122x.

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2022How far is too far for volatility transmission?. (2022). Karali, Berna ; Yang, Yao. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000313.

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2023Does 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.

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2022Do conventional currencies hedge cryptocurrencies?. (2022). Balli, Faruk ; Hasan, Mudassar ; Hussain, Syed Jawad ; Arif, Muhammad ; Naeem, Muhammad Abubakr. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:85:y:2022:i:c:p:223-228.

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2022Geopolitical risks and historical exchange rate volatility of the BRICS. (2022). Salisu, Afees ; GUPTA, RANGAN ; Cuado, Juncal. In: International Review of Economics & Finance. RePEc:eee:reveco:v:77:y:2022:i:c:p:179-190.

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2023Global 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.

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2023Analyzing 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.

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2022Safe haven assets for international stock markets: A regime-switching factor copula approach. (2022). Tachibana, Minoru. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002129.

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2022Cointegration with structural changes and classical model of inflation in Spain, 1830–1998. (2022). Esteve, Vicente ; Congregado, Emilio. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:60:y:2022:i:c:p:376-388.

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2022The Effects of Central Bank Digital Currencies News on Financial Markets. (2022). Yarovaya, Larisa ; Vigne, Samuel A ; Lucey, Brian M ; Wang, Yizhi. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:180:y:2022:i:c:s0040162522002414.

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2022Gaussian Copula Regression in the Presence of Thresholds. (2022). Franses, Philip Hans ; Hohberger, J ; Eckert, C. In: Econometric Institute Research Papers. RePEc:ems:eureir:137107.

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2022Tracking Exchange Rate Determinants amid the Pandemic. (2022). Yuki, Masujima . In: Discussion papers. RePEc:eti:dpaper:22001.

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2023International Capital Flow Pressures and Global Factors. (2023). Krogstrup, Signe ; Goldberg, Linda S. In: Staff Reports. RePEc:fip:fednsr:95595.

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2022Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory. (2022). Sibbertsen, Philipp ; Mboya, Mwasi. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-705.

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2023Deficit 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.

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2022Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components. (2022). Ruiz, Esther ; Poncela, Pilar. In: Foundations and Trends(R) in Econometrics. RePEc:now:fnteco:0800000039.

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2023The 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.

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2022Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow. (2022). Rashid, Abdul ; Jabeen, Munazza. In: Global Journal of Emerging Market Economies. RePEc:sae:emeeco:v:14:y:2022:i:2:p:222-245.

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2022Can Equity be Safe-haven for Investment?. (2022). Balasubramanian, G ; Kayal, Parthajit ; Sri, Janani. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:21:y:2022:i:1:p:32-63.

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2022Forecasting the Japanese macroeconomy using high-dimensional data. (2022). Sueishi, Naoya ; Nakajima, Yoshiki. In: The Japanese Economic Review. RePEc:spr:jecrev:v:73:y:2022:i:2:d:10.1007_s42973-020-00041-z.

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2023Regime-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.

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2022Forecasting Ination: A GARCH-in-Mean-Level Model with Time Varying Predictability.. (2022). Chini, Emilio Zanetti ; Paraskevopoulos, Athanasios ; Karanasos, Menelaos ; Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202212.

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2022The news effects on exchange rate returns and volatility: Evidence from Pakistan. (2022). Ihsan, Hajra ; Rashid, Abdul ; Jabeen, Munazza . In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:745-769.

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2022Financial contagion in real economy: The key role of policy uncertainty. (2022). Umar, Zaghum ; Kampouris, Elias ; Samitas, Aristeidis. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1633-1682.

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2022Robust inference under time?varying volatility: A real?time evaluation of professional forecasters. (2022). Krusebecher, Robinson ; Hanck, Christoph ; Demetrescu, Matei. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:1010-1030.

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2022The global latent factor and international index futures returns predictability. (2022). Lien, Donald ; Lee, Hsiuchuan ; Chang, Shulien. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:3:p:514-538.

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Works by Yohei Yamamoto:

YearTitleTypeCited
2022Structural change tests under heteroskedasticity: Joint estimation versus two?steps methods In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2008On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]		paper9
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: 9		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: 9		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: 9		article
2008Estimating and Testing Multiple Structural Changes in Models with Endogenous Regressors In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]		paper7
2011Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]		paper10
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: 10		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: 10		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]		paper33
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: 33		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]		paper24
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: 24		article
2018Testing for Changes in Forecasting Performance In: Boston University - Department of Economics - Working Papers Series.
[Full Text][Citation analysis]		paper5
2019Testing for Changes in Forecasting Performance.(2019) In: Boston University - Department of Economics - Working Papers Series.
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This paper has another version. Agregated cites: 5		paper
2018Testing for Changes in Forecasting Performance.(2018) In: Discussion Papers.
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This paper has another version. Agregated cites: 5		paper
2020The 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]		paper3
2019The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence.(2019) In: Discussion paper series.
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This paper has another version. Agregated cites: 3		paper
2022The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence.(2022) In: Empirical Economics.
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This paper has another version. Agregated cites: 3		article
2020Testing 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]		paper10
2023A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK In: Econometric Theory.
[Full Text][Citation analysis]		article0
2015Testing for factor loading structural change under common breaks In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
2013Testing for Factor Loading Structural Change under Common Breaks.(2013) In: Discussion Papers.
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This paper has another version. Agregated cites: 32		paper
2014Large versus small foreign exchange interventions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article12
2023Reserves and risk: Evidence from China In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article0
2020Reserves and Risk: Evidence from China.(2020) In: Globalization Institute Working Papers.
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This paper has another version. Agregated cites: 0		paper
2020Reserves and Risk : Evidence from China.(2020) In: Discussion paper series.
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This paper has another version. Agregated cites: 0		paper
2016Intra-safe haven currency behavior during the global financial crisis In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article61
2017Is the Renminbi a safe haven? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article18
2016Is the Renminbi a safe haven?.(2016) In: Globalization Institute Working Papers.
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This paper has another version. Agregated cites: 18		paper
2016Is the Renminbi a Safe Haven?.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 18		paper
2019The exchange rate effects of macro news after the global Financial Crisis In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article9
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: 9		paper
2012Does foreign exchange intervention volume matter? In: Globalization Institute Working Papers.
[Full Text][Citation analysis]		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		paper
2019Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields In: Globalization Institute Working Papers.
[Full Text][Citation analysis]		paper2
2019Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields.(2019) In: IMES Discussion Paper Series.
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This paper has another version. Agregated cites: 2		paper
2019Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model In: Econometrics.
[Full Text][Citation analysis]		article4
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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This paper has another version. Agregated cites: 4		paper
2014A Modified Confidence Set for the Structural Break Date in Linear Regression Models In: Discussion Papers.
[Full Text][Citation analysis]		paper5
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: 5		article
2015Confidence Sets for the Break Date Based on Optimal Tests In: Discussion Papers.
[Full Text][Citation analysis]		paper9
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: 9		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.
[Full Text][Citation analysis]		paper1
2022The Efficiency of the Government’s Revenue Projections In: Discussion paper series.
[Full Text][Citation analysis]		paper0
2023The Trend Effect of Foreign Exchange Intervention In: Discussion paper series.
[Full Text][Citation analysis]		paper0
2016Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions In: Discussion paper series.
[Full Text][Citation analysis]		paper21
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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This paper has another version. Agregated cites: 21		article
2018Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances In: Discussion paper series.
[Full Text][Citation analysis]		paper0
2022Identifying factor?augmented vector autoregression models via changes in shock variances.(2022) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 0		article
2019Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model In: Discussion paper series.
[Full Text][Citation analysis]		paper18
2020Testing jointly for structural changes in the error variance and coefficients of a linear regression model.(2020) In: Quantitative Economics.
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This paper has another version. Agregated cites: 18		article
2013Time 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]		paper1
2013Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]		paper5
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: 5		article

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