Yohei Yamamoto : Citation Profile

Hitotsubashi University

10

H index

12

i10 index

363

Citations

RESEARCH PRODUCTION:

24

Articles

40

Papers

RESEARCH ACTIVITY:

   24 years (2001 - 2025). See details.
   Cites by year: 15
   Journals where Yohei Yamamoto has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 34 (8.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pya247
   Updated: 2025-12-27    RAS profile: 2025-04-28    
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Relations with other researchers

Works with:

Fatum, Rasmus (5)

Perron, Pierre (5)

Hara, Naoko (3)

Arai, Natsuki (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 (47)

Bai, Jushan (14)

Oka, Tatsushi (12)

Casini, Alessandro (11)

Boldea, Otilia (10)

Congregado, Emilio (8)

Feng, Qu (6)

Barigozzi, Matteo (6)

Chang, Seong Yeon (6)

Cheung, Yin-Wong (6)

Kao, Chihwa (5)

Cites to:

Perron, Pierre (110)

Bai, Jushan (60)

Andrews, Donald (30)

Fatum, Rasmus (20)

Watson, Mark (19)

Qu, Zhongjun (19)

Ng, Serena (17)

Kejriwal, Mohitosh (13)

Rossi, Barbara (11)

Hansen, Bruce (11)

Taylor, Mark (10)

Main data

Where Yohei Yamamoto has published?

Journals with more than one article published# docs
Journal of International Money and Finance5
Journal of Applied Econometrics3
Econometric Reviews2
Econometric Theory2
Econometrics Journal2

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 University9
Discussion Papers / Graduate School of Economics, Hitotsubashi University7
Globalization Institute Working Papers / Federal Reserve Bank of Dallas5

Recent works citing Yohei Yamamoto (2025 and 2024)

YearTitle of citing document
2024Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024MANA-Net: Mitigating Aggregated Sentiment Homogenization with News Weighting for Enhanced Market Prediction. (2024). Ma, Tiejun ; Wang, Mengyu. In: Papers. RePEc:arx:papers:2409.05698.

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2024Testing for a Forecast Accuracy Breakdown under Long Memory. (2024). Sibbertsen, Philipp ; Kreye, Jannik. In: Papers. RePEc:arx:papers:2409.07087.

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2024Underlying Core Inflation with Multiple Regimes. (2024). Rodriguez-Rondon, Gabriel. In: Papers. RePEc:arx:papers:2411.12845.

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2025Detecting multiple change points in linear models with heteroscedastic errors. (2025). Horvath, Lajos ; Zhao, Yuqian ; Rice, Gregory. In: Papers. RePEc:arx:papers:2505.01296.

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2025Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments. (2025). Boldea, Otilia ; Hall, Alastair R. In: Papers. RePEc:arx:papers:2507.22204.

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2025Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble. (2025). Kurozumi, Eiji ; Skrobotov, Anton. In: Papers. RePEc:arx:papers:2511.16172.

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2025An In-Sample Evaluation of Exchange Rate Models: In Search of Scapegoats. (2025). Cheung, Yin-Wong ; Westermann, Frank ; Wang, Wenhao. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11852.

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2024Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies. (2024). Liu, Zixin ; He, Zhipeng ; Zhang, Shuguang ; Hu, Jun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001748.

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2025How to select the number of factors in break point estimation of high-dimensional factor models?. (2025). Xiang, Jingjie. In: Economics Letters. RePEc:eee:ecolet:v:254:y:2025:i:c:s0165176525003076.

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2024The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Han, XU ; Duan, Jiangtao. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003470.

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2024Prewhitened long-run variance estimation robust to nonstationarity. (2024). Perron, Pierre ; Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001404.

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2024Testing for sparse idiosyncratic components in factor-augmented regression models. (2024). Striaukas, Jonas ; Beyhum, Jad. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001908.

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2024Reprint of: The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Duan, Jiangtao ; Han, XU. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000915.

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2025On time-varying panel data models with time-varying interactive fixed effects. (2025). Su, Liangjun ; Qian, Junhui ; Jin, Sainan ; Wang, Xia ; Li, Yingxing. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000144.

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2025When structural break meets threshold effect: Factor analysis under structural instabilities. (2025). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000260.

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2024Macroeconomic news, senior officials speeches, and emerging currency markets: An intraday analysis of price jump reaction. (2024). ben Omrane, Walid ; Ayadi, Mohamed A ; Das, Deepan Kumar. In: Emerging Markets Review. RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000426.

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2025Foreign exchange markets, climate risks and contextual news: An intraday analysis. (2025). ben Omrane, Walid ; Panah, Pari Gholi ; Ayadi, Mohamed A. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925001905.

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2024The macro driving factors of co-movement of RMB with other currencies in FX markets. (2024). Dai, Yixin ; Teng, Fengfan ; Zhou, Jindie ; Xu, Xiangyun ; Yu, Cong. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005131.

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2025How does foreign economic policy uncertainty affect domestic analyst earnings forecasts?. (2025). Zhou, Xiaozhou ; Song, Jian. In: Global Finance Journal. RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000146.

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2024Is gold a safe haven for the U.S. dollar during extreme conditions?. (2024). Azimli, Asil. In: International Economics. RePEc:eee:inteco:v:177:y:2024:i:c:s2110701724000015.

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2025Time-varying intra-safe haven currency behaviour: The U.S. dollar, the Swiss franc, and the Japanese yen. (2025). Fang, Zhongzheng ; Park, Keehwan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976925000171.

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2024Time-frequency co-movement and cross-quantile connectedness of exchange rates: Evidence from ASEAN+3 Countries. (2024). Deng, XI ; Zhu, Huiming ; Huang, XI ; Ren, Yinghua. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001261.

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2024A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets. (2024). Rodríguez, Gabriel ; Manner, Hans ; Rodriguez, Gabriel ; Stockler, Florian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1385-1403.

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2024Do market conditions affect interconnectedness pattern of socially responsible equities?. (2024). Anwer, Zaheer ; Naeem, Muhammad Abubakr ; Khan, Ashraf ; Paltrinieri, Andrea. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:611-630.

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2024Time-variant safe haven currencies. (2024). Percy, Jay ; Nakata, Hayato ; Sato, Ayano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:316-328.

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2025The dynamics and drivers of global market integration: Regional and cultural factors matter. (2025). Xiang, Xueting ; Ong, Sheue-Li ; Lim, Kian-Ping. In: Research in International Business and Finance. RePEc:eee:riibaf:v:78:y:2025:i:c:s0275531925002314.

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2024Stein-like Common Correlated Effects Estimation under Structural Breaks. (2024). Parsaeian, Shahnaz. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:2:p:11-:d:1378087.

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2025An In-Sample Evaluation of Exchange Rate Models: In Search of Scapegoats. (2025). Cheung, Yin-Wong ; Westermann, Frank ; Wang, Wenhao. In: IEER Working Papers. RePEc:iee:wpaper:wp0125.

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2024The impact of external shocks on volatility persistence and market efficiency of the foreign exchange rate regime: evidence from Malawi. (2024). Chunga, Joseph Paul ; Yu, Ping. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03957-8.

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2024A discussion on the robust vector autoregressive models: novel evidence from safe haven assets. (2024). Shi, Yanlin ; Chang, LE. In: Annals of Operations Research. RePEc:spr:annopr:v:339:y:2024:i:3:d:10.1007_s10479-022-04919-6.

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2024Holding the economy by the tail: analysis of short- and long-run macroeconomic risks. (2024). Libich, Jan ; Franta, Michal. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:4:d:10.1007_s00181-023-02514-7.

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2024Global uncertainty and potential shelters: gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets. (2024). Bogobska, Joanna ; Szczepocki, Piotr ; Feder-Sempach, Ewa. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00589-w.

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2025Response of tail risks of Euro-dollar exchange rate to monetary policy shocks in the US and the Euro area using penalized local projections. (2025). Yang, Hyejin ; Lee, Jin. In: SN Business & Economics. RePEc:spr:snbeco:v:5:y:2025:i:6:d:10.1007_s43546-025-00836-5.

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2024Identifying oil price shocks with global, developed, and emerging latent real economy activity factors. (2024). Djogbenou, Antoine. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:1:p:128-149.

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2024Changes in the span of systematic risk exposures. (2024). Liao, Yuan ; Todorov, Viktor. In: Quantitative Economics. RePEc:wly:quante:v:15:y:2024:i:3:p:817-847.

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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.
[Full Text][Citation analysis]
This paper has nother 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.
[Full Text][Citation analysis]
This paper has nother 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 nother 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 nother 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 nother 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]		paper34
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 nother version. Agregated cites: 34		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]		paper25
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 nother version. Agregated cites: 25		article
2018Testing for Changes in Forecasting Performance In: Boston University - Department of Economics - Working Papers Series.
[Full Text][Citation analysis]		paper9
2019Testing for Changes in Forecasting Performance.(2019) In: Boston University - Department of Economics - Working Papers Series.
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This paper has nother version. Agregated cites: 9		paper
2018Testing for Changes in Forecasting Performance.(2018) In: Discussion Papers.
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This paper has nother version. Agregated cites: 9		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]		paper4
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 nother version. Agregated cites: 4		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 nother version. Agregated cites: 4		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]		paper16
2024Identifying Common and Idiosyncratic Explosive Behaviors in the Large Dimensional Factor Model with an Application to U.S. State-Level House Prices In: Journal of Econometric Methods.
[Full Text][Citation analysis]		article0
2023A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK In: Econometric Theory.
[Full Text][Citation analysis]		article0
2024The efficiency of the Japanese government’s revenue projections In: Economics Letters.
[Full Text][Citation analysis]		article0
2015Testing for factor loading structural change under common breaks In: Journal of Econometrics.
[Full Text][Citation analysis]		article44
2013Testing for Factor Loading Structural Change under Common Breaks.(2013) In: Discussion Papers.
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This paper has nother version. Agregated cites: 44		paper
2014Large versus small foreign exchange interventions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
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 nother version. Agregated cites: 0		paper
2020Reserves and Risk : Evidence from China.(2020) In: Discussion paper series.
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This paper has nother version. Agregated cites: 0		paper
2025The trend effect of foreign exchange intervention In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article0
2023The Trend Effect of Foreign Exchange Intervention.(2023) In: Discussion paper series.
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This paper has nother 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]		article81
2017Is the Renminbi a safe haven? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article20
2016Is the Renminbi a safe haven?.(2016) In: Globalization Institute Working Papers.
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This paper has nother version. Agregated cites: 20		paper
2016Is the Renminbi a Safe Haven?.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 20		paper
2019The exchange rate effects of macro news after the global Financial Crisis In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article13
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 nother version. Agregated cites: 13		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 nother 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 nother version. Agregated cites: 2		paper
2024Negative Interest Rate Policy and the Influence of Macro‐Economic News on Yields.(2024) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 2		article
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 nother 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]		paper6
2018A modified confidence set for the structural break date in linear regression models.(2018) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 6		article
2015Confidence Sets for the Break Date Based on Optimal Tests In: Discussion Papers.
[Full Text][Citation analysis]		paper10
2015Confidence sets for the break date based on optimal tests.(2015) In: Econometrics Journal.
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This paper has nother version. Agregated cites: 10		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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This paper has nother version. Agregated cites: 0		paper
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
2024Testing and Quantifying Economic Resilience 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]		paper23
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 nother version. Agregated cites: 23		paper
2019Bootstrap inference for impulse response functions in factor‐augmented vector autoregressions.(2019) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 23		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 nother 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]		paper25
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 nother version. Agregated cites: 25		article
2025Bubbles and Economic Fluctuations In: Discussion Paper Series.
[Full Text][Citation analysis]		paper0
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 nother version. Agregated cites: 5		article

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