RH2023 の履歴(No.2)

• 履歴一覧
• 差分 を表示
• 現在との差分 を表示
• ソース を表示
• RH2023 へ行く。
  • 1 (2023-08-20 (日) 00:31:16)
  • 2 (2023-08-20 (日) 00:37:37)

Dataset†

All data and programs used for this research project are available on request.

Conference†

Publications†

Published in Refereed Journals†

Works in Progress†

• Koichiro Moriya and Akihiko Noda "On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices" [arXiv:2305.05998].
• Koichiro Moriya and Akihiko Noda "Time Instability of the Fama-French Multi-Factor Models: Evidence from the U.S., Europe, and Japan" [arXiv:2208.01270].
• Kenichi Hirayama and Akihiko Noda "Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model," [arXiv:2008.00860].
• Kenichi Hirayama and Akihiko Noda "Measuring the Time-Varying Market Efficiency in Prewar Japanese Stock Markets, 1924-1943," [arXiv:1911.04059].

Presentations†

Conference Presentations†

• On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
  • Japan Society of Monetary Economics 2023 Autumn Meeting at Kyushu University (September 2023, scheduled)
  • Western Economic Association International 98th Annual Conference in Portland, U.S. (July 2023)

Seminar Presentations†

• On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
  • Institute for Economic Studies Econometric Workshop at Keio University (December 2023, scheduled)