RH2024 の履歴(No.4)

• 履歴一覧
• 差分 を表示
• 現在との差分 を表示
• ソース を表示
• RH2024 へ行く。
  • 1 (2024-04-09 (火) 14:18:56)
  • 2 (2024-04-09 (火) 14:20:04)
  • 3 (2024-05-28 (火) 22:29:30)
  • 4 (2025-02-03 (月) 12:08:56)

Dataset†

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

Conference†

Publications†

Published in Refereed Journals†

• Kenichi Hirayama and Akihiko Noda "Measuring the Time-Varying Market Efficiency in Prewar and Wartime Japanese Stock Markets, 1924-1943," Asia-Pacific Economic History Review, forthcoming.

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 Multifactor Models: An International Evidence" [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].

Presentations†

• Forecasting Cryptocurrency Returns with a Sparse Dynamic Factor Model
  • International Joint Conference CFE-CMStatistics in London, U.K. (December 2024)
  • Midwest Econometrics Group Conference in Lexington, U.S. (November 2024)
• A GLS-based Wald Test for Portfolio Efficiency under Serial Correlation
  • Japan Society of Monetary Economics 2024 Autumn Meeting at Okinawa Convention Center (October 2024)
  • Western Economic Association International 99th Annual Conference in Seattle, U.S. (July 2024) Time Instability of the Fama-French Multifactor Models: An International Evidence
  • Japanese Economic Association Autumn Meeting 2024 Autumn Meeting at Fukuoka University (October 2024)