RH2022

Dataset †

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

Conference †

Publications †

Published in Refereed Journals †

• Mikio Ito, Akihiko Noda, and Tatsuma Wada "An Alternative Estimation Method for Time-Varying Parameter Models," Econometrics, 10(2), 23, 2022.
• Akihiko Noda "Examining the Dynamic Asset Market Linkages under the COVID-19 Global Pandemic," Economics Bulletin, forthcoming.

Works in Progress †

• Akihiko Noda "Estimating the Time-Varying Structure of the Fama-French Multi-Factor Models" [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 †

• Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model
  • Japanese Economic Association 2022 Autumn Meeting at Keio University (October 2022)
• Estimating the Time-Varying Structure of Fama-French Multi-Factor Models
  • Western Economic Association International 97th Annual Conference in Portland, U.S. (June 2022)

Seminar Presentations †

• Measuring the Time-Varying Market Efficiency in Prewar Japanese Stock Markets, 1924-1943
  • Institute for Economic Studies Econometric Workshop at Keio University (December 2022)