Note: Please see my Curriculum Vitae for details
Selected Papers
- "Measuring the Time-Varying Market Efficiency in the Prewar and Wartime Japanese Stock Markets, 1924-1943," with Kenichi Hirayama, Asia-Pacific Economic History Review, forthcoming. [Replication Files] [Technical Appendix]
- "An Alternative Estimation Method for Time-Varying Parameter Models," with Mikio Ito and Tatsuma Wada, Econometrics, 10(2), 23, 2022.
- "On the Evolution of Cryptocurrency Market Efficiency," Applied Economics Letters, 28(6), pp.433-439, 2021. [WP Version] [Technical Appendix for the COVID-19 Pandemic]
- "The Futures Premium and Rice Market Efficiency in Prewar Japan," with Mikio Ito and Kiyotaka Maeda, Economic History Review, 71(3), pp.909-937, 2018. [WP Version]
- "A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan," Finance Research Letters, 17, pp.66-71, 2016. [WP Version]
- "The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach," with Mikio Ito and Tatsuma Wada, Applied Economics, 48(7), pp.621-635, 2016. [WP Version] [Technical Appendix]
- "International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach," with Mikio Ito and Tatsuma Wada, Applied Economics, 46(23), pp.2744-2754, 2014. [WP Version] [Technical Appendix]
Working Papers
- "Time Instability of the Fama-French Multifactor Models: An International Evidence," with Koichiro Moriya [arXiv:2208.01270].
- "On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices," with Koichiro Moriya [arXiv:2305.05998] [Techni- cal Appendix].
- "Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model," with Kenichi Hirayama [arXiv:2008.00860].