Note: Please see my Curriculum Vitae for details

__Selected Papers__

- "An Alternative Estimation Method for Time-Varying Parameter Models," with Mikio Ito and Tatsuma Wada,
, 10(2), 23, 2022.*Econometrics* - "Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach," with Mikio Ito and Tatsuma Wada,
, 9(8), 849, 2021.*Mathematics* - "On the Evolution of Cryptocurrency Market Efficiency,"
, 28(6), pp.433-439, 2021. [WP Version] [Technical Appendix for the COVID-19 Pandemic]*Applied Economics Letters* - "The Futures Premium and Rice Market Efficiency in Prewar Japan," with Mikio Ito and Kiyotaka Maeda,
, 71(3), pp.909-937, 2018. [WP Version]*Economic History Review* - "A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan,"
, 17, pp.66-71, 2016. [WP Version]*Finance Research Letters* - "The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach," with Mikio Ito and Tatsuma Wada,
, 48(7), pp.621-635, 2016. [WP Version] [Technical Appendix]*Applied Economics* - "International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach," with Mikio Ito and Tatsuma Wada,
, 46(23), pp.2744-2754, 2014. [WP Version] [Technical Appendix]*Applied Economics*

__Working Papers__

- "On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices," with Koichiro Moriya [arXiv:2305.05998] [Techni- cal Appendix].
- "Estimating the Time-Varying Structures of the Fama-French Multi-Factor Models," with Koichiro Moriya [arXiv:2208.01270].
- "Evaluating the Financial Market Function in Prewar Japan using a Time-Varying Parameter Model," with Kenichi Hirayama [arXiv:2008.00860].
- "Measuring the Time-Varying Market Efficiency in Prewar Japanese Stock Markets, 1924-1943," with Kenichi Hirayama [arXiv:1911.04059] [Technical Appendix].