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1

Modeling interest rate volatility: A Realized GARCH approach

Tian, Shuairu, Hamori, Shigeyuki

Journal:

Journal of Banking & Finance

Year:

2015

Language:

english

File:

PDF, 558 KB

english, 2015

2

Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility

He, Xie, Cai, Xiao-Jing, Hamori, Shigeyuki

Journal:

Journal of Risk and Financial Management

Year:

2018

Language:

english

File:

PDF, 4.66 MB

english, 2018

3

Financial Access and Economic Growth: Evidence from Sub-Saharan Africa

Inoue, Takeshi, Hamori, Shigeyuki

Journal:

Emerging Markets Finance and Trade

Year:

2016

Language:

english

File:

PDF, 459 KB

english, 2016

4

Ensemble Learning or Deep Learning? Application to Default Risk Analysis

Hamori, Shigeyuki, Kawai, Minami, Kume, Takahiro, Murakami, Yuji, Watanabe, Chikara

Journal:

Journal of Risk and Financial Management

Year:

2018

Language:

english

File:

PDF, 4.38 MB

english, 2018

5

Random forests-based early warning system for bank failures

Tanaka, Katsuyuki, Kinkyo, Takuji, Hamori, Shigeyuki

Journal:

Economics Letters

Year:

2016

Language:

english

File:

PDF, 870 KB

english, 2016

6

Market efficiency of commodity futures in India

Inoue, Takeshi, Hamori, Shigeyuki

Journal:

Applied Economics Letters

Year:

2014

Language:

english

File:

PDF, 248 KB

english, 2014

7

Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently ? A wavelet coherence analysis

Yang, Lu, Cai, Xiao Jing, Hamori, Shigeyuki

Journal:

International Review of Economics & Finance

Year:

2017

Language:

english

File:

PDF, 2.28 MB

english, 2017

8

Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model

Tanaka, Katsuyuki, Kinkyo, Takuji, Hamori, Shigeyuki

Journal:

Year:

2018

Language:

english

File:

PDF, 2.37 MB

english, 2018

9

Can One Reinforce Investments in Renewable Energy Stock Indices with the ESG Index?

Liu, Guizhou, Hamori, Shigeyuki

Journal:

Year:

2020

File:

PDF, 5.14 MB

2020

10

Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand

Yang, Lu, Hamori, Shigeyuki

Journal:

Pacific-Basin Finance Journal

Year:

2014

Language:

english

File:

PDF, 454 KB

english, 2014

11

Gold prices and exchange rates: a time-varying copula analysis

Yang, Lu, Hamori, Shigeyuki

Journal:

Applied Financial Economics

Year:

2014

Language:

english

File:

PDF, 462 KB

english, 2014

12

An empirical analysis of the relationship between economic development and population growth in China

Yao, Wanjun, Kinugasa, Tomoko, Hamori, Shigeyuki

Journal:

Applied Economics

Year:

2013

Language:

english

File:

PDF, 264 KB

english, 2013

13

Do Workers’ Remittances Promote Access to Finance? Evidence from Asia-Pacific Developing Countries

Inoue, Takeshi, Hamori, Shigeyuki

Journal:

Emerging Markets Finance and Trade

Year:

2016

Language:

english

File:

PDF, 482 KB

english, 2016

14

MODELING THE DYNAMICS OF INTERNATIONAL AGRICULTURAL COMMODITY PRICES: A COMPARISON OF GARCH AND STOCHASTIC VOLATILITY MODELS

YANG, LU, HAMORI, SHIGEYUKI

Journal:

Annals of Financial Economics

Year:

2018

Language:

english

File:

PDF, 803 KB

english, 2018

15

The Predictability of the Exchange Rate When Combining Machine Learning and Fundamental Models

Zhang, Yuchen, Hamori, Shigeyuki

Journal:

Journal of Risk and Financial Management

Year:

2020

File:

PDF, 812 KB

2020

16

Economic returns to schooling in urban China: OLS and the instrumental variables approach

Guifu CHEN, Shigeyuki HAMORI

Journal:

China Economic Review

Year:

2009

Language:

english

File:

PDF, 228 KB

english, 2009

17

The effect of financial deepening on inequality: Some international evidence

Shigeyuki Hamori, Yoshihiro Hashiguchi

Journal:

Journal of Asian Economics

Year:

2012

Language:

english

File:

PDF, 223 KB

english, 2012

18

Causality-in-mean and causality-in-variance among electricity prices, crude oil prices, and yen–US dollar exchange rates in Japan

Tadahiro Nakajima, Shigeyuki Hamori

Journal:

Research in International Business and Finance

Year:

2012

Language:

english

File:

PDF, 461 KB

english, 2012

19

Alternative characterization of the volatility in the growth rate of real GDP

Ramaprasad Bhar, Shigeyuki Hamori

Journal:

Japan and the World Economy

Year:

2003

Language:

english

File:

PDF, 115 KB

english, 2003

20

An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis

Tamakoshi, Go, Hamori, Shigeyuki

Journal:

European Journal of Finance

Year:

2013

Language:

english

File:

PDF, 210 KB

english, 2013

21

Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’

Miyazaki, Takashi, Hamori, Shigeyuki

Journal:

Applied Financial Economics

Year:

2013

Language:

english

File:

PDF, 960 KB

english, 2013

22

Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore

Toyoshima, Yuki, Hamori, Shigeyuki

Journal:

Journal of Asian Economics

Year:

2013

Language:

english

File:

PDF, 511 KB

english, 2013

23

An empirical analysis of real exchange rate movements in the euro

Hamori, Shigeyuki, Hamori, Naoko

Journal:

Applied Economics

Year:

2011

Language:

english

File:

PDF, 120 KB

english, 2011

24

Empirical research on monetary policy, asset prices and inflation: an analysis based on provincial panel data in China

Liu, Shenglong, Chen, Guifu, Hamori, Shigeyuki

Journal:

Applied Economics

Year:

2014

Language:

english

File:

PDF, 599 KB

english, 2014

25

[SpringerBriefs in Economics] Rural Labor Migration, Discrimination, and the New Dual Labor Market in China || Formal and Informal Employment in Urban China: Income Differentials

Chen, Guifu, Hamori, Shigeyuki

Year:

2014

Language:

english

File:

PDF, 364 KB

english, 2014

26

Financial development and financial openness nexus: the precondition of banking competition

Chen, Wang, Hamori, Shigeyuki, Kinkyo, Takuji

Journal:

Applied Economics

Year:

2016

Language:

english

File:

PDF, 1.14 MB

english, 2016

27

Global Linkages and Economic Rebalancing in East Asia || AN EMPIRICAL ANALYSIS OF THE DETERMINANTS OF HOUSEHOLD SAVING (CONSUMPTION) IN CHINA: A PANEL ANALYSIS OF PROVINCIAL DATA, 1995–2010

Kinkyo, Takuji, Matsubayashi, Yoichi, Hamori, Shigeyuki

Year:

2013

Language:

english

File:

PDF, 223 KB

english, 2013

28

Global Linkages and Economic Rebalancing in East Asia || GLOBALIZATION AND ECONOMIC GROWTH IN EAST ASIA

Kinkyo, Takuji, Matsubayashi, Yoichi, Hamori, Shigeyuki

Year:

2013

Language:

english

File:

PDF, 230 KB

english, 2013

29

Global Linkages and Economic Rebalancing in East Asia || IS THE RENMINBI APPRECIATING FAST ENOUGH?

Kinkyo, Takuji, Matsubayashi, Yoichi, Hamori, Shigeyuki

Year:

2013

Language:

english

File:

PDF, 223 KB

english, 2013

30

The long-run relationship between farm size and productivity

Yao, Wanjun, Hamori, Shigeyuki

Journal:

China Agricultural Economic Review

Year:

2018

Language:

english

File:

PDF, 247 KB

english, 2018

31

Dynamic effects of financial spillovers on bank lending: evidence from local projection-based impulse response analysis

Chen, Wang, Hamori, Shigeyuki, Kinkyo, Takuji

Journal:

Applied Economics Letters

Year:

2019

Language:

english

File:

PDF, 724 KB

english, 2019

32

Moving average threshold heterogeneous autoregressive (MAT‐HAR) models

Motegi, Kaiji, Cai, Xiaojing, Hamori, Shigeyuki, Xu, Haifeng

Journal:

Journal of Forecasting

Year:

2020

Language:

english

File:

PDF, 980 KB

english, 2020

33

Empirical Finance

Hamori, Shigeyuki

Journal:

Journal of Risk and Financial Management

Year:

2020

Language:

english

File:

PDF, 178 KB

english, 2020

34

Dependence structures and risk spillover in Chinaâs credit bond market: A copula and CoVaR approach

Yang, Lu, Yang, Lei, Ho, Kung-Cheng, Hamori, Shigeyuki

Journal:

Journal of Asian Economics

Year:

2020

File:

PDF, 1.66 MB

2020

35

Forecasting Crude Oil Market Crashes Using Machine Learning Technologies

Zhang, Yulian, Hamori, Shigeyuki

Journal:

Year:

2020

File:

PDF, 412 KB

2020

36

Copula-based regression models with data missing at random

Hamori, Shigeyuki, Motegi, Kaiji, Zhang, Zheng

Journal:

Journal of Multivariate Analysis

Year:

2020

File:

PDF, 887 KB

2020

37

An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa Era

Shigeyuki Hamori, Naoko Hamori, David A. Anderson

Journal:

Journal of Futures Markets

Year:

2001

Language:

english

File:

PDF, 165 KB

english, 2001

38

Market efficiency among futures with different maturities: Evidence from the crude oil futures market

Kaoru Kawamoto, Shigeyuki Hamori

Journal:

Journal of Futures Markets

Year:

2011

Language:

english

File:

PDF, 116 KB

english, 2011

39

An empirical analysis on the stability of Japan’s aggregate import demand function

Shigeyuki Hamori, Yoichi Matsubayashi

Journal:

Japan and the World Economy

Year:

2001

Language:

english

File:

PDF, 98 KB

english, 2001

40

Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan

Shigeyuki Hamori

Journal:

Japan and the World Economy

Year:

2000

Language:

english

File:

PDF, 130 KB

english, 2000

41

Panel cointegration analysis of co-movement between interest rate swap and treasury markets

Toyoshima, Yuki, Hamori, Shigeyuki

Journal:

Applied Economics Letters

Year:

2012

Language:

english

File:

PDF, 120 KB

english, 2012

42

Spillovers among CDS indexes in the US financial sector

Tamakoshi, Go, Hamori, Shigeyuki

Journal:

The North American Journal of Economics and Finance

Year:

2014

Language:

english

File:

PDF, 432 KB

english, 2014

43

The conditional dependence structure of insurance sector credit default swap indices

Tamakoshi, Go, Hamori, Shigeyuki

Journal:

The North American Journal of Economics and Finance

Year:

2014

Language:

english

File:

PDF, 377 KB

english, 2014

44

How has financial deepening affected poverty reduction in India? Empirical analysis using state-level panel data

Inoue, Takeshi, Hamori, Shigeyuki

Journal:

Applied Financial Economics

Year:

2012

Language:

english

File:

PDF, 161 KB

english, 2012

45

Crude oil hedging strategy: new evidence from the data of the financial crisis

Toyoshima, Yuki, Nakajima, Tadahiro, Hamori, Shigeyuki

Journal:

Applied Financial Economics

Year:

2013

Language:

english

File:

PDF, 648 KB

english, 2013

46

Linkages among agricultural commodity futures prices: some further evidence from Tokyo

Bhar, Ramaprasad, Hamori, Shigeyuki

Journal:

Applied Economics Letters

Year:

2006

Language:

english

File:

PDF, 108 KB

english, 2006

47

Crowding-out effects of affordable and unaffordable housing in China, 1999–2010

Yuan, Nannan, Hamori, Shigeyuki

Journal:

Applied Economics

Year:

2014

Language:

english

File:

PDF, 407 KB

english, 2014

48

Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis

Yang, Lu, Hamori, Shigeyuki

Journal:

The North American Journal of Economics and Finance

Year:

2015

Language:

english

File:

PDF, 4.74 MB

english, 2015

49

Consumption growth and the intertemporal elasticity of substitution: some evidence from income quintile groups in Japan

Hamori, Shigeyuki

Journal:

Applied Economics Letters

Year:

1996

Language:

english

File:

PDF, 265 KB

english, 1996

50

Revisiting the Roles of Financial Access and Deepening for Growth and Reducing Inequality

Inoue, Takeshi, Kinkyo, Takuji, Hamori, Shigeyuki

Journal:

Emerging Markets Finance and Trade

Year:

2016

Language:

english

File:

PDF, 373 KB

english, 2016