89 citations · 303 across the 16 of their papers we have counts for
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q-fin.ST2016★ 1 cited
Time-Varying Comovement of Foreign Exchange Markets
Mikio Ito, Akihiko Noda, Tatsuma Wada
A time-varying cointegration model for foreign exchange rates is presented. Unlike previous studies, we allow the loading matrix in the vector error correction (VEC) model to be va…
q-fin.GN2016★ 2 cited
Market Integration in the Prewar Japanese Rice Markets
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
This paper examines the integration process of the Japanese major rice markets (Tokyo and Osaka) from 1881 to 1932. Using a non-Bayesian time-varying vector error correction model,…