1 citations · 1 across the 2 of their papers we have counts for
4 papers
Detecting Structural Breaks in Foreign Exchange Markets by using the group LASSO technique
Mikio Ito
This article proposes an estimation method to detect breakpoints for linear time series models with their parameters that jump scarcely. Its basic idea owes the group LASSO (group…
An Alternative Estimation Method of a Time-Varying Parameter Model
Mikio Ito, Akihiko Noda, Tatsuma Wada
A non-Bayesian, regression-based or generalized least squares (GLS)-based approach is formally proposed to estimate a class of time-varying AR parameter models. This approach has p…
Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
We investigate the relationship between market efficiency of rice futures transaction in Osaka and the Japanese government intervention in rice distributions by directly buying and…
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…