71 citations · 147 across the 9 of their papers we have counts for
9 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…
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,…
The Futures Premium and Rice Market Efficiency in Prewar Japan
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
This paper studies the interrelation between spot and futures prices in the two major rice markets in prewar Japan from the perspective of market efficiency. Applying a non-Bayesia…
Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
Mikio Ito, Kiyotaka Maeda, Akihiko Noda
This study analyzes how colonial rice trade in prewar Japan affected its rice market, considering several government interventions in the two rice futures exchanges in Tokyo and Os…
International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
Mikio Ito, Akihiko Noda, Tatsuma Wada
This paper develops a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian tim…
The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach
Mikio Ito, Akihiko Noda, Tatsuma Wada
A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the id…