71 citations · 143 across the 4 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.ST2012★ 66 cited
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…
q-fin.ST2012★ 71 cited
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…