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

Hamori, Shigeyuki - In: Japan and the world economy : international journal of … 12 (2000) 2, pp. 143-152

Persistent link: https://www.econbiz.de/10001471652

Real wage behavior in the United States, Britain, and Japan : an ARCH approach

Hamori, Shigeyuki; Anderson, David A. - In: Asian economic and political issues 4 (2001), pp. 23-34

Persistent link: https://www.econbiz.de/10001773485

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

Bhar, Ramaprasad; Hamori, Shigeyuki - In: Japan and the world economy : international journal of … 15 (2003) 2, pp. 223-231

Persistent link: https://www.econbiz.de/10001745131

Real wage behavior in the United States, Britain and Japan : an ARCH approach

Hamori, Shigeyuki; Anderson, David A. - In: Current politics and economics of Asia 9 (2000) 4, pp. 241-251

Persistent link: https://www.econbiz.de/10002040291

Causality in variance and the type of traders in crude oil futures

Bhar, Ramaprasad; Hamori, Shigeyuki - In: Energy economics 27 (2005) 3, pp. 527-539

Persistent link: https://www.econbiz.de/10002891824

Conditional Threshold Effects of Stock Market Volatility on Crude Oil Market Volatility

Motegi, Kaiji; Hamori, Shigeyuki - 2023

This paper analyzes conditional threshold effects of stock market volatility on crude oil market volatility. We use the conditional threshold autoregressive (CoTAR) model, a novel extension of TAR from a constant to time-varying threshold. The conditional threshold is specified as an empirical...

Persistent link: https://www.econbiz.de/10014353102