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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

Nominal and real exchange rate fluctuations of yen-dollar rates

Hamori, Shigeyuki - In: Emerging topics in macroeconomics, (pp. 13-27). 2009

Persistent link: https://www.econbiz.de/10008934475

Greek sovereign bond index, volatility, and structural breaks

Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of Economics and Finance 38 (2014) 4, pp. 687-697

This article investigates volatility changes in the 10-year Greek sovereign bond index returns using the multiple structural break test developed by Bai and Perron (Econometrica 66:47–78, <CitationRef CitationID="CR1">1998</CitationRef>, J Appl Econ 18:1–22, <CitationRef CitationID="CR2">2003</CitationRef>), which allows for endogenous identification of break dates. We find...</citationref></citationref>

Persistent link: https://www.econbiz.de/10010999002

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

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

Continuous wavelet analysis of Chinese renminbi : co-movement and lead-lag relationship between onshore and offshore exchange rates

Xu, Lei; Hamori, Shigeyuki; Kinkyō, Takuji - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012821307

Causality-in-mean and causality-in-variance among electricity prices, crude oil prices, and yen-US dollar exchange rates in Japan

Nakajima, Tadahiro; Hamori, Shigeyuki - In: Research in international business and finance 26 (2012) 3, pp. 371-386

Persistent link: https://www.econbiz.de/10009615925

Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach

Toyoshima, Yuki; Hamori, Shigeyuki - In: Applied financial economics 22 (2012) 10/12, pp. 849-862

Persistent link: https://www.econbiz.de/10009625006