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Publications

by members of

Keio University → Faculty of Policy Management

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2017

  1. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2017, "An Alternative Estimation Method of a Time-Varying Parameter Model," Papers, arXiv.org, number 1707.06837, Jul, revised Dec 2017.

2016

  1. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016, "Time-Varying Comovement of Foreign Exchange Markets," Papers, arXiv.org, number 1610.04334, Oct.

2014

  1. Tatsuma Wada & Pierre Perron, 2014, "Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number 2014-004, Apr.

2012

  1. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012, "The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach," Papers, arXiv.org, number 1202.0100, Feb, revised Aug 2015.
  2. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012, "International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach," Papers, arXiv.org, number 1203.5176, Mar, revised May 2014.

2011

  1. Wada, Tatsuma, 2011, "On the Correlations of Trend-Cycle Errors," MPRA Paper, University Library of Munich, Germany, number 41754, Dec.
  2. Wada, Tatsuma, 2011, "The Real Exchange Rate and Real Interest Differentials: The Role of the Trend-Cycle Decomposition," MPRA Paper, University Library of Munich, Germany, number 41755, Jan.

2006

  1. Tatsuma Wada & Pierre Perron, 2006, "State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-029, Sep.

2005

  1. Pierre Perron† & Tatsuma Wada, 2005, "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-031, Jan, revised Oct 2005.
  2. Tatsuma Wada & Pierre Perron, 2005, "An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2005-43, Oct.
  3. Tatsuma Wada & Pierre Perron, 2005, "Trend and Cycles: A New Approach and Explanations of Some Old Puzzles," Computing in Economics and Finance 2005, Society for Computational Economics, number 252, Nov.

Journal articles

2022

  1. Wada, Tatsuma, 2022, "Out-of-sample forecasting of foreign exchange rates: The band spectral regression and LASSO," Journal of International Money and Finance, Elsevier, volume 128, issue C, DOI: 10.1016/j.jimonfin.2022.102719.
  2. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2022, "An Alternative Estimation Method for Time-Varying Parameter Models," Econometrics, MDPI, volume 10, issue 2, pages 1-27, April.

2021

  1. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2021, "Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach," Mathematics, MDPI, volume 9, issue 8, pages 1-13, April.

2016

  1. Perron, Pierre & Wada, Tatsuma, 2016, "Measuring business cycles with structural breaks and outliers: Applications to international data," Research in Economics, Elsevier, volume 70, issue 2, pages 281-303, DOI: 10.1016/j.rie.2015.12.001.
  2. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016, "The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, volume 48, issue 7, pages 621-635, February, DOI: 10.1080/00036846.2015.1083532.

2015

  1. Herrera, Ana María & Lagalo, Latika Gupta & Wada, Tatsuma, 2015, "Asymmetries in the response of economic activity to oil price increases and decreases?," Journal of International Money and Finance, Elsevier, volume 50, issue C, pages 108-133, DOI: 10.1016/j.jimonfin.2014.09.004.

2014

  1. Wada, Tatsuma, 2014, "The Role Of Transitory And Persistent Shocks In The Consumption Correlation And International Comovement Puzzles," Macroeconomic Dynamics, Cambridge University Press, volume 18, issue 6, pages 1234-1270, September.
  2. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2014, "International stock market efficiency: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, volume 46, issue 23, pages 2744-2754, August, DOI: 10.1080/00036846.2014.909579.

2012

  1. Tatsuma Wada, 2012, "The Real Exchange Rate And Real Interest Differentials: The Role Of The Trend-Cycle Decomposition," Economic Inquiry, Western Economic Association International, volume 50, issue 4, pages 968-987, October, DOI: j.1465-7295.2011.00387.x.
  2. Wada, Tatsuma, 2012, "On the correlations of trend–cycle errors," Economics Letters, Elsevier, volume 116, issue 3, pages 396-400, DOI: 10.1016/j.econlet.2012.04.028.

2011

  1. Herrera, Ana María & Lagalo, Latika Gupta & Wada, Tatsuma, 2011, "Oil Price Shocks And Industrial Production: Is The Relationship Linear?," Macroeconomic Dynamics, Cambridge University Press, volume 15, issue S3, pages 472-497, November.

2009

  1. Perron, Pierre & Wada, Tatsuma, 2009, "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, volume 56, issue 6, pages 749-765, September.

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