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Tatsuma Wada

Personal Details

First Name:Tatsuma
Middle Name:
Last Name:Wada
Suffix:
RePEc Short-ID:pwa252
[This author has chosen not to make the email address public]
Terminal Degree:2006 Department of Economics; Boston University (from RePEc Genealogy)

Affiliation

Faculty of Policy Management
Keio University

Tokyo, Japan
http://www.sfc.keio.ac.jp/
RePEc:edi:fpkeijp (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2017. "An Alternative Estimation Method of a Time-Varying Parameter Model," Papers 1707.06837, arXiv.org, revised Dec 2017.
  2. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016. "Time-Varying Comovement of Foreign Exchange Markets," Papers 1610.04334, arXiv.org.
  3. 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 2014-004, Boston University - Department of Economics.
  4. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012. "International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach," Papers 1203.5176, arXiv.org, revised May 2014.
  5. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2012. "The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach," Papers 1202.0100, arXiv.org, revised Aug 2015.
  6. Wada, Tatsuma, 2011. "The Real Exchange Rate and Real Interest Differentials: The Role of the Trend-Cycle Decomposition," MPRA Paper 41755, University Library of Munich, Germany.
  7. Wada, Tatsuma, 2011. "On the Correlations of Trend-Cycle Errors," MPRA Paper 41754, University Library of Munich, Germany.
  8. 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 WP2006-029, Boston University - Department of Economics.
  9. 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 WP2005-43, Boston University - Department of Economics.
  10. Tatsuma Wada & Pierre Perron, 2005. "Trend and Cycles: A New Approach and Explanations of Some Old Puzzles," Computing in Economics and Finance 2005 252, Society for Computational Economics.
  11. 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 WP2005-031, Boston University - Department of Economics, revised Oct 2005.

Articles

  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, vol. 128(C).
  2. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2022. "An Alternative Estimation Method for Time-Varying Parameter Models," Econometrics, MDPI, vol. 10(2), pages 1-27, April.
  3. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2021. "Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach," Mathematics, MDPI, vol. 9(8), pages 1-13, April.
  4. 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, vol. 48(7), pages 621-635, February.
  5. Perron, Pierre & Wada, Tatsuma, 2016. "Measuring business cycles with structural breaks and outliers: Applications to international data," Research in Economics, Elsevier, vol. 70(2), pages 281-303.
  6. 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, vol. 50(C), pages 108-133.
  7. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2014. "International stock market efficiency: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, vol. 46(23), pages 2744-2754, August.
  8. Wada, Tatsuma, 2014. "The Role Of Transitory And Persistent Shocks In The Consumption Correlation And International Comovement Puzzles," Macroeconomic Dynamics, Cambridge University Press, vol. 18(6), pages 1234-1270, September.
  9. Wada, Tatsuma, 2012. "On the correlations of trend–cycle errors," Economics Letters, Elsevier, vol. 116(3), pages 396-400.
  10. Tatsuma Wada, 2012. "The Real Exchange Rate And Real Interest Differentials: The Role Of The Trend-Cycle Decomposition," Economic Inquiry, Western Economic Association International, vol. 50(4), pages 968-987, October.
  11. Herrera, Ana María & Lagalo, Latika Gupta & Wada, Tatsuma, 2011. "Oil Price Shocks And Industrial Production: Is The Relationship Linear?," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 472-497, November.
  12. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (6) 2005-11-19 2006-10-28 2012-02-15 2016-08-28 2016-10-23 2017-07-30. Author is listed
  2. NEP-ECM: Econometrics (3) 2006-10-28 2016-08-28 2017-07-30
  3. NEP-MAC: Macroeconomics (3) 2005-11-19 2006-10-28 2016-08-28
  4. NEP-CWA: Central and Western Asia (1) 2012-02-15
  5. NEP-FIN: Finance (1) 2006-03-18
  6. NEP-FMK: Financial Markets (1) 2006-03-18
  7. NEP-IFN: International Finance (1) 2006-03-18
  8. NEP-INT: International Trade (1) 2006-03-18
  9. NEP-OPM: Open Economy Macroeconomics (1) 2016-08-28
  10. NEP-UPT: Utility Models and Prospect Theory (1) 2006-03-18

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