Associate Professor Akihiko Noda

Area and Subject Taught Econometrics
Research Theme(s) Financial Econometrics, Applied Time Series Analysis, and International Finance
Academic Degrees Ph.D. in Business and Commerce, Keio University
Keywords for Research Field Non-Stationary Time-Series Models, State Space Models, The Efficient Market Hypothesis
Office Phone Number Not Public

Research Overview

  1. Generalized Time-Varying Parameter Model Approaches:
    I have been addressing the development of new non-stationary time series models, generalized least squares based time-varying parameter model approaches, to examine the efficient market hypothesis in modern financial markets (mainly stock markets and foreign exchange markets).
  2. Cliometric Analysis:
    I conduct joint research projects for cliometric analysis using futures markets data in prewar Japan. In particular, we investigate whether the markets are efficient employing the above generalized time-varying parameter model approaches.

Notable Publications and Work

  1. Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets, Financial History Review, 23(3), 325-346, 2016.
  2. A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan, Finance Research Letters, 17, 66-71, 2016.
  3. The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach (joint with Mikio Ito and Tatsuma Wada), Applied Economics, 48(7), 621-635, 2016.
  4. International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach (joint with Mikio Ito and Tatsuma Wada), Applied Economics, 46(23), 2744-2754, 2014.
  5. A Survey on the Estimation of CCAPMs via Moment Restrictions: The Case of Japan, Keio Economic Studies, 49, 69-91, 2013.
  6. The GEL Estimates Resolve the Risk-free Rate Puzzle in Japan (joint with Mikio Ito), Applied Financial Economics, 22(5), 365-374, 2012.
  7. Testing the “Catching up with the Joneses” Model with Consumption Externality: Some Evidence from Japan, Economics Bulletin, 31(2), 1648-1658, 2011.
  8. Measuring the Intertemporal Elasticity of Substitution for Consumption: Some Evidence from Japan (joint with Shunsuke Sugiyama), Economics Bulletin, 30(1), 524-533, 2010.