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