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Moving Average Threshold Heterogeneous Autoregressive (MAT-HAR) Models

Motegi, Kaiji - 2020

We propose moving average threshold heterogeneous autoregressive (MAT-HAR) models as a novel combination of heterogeneous autoregression (HAR) and threshold autoregression (TAR). The MAT-HAR has multiple groups of lags of a target series, and a threshold term can appear in each group. The...

Persistent link: https://www.econbiz.de/10012848474

Defying the conventional wisdom : US consumers are found to be more risk averse than those of Japan

Hamori, Shigeyuki - In: Economic modelling 15 (1998) 2, pp. 217-235

Persistent link: https://www.econbiz.de/10001247644

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

Do international stock prices reflect international business cycles?

Hamori, Shigeyuki - In: Global stock exchanges : stability, interrelationships, …, (pp. 189-198). 2009

Persistent link: https://www.econbiz.de/10008840544

Do international stock prices reflect international business cycles?

Hamori, Shigeyuki - In: Progress in economics research 9 (2004), pp. 1-10

Persistent link: https://www.econbiz.de/10003366769

Do international stock prices reflect international business cycles?

Hamori, Shigeyuki - In: Business fluctuations and cycles, (pp. 193-202). 2008

Persistent link: https://www.econbiz.de/10003854130

[Rezension] Shigeyuki Hamori, ..., The business cycle in post-war Japan : New York, Nova Science Publ., 1997

Sturm, Jan-Egbert - In: De economist : Netherlands economic review ; quarterly … 147 (1999) 2, pp. 247-248

Persistent link: https://www.econbiz.de/10001404329

A numerical analysis of the monetary aspects of the Japanese economy : the cash-in-advance approach

Hamori, Shigeyuki - In: Applied financial economics 8 (1998) 1, pp. 51-59

Persistent link: https://www.econbiz.de/10001240705

Seasonal integration for daily data

Tokihisa, Akira; Hamori, Shigeyuki - In: Econometric reviews 20 (2001) 2, pp. 187-200

Persistent link: https://www.econbiz.de/10001596580

The characteristics of the business cycle in Japan

Hamori, Shigeyuki - In: Applied economics 29 (1997) 9, pp. 1105-1113

Persistent link: https://www.econbiz.de/10001227202

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