Shigeyuki Hamori

Kobe University, Japan

Professor, Faculty of Economics

Kobe

657-8501

Japan

  • Kobe University, Japan

SCHOLARLY PAPERS

11

DOWNLOADS

629

TOTAL CITATIONS

7

Scholarly Papers (11)

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1.

Conditional Threshold Autoregression (CoTAR)

Number of pages: 33 Posted: 18 Nov 2021 Last Revised: 15 Jul 2024
Kaiji Motegi, Jay Dennis and Shigeyuki Hamori
Kobe University - Graduate School of Economics, Institute for Defense Analyses and Kobe University, Japan
Downloads 104 (552,739)

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profiling estimation, regime switch, self-exciting threshold autoregression (SETAR), threshold effect, Volatility Index (VIX), nonlinear time series

2.

Copula-Based Regression Models With Data Missing at Random

Number of pages: 46 Posted: 10 Jul 2019 Last Revised: 23 Mar 2020
Shigeyuki Hamori, Kaiji Motegi and Zheng Zhang
Kobe University, Japan, Kobe University - Graduate School of Economics and Renmin University of China - Institute of Statistics and Big Data
Downloads 89 (612,316)

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calibration estimation, generalized regression model, missing at random, semiparametric copula

3.

Systemic Risk and Macroeconomic Shocks: Evidence From US Agricultural Commodity Markets

Number of pages: 40 Posted: 27 Nov 2018
Lu Yang, Kaiji Motegi and Shigeyuki Hamori
Zhongnan University of Economics and Law - School of Finance, Kobe University - Graduate School of Economics and Kobe University, Japan
Downloads 88 (616,679)

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Conditional Value-at-Risk (CoVaR), Macroeconomic Shock, Mixed Data Sampling (MIDAS), Quantile Regression, Systemic Risk, Wavelet Transform

4.

Vector Moving Average Threshold Heterogeneous Autoregressive (VMAT-HAR) Model

Number of pages: 26 Posted: 27 Mar 2020
Kaiji Motegi and Shigeyuki Hamori
Kobe University - Graduate School of Economics and Kobe University, Japan
Downloads 75 (676,801)

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Granger causality test, multivariate time series analysis, realized volatility, threshold autoregression (TAR), vector heterogeneous autoregression (VHAR)

5.

Calibration Estimation of Semiparametric Copula Models with Data Missing at Random

Number of pages: 51 Posted: 05 Sep 2017 Last Revised: 08 Dec 2018
Shigeyuki Hamori, Kaiji Motegi and Zheng Zhang
Kobe University, Japan, Kobe University - Graduate School of Economics and Renmin University of China - Institute of Statistics and Big Data
Downloads 73 (687,002)
Citation 2

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calibration estimation, covariate balancing, missing at random (MAR), semiparametric copula model

6.

Moving Average Threshold Heterogeneous Autoregressive (MAT-HAR) Models

Number of pages: 15 Posted: 26 Jul 2019 Last Revised: 18 Jan 2020
Kaiji Motegi, Xiaojing Cai, Shigeyuki Hamori and Haifeng Xu
Kobe University - Graduate School of Economics, Graduate School of Humanities and Sciences, Okayama University, Kobe University, Japan and Department of Statistics, School of Economics, Xiamen University and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
Downloads 63 (742,983)
Citation 4

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heterogeneous autoregression (HAR), model selection, out-of-sample forecast, threshold autoregression (TAR), time series analysis

7.

Systemic Risk and Macroeconomic Shocks: Evidence From the Crude Oil Market and G7 Countries

Number of pages: 56 Posted: 27 Nov 2018
Lu Yang, Kaiji Motegi and Shigeyuki Hamori
Zhongnan University of Economics and Law - School of Finance, Kobe University - Graduate School of Economics and Kobe University, Japan
Downloads 62 (749,138)
Citation 1

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Conditional Value-at-Risk (CoVaR), Macroeconomic Shock, Mixed Data Sampling (MIDAS), Quantile Regression, Systemic Risk, Wavelet Transform

8.

Conditional Threshold Effects of Stock Market Volatility on Crude Oil Market Volatility

Number of pages: 23 Posted: 24 Jul 2023 Last Revised: 22 Dec 2024
Kaiji Motegi and Shigeyuki Hamori
Kobe University - Graduate School of Economics and Kobe University, Japan
Downloads 47 (855,761)

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Conditional Threshold Autoregression (CoTAR), Diebold-Mariano test, good and bad volatilities, out-of-sample forecast, realized volatility

9.

How Geopolitical Crises Influence BRICS Financial Markets and Macroeconomic Growth: Insights from the Russia-Ukraine War Using GARCH-MIDAS and Quantile Regression

Number of pages: 46 Posted: 13 Dec 2024
Wenting Zhang, Shigeyuki Hamori and Xiaojing Cai
The Institute of Statistical Mathematics, Kobe University, Japan and Graduate School of Humanities and Sciences, Okayama University
Downloads 28 (1,041,305)

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Geopolitical risk, Russia-Ukraine war, BRICS, GARCH-MIDAS, Quantile Regression, Long-and short-term volatility, Macroeconomic shocks

10.

Dependence Structures and Risk Spillover in China’s Credit Bond Market: A Copula-CoVaR Approach

Journal of Asian Economics, Vol. 68, No. 101200, 2020
Posted: 16 Mar 2023
Yang Lu, Lia Yang, Kung-Cheng (恭政) Ho (何) and Shigeyuki Hamori
Independent, Independent, Zhongnan University of Economics and Law and Kobe University, Japan

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11.

Demand for Money in the Euro Area

Economic Systems, Vol. 32, No. 3, 2008
Posted: 10 Jan 2009
Shigeyuki Hamori and Naoko Hamori
Kobe University, Japan and University of Marketing and Distribution Sciences

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EU, Money demand, Panel cointegration, Monetary policy