Tomohiro Ando

University of Melbourne - Melbourne Business School

Melbourne Business School

200 Leicester Street

Carlton, Victoria 3053 3186

Australia

  • University of Melbourne - Melbourne Business School

SCHOLARLY PAPERS

9

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73

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13

Scholarly Papers (9)

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1.

Clustering Huge Number of Financial Time Series: A Panel Data Approach with High-Dimensional Predictors and Factor Structures

28th Australasian Finance and Banking Conference
Number of pages: 41 Posted: 13 Aug 2015 Last Revised: 28 Jul 2016
Tomohiro Ando and Jushan Bai
University of Melbourne - Melbourne Business School and Columbia University
Downloads 302 (101,032)
Citation 2

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Clustering; Factor structure; Heterogeneous panel; Lasso; Serial and cross-sectional error correlations.

2.

Quantile Co-Movement in Financial Markets: A Panel Quantile Model with Unobserved Heterogeneity

30th Australasian Finance and Banking Conference 2017
Number of pages: 35 Posted: 19 Apr 2017 Last Revised: 06 Oct 2018
Tomohiro Ando and Jushan Bai
University of Melbourne - Melbourne Business School and Columbia University
Downloads 285 (107,521)
Citation 2

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Data-augmentation, Endogeneity, Heterogeneous panel, Quantile factor structure, Serial and cross-sectional correlations

3.

Panel Data Models with Grouped Factor Structure Under Unknown Group Membership

Number of pages: 64 Posted: 01 Jan 2014
Tomohiro Ando and Jushan Bai
University of Melbourne - Melbourne Business School and Columbia University
Downloads 186 (163,760)
Citation 7

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C33

4.

On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator

Number of pages: 16 Posted: 07 Dec 2017
Tomohiro Ando and Naoya Sueishi
University of Melbourne - Melbourne Business School and Kobe University - Graduate School of Economics
Downloads 65 (345,618)

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Diverging number of parameters, Penalized empirical likelihood, Sparse models

5.

Regularization Parameter Selection for Penalized Empirical Likelihood Estimator

Number of pages: 28 Posted: 23 May 2018
Tomohiro Ando and Naoya Sueishi
University of Melbourne - Melbourne Business School and Kobe University - Graduate School of Economics
Downloads 64 (348,401)

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Information Criterion, Series Estimation, Sparse Estimation

6.

Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks

Number of pages: 48 Posted: 24 Apr 2018
Tomohiro Ando, Matthew Greenwood-Nimmo and Yongcheol Shin
University of Melbourne - Melbourne Business School, University of Melbourne and University of York (UK) - Department of Economics and Related Studies
Downloads 64 (348,401)

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Network Modelling, Quantile Vector Autoregression with Common Factors, Quantile Connectedness, Financial-Sovereign Credit Risk Transmission, Tail-Dependence

7.

Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo

Tinbergen Institute Discussion Paper 12-098/III
Number of pages: 35 Posted: 27 Sep 2012
Arnold Zellner, Tomohiro Ando, Nalan Basturk, Lennart F. Hoogerheide and H. K. van Dijk
University of Chicago, Booth School of Business (Deceased), University of Melbourne - Melbourne Business School, Maastricht University - Department of Quantitative Economics, VU University Amsterdam and Tinbergen Institute
Downloads 64 (348,401)

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Instrumental variables, Bayesian inference, Direct Monte Carlo, Acceptance-Rejection, numerical standard errors

8.

A Simple New Test for Slope Homogeniety in Panel Data Models with Interactive Effects

Number of pages: 18 Posted: 22 Dec 2014
Tomohiro Ando and Jushan Bai
University of Melbourne - Melbourne Business School and Columbia University
Downloads 40 (428,216)
Citation 69

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Cross-sectional dependence, Endogenous predictors, Slope homogeneity

9.

Quantile Regression Models with Factor-Augmented Predictors and Information Criterion

The Econometrics Journal, Vol. 14, Issue 1, pp. 1-24, 2011
Number of pages: 24 Posted: 28 Feb 2011
Tomohiro Ando and Ruey S. Tsay
University of Melbourne - Melbourne Business School and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 2 (645,015)
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Abstract:

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Approximate factor models, Generated regressors, Information-theoretic approach, Panel data, Quantiles