Tatsuyoshi Okimoto

Australian National University

Canberra, Australian Capital Territory 2601

Australia

SCHOLARLY PAPERS

6

DOWNLOADS

231

SSRN CITATIONS
Rank 41,378

SSRN RANKINGS

Top 41,378

in Total Papers Citations

10

CROSSREF CITATIONS

5

Scholarly Papers (6)

Increasing Trends in the Excess Comovement of Commodity Prices

CAMA Working Paper No. 9/2016
Number of pages: 38 Posted: 15 Feb 2016
Kazuhiko Ohashi and Tatsuyoshi Okimoto
Hitotsubashi University - Graduate School of International Corporate Strategy and Australian National University
Downloads 42 (458,274)

Abstract:

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excess comovement, commodity return, time-varying correlation, smooth transition, regime change, financialization

Increasing Trends in the Excess Comovement of Commodity Prices

Journal of Commodity Markets, Vol. 1, No. 1, 2016, AJRC Working Paper 01/2016 April 2016, ISBN 978-0-86413-015-0
Number of pages: 39 Posted: 03 Aug 2017
Kazuhiko Ohashi and Tatsuyoshi Okimoto
Hitotsubashi University - Graduate School of International Corporate Strategy and Australian National University
Downloads 26 (541,026)
Citation 1

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Excess comovement, commodity return, time-varying correlation, DCC, smooth transition, regime change, financialization

Asymmetric Increasing Trends in Dependence in International Equity Markets

CAMA Working Paper No. 44/2014
Number of pages: 39 Posted: 31 May 2014 Last Revised: 16 Jun 2014
Tatsuyoshi Okimoto
Australian National University
Downloads 47 (437,311)

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Smooth transition model, Copula, Spearman's rho, Tail dependence

Asymmetric Increasing Trends in Dependence in International Equity Markets

AJRC Working Paper 05/2014, Journal of Banking and Finance, Vol. 46, 2014
Number of pages: 38 Posted: 27 Jul 2017
Tatsuyoshi Okimoto
Australian National University
Downloads 7 (676,959)
Citation 1

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Smooth Transition Model, Copula, Spearman's Rho, Tail Dependence

3.

The Term Structure of Credit Spreads and Business Cycle in Japan

AJRC Working Paper No. 3, May 2016. Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University
Number of pages: 30 Posted: 15 Jun 2016
Tatsuyoshi Okimoto and Sumiko Takaoka
Australian National University and Seikei University - Faculty of Economics
Downloads 41 (453,189)

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Business cycle; corporate bond spreads; government bond yields; Markov-switching model

4.
Downloads 31 (498,450)
Citation 1

Fiscal Sustainability in Japan

Asia & the Pacific Policy Studies, Volume 3, Issue 2, pages 235-243, May 2016, Crawford School of Public Policy, The Australian National University
Number of pages: 9 Posted: 13 Jul 2016
Shiro Patrick Armstrong and Tatsuyoshi Okimoto
Australian National University (ANU) - Crawford School of Public Policy and Australian National University
Downloads 16 (609,548)

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intergenerational, fiscal policy, Japan, tax policy, Japanese government bonds

Fiscal Sustainability in Japan

AJRC Working Paper No. 2, May 2016. Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University
Number of pages: 14 Posted: 15 Jun 2016
Shiro Patrick Armstrong and Tatsuyoshi Okimoto
Australian National University (ANU) - Crawford School of Public Policy and Australian National University
Downloads 15 (616,747)

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Japanese government debt; fiscal sustainability; debt to GDP ratio; fiscal consolidation

Sources of Variation in Holding Returns for Fed Funds Futures Contracts

FRB Atlanta CQER Working Paper No. 09-03
Number of pages: 33 Posted: 22 Mar 2015
James D. Hamilton and Tatsuyoshi Okimoto
University of California at San Diego and Australian National University
Downloads 15 (616,747)
Citation 3

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federal funds, futures, monetary policy, Markov switching

6.

Trends in Stock-Bond Correlations

AJRC Working Paper 03/2015, October 2015, ISBN 978-0-86413-014-3
Number of pages: 32 Posted: 03 Aug 2017
Tatsuyoshi Okimoto and Harumi Ohmi
Australian National University and Mizuho Financial Group
Downloads 22 (549,726)
Citation 1

Abstract:

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Comovement, flight-to-quality, diversification effect, smooth transition