Ryuta Sakemoto

Okayama University

１-１-１ Tsushimanaka, Kita Ward

Okayama , 700-0082

Japan

Keio University

2-15-45 Mita

Minato-ku

Tokyo, 108-8345

Japan

SCHOLARLY PAPERS

26

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4,240

SSRN CITATIONS
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SSRN RANKINGS

Top 44,714

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15

CROSSREF CITATIONS

2

Scholarly Papers (26)

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1.

Dynamic Allocations for Currency Investment Strategies

The European Journal of Finance, forthcoming https://doi.org/10.1080/1351847X.2022.2100715
Number of pages: 73 Posted: 15 Apr 2022 Last Revised: 08 Aug 2022
Kei Nakagawa and Ryuta Sakemoto
Nomura Asset Mamagement Co,Ltd and Okayama University
Downloads 836 (49,201)

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Currency portfolio, Out-of-sample predictability, Economic value, Portfolio optimization, Risk diversification

2.

Market Uncertainty and Correlation Between Bitcoin and Ether

Finance Research Letters, Volume 50, December 2022, 103216 https://www.sciencedirect.com/science/article/abs/pii/S1544612322004214
Number of pages: 27 Posted: 02 May 2022 Last Revised: 30 Aug 2022
Kei Nakagawa and Ryuta Sakemoto
Nomura Asset Mamagement Co,Ltd and Okayama University
Downloads 609 (74,524)
Citation 1

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VIX, ADCC GARCH, Cryptocurrencies, Gold, Quantile regression

3.

Commodity Momentum Decomposition

Journal of Futures Markets, Forthcoming, https://doi.org/10.1002/fut.22382
Number of pages: 56 Posted: 04 Aug 2022 Last Revised: 03 Oct 2022
Yasuhiro Iwanaga and Ryuta Sakemoto
Hakuoh University and Okayama University
Downloads 496 (96,254)

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Commodity futures, Momentum, Decomposition

4.

Cryptocurrency Network Factors and Gold

Forthcoming, Kei Nakagawa,Ryuta Sakemoto,Financial Research Letters,https://doi.org/10.1016/j.frl.2021.102375
Number of pages: 25 Posted: 18 May 2021 Last Revised: 30 Aug 2022
Kei Nakagawa and Ryuta Sakemoto
Nomura Asset Mamagement Co,Ltd and Okayama University
Downloads 269 (189,424)
Citation 1

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Gold, Precious metals, Network factors, Cryptocurrencies, Machine learning

5.

Macro factors in the returns on cryptocurrencies

Applied Finance Letters
Number of pages: 22 Posted: 02 Feb 2021 Last Revised: 06 Dec 2022
Kei Nakagawa and Ryuta Sakemoto
Nomura Asset Mamagement Co,Ltd and Okayama University
Downloads 258 (197,481)

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Cryptocurrencies, Macroeconomic Factor, Factor Model

6.

Conditional Currency Momentum Portfolios

Number of pages: 60 Posted: 17 Apr 2023
Yasuhiro Iwanaga and Ryuta Sakemoto
Hakuoh University and Okayama University
Downloads 234 (217,244)

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currency portfolio, momentum, volatility, return dispersion, average forward discount

7.

Common Information in Carry Trade Risk Factors

Number of pages: 32 Posted: 02 Dec 2016
Joseph Byrne, Boulis Maher Ibrahim and Ryuta Sakemoto
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Heriot Watt University and Okayama University
Downloads 180 (276,380)
Citation 2

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Currency Carry Trade, Risk Factor, Principal Components, Fama-MacBeth

8.

Risk Aversion and Cryptocurrency Price Prediction

Number of pages: 64 Posted: 06 Nov 2020 Last Revised: 11 Feb 2022
Ryuta Sakemoto
Okayama University
Downloads 154 (315,765)

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Cryptocurrency, Bitcoin, Portfolio evaluation, Forecast model, Risk aversion

9.

What is a Hedge or Safe Haven Asset for Bitcoin Investors?

Number of pages: 4 Posted: 07 May 2019 Last Revised: 05 Jun 2019
Ryuta Sakemoto, Alden Ho and Yoshihiko Ichikawa
Okayama University, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 116 (392,544)

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Bitcoin, Hedge, Safe Haven, GARCH

10.

Co-Movement between Equity and Bond Markets

Number of pages: 28 Posted: 28 Sep 2017
Ryuta Sakemoto
Okayama University
Downloads 113 (400,178)

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Equity-bond co-movement, Market Uncertainty, International market, Market integration, Flight-to-quality

11.

Currency Carry Trades and the Conditional Factor Model

Number of pages: 53 Posted: 30 Jul 2018 Last Revised: 29 Mar 2019
Ryuta Sakemoto
Okayama University
Downloads 104 (424,624)
Citation 1

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Currency Carry Trades, Conditional Factor Model, Nonparametric Estimator, Time-Varying Beta

12.

The Long-Run Risk Premium in the ICAPM: International Evidence

Number of pages: 81 Posted: 17 Mar 2022 Last Revised: 08 Apr 2023
Ryuta Sakemoto
Okayama University
Downloads 100 (436,419)

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ICAPM, long-run risk, value anomalies, factor models, COVID-19, DCC-MIDAS

13.

Carry Trades and Commodity Risk Factors

Number of pages: 47 Posted: 05 Jun 2019
Joseph Byrne, Boulis Maher Ibrahim and Ryuta Sakemoto
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Heriot Watt University and Okayama University
Downloads 99 (439,385)

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Currency Carry Trade, Commodity price, Factor Model, Hierarchical Model, Emerging Currencies

14.

The Time-Varying Risk Price of Currency Portfolios

Journal of International Money and Finance, Forthcoming
Number of pages: 54 Posted: 11 Oct 2021 Last Revised: 26 Aug 2022
Joseph Byrne, Boulis Maher Ibrahim and Ryuta Sakemoto
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, Heriot Watt University and Okayama University
Downloads 89 (470,462)

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Currency Carry Trades, Risk Price, Time-varying Betas, Factor Model, Nonparametric Model.

15.

The Conditional Volatility Premium on Currency Portfolios

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 67 Posted: 24 Aug 2018 Last Revised: 25 Aug 2021
Joseph Byrne and Ryuta Sakemoto
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Okayama University
Downloads 82 (494,504)

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Systematic Risk; Currency Carry Trade; Momentum; Value; Conditional Factor Model; Currency Variability

16.

Risk Price Decomposition and the Output Gap

Number of pages: 89 Posted: 21 Nov 2022 Last Revised: 27 Jun 2023
Ryuta Sakemoto
Okayama University
Downloads 78 (509,225)

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Time-varying model, Business cycles, Output gap, Risk factors, Momentum

17.

Do Precious and Industrial Metals Act as Hedges and Safe Havens for Currency Portfolios?

Number of pages: 25 Posted: 28 Sep 2017
Ryuta Sakemoto
Okayama University
Downloads 58 (595,216)
Citation 3

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Metals, Currency, Carry Trade, Hedge, Safe Haven

18.

El Niño and commodity prices: New findings from partial wavelet coherence analysis

Number of pages: 49 Posted: 06 Apr 2022
Xiaojing Cai and Ryuta Sakemoto
Graduate School of Humanities and Sciences, Okayama University and Okayama University
Downloads 56 (605,294)

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Climate risk, Commodity prices, Partial wavelet coherence, El Niño

19.

Multiscale Intertemporal Capital Asset Pricing Model

International Journal of Finance & Economics, forthcoming https://doi.org/10.1002/ijfe.2372
Number of pages: 53 Posted: 09 Jan 2021 Last Revised: 08 Aug 2022
Ryuta Sakemoto
Okayama University
Downloads 56 (605,294)

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ICAPM, wavelet, risk factor, investment horizon, risk-aversion

20.

Commodity Correlation Risk

Number of pages: 52 Posted: 15 Nov 2022
Joseph Byrne and Ryuta Sakemoto
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Okayama University
Downloads 54 (615,559)

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Primary Commodity Returns; Commodity Correlation Risk; Commodity Comovement

21.

The Nonlinear Dynamic Relationship between Stock Prices and Exchange Rates in Asian Countries

International Journal of Financial Research, Vol. 8, No. 2, 2017
Number of pages: 11 Posted: 29 Sep 2017
Ryuta Sakemoto
Okayama University
Downloads 51 (631,602)

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Financial Crisis, Causality Test, Nonparametric Method, Nonlinearities, Volatility Effect

22.

The Intertemporal Relation between Expected Returns and Conditional Correlations between Precious Metals and the Stock Market

Number of pages: 16 Posted: 24 May 2018
Ryuta Sakemoto
Okayama University
Downloads 46 (659,819)
Citation 1

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Gold, Silver, Precious Metals, Quantile Regression, Dynamic Conditional Correlation

23.

COVID-19 and the Forward-Looking Stock-Bond Return Relationship

Number of pages: 22 Posted: 07 Apr 2021
Xiaojing Cai, Yingnan Cong and Ryuta Sakemoto
Graduate School of Humanities and Sciences, Okayama University, China University of Political Science and Law and Okayama University
Downloads 42 (684,013)
Citation 1

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Forward-looking stock-bond correlations; COVID-19; DCC-GARCH

24.

Time-Varying Ambiguity Shocks and Business Cycles

Number of pages: 47 Posted: 27 Aug 2023
Takao Asano, Xiaojing Cai and Ryuta Sakemoto
Okayama University, Graduate School of Humanities and Sciences, Okayama University and Okayama University
Downloads 35 (730,692)

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Ambiguity; Risk premiums; Uncertainty; TVP-VAR

25.

COVID-19 and the Forward-Looking Stock-Bond Return Relationship (Online Supplement)

Number of pages: 13 Posted: 27 Sep 2021
Xiaojing Cai, Yingnan Cong and Ryuta Sakemoto
Graduate School of Humanities and Sciences, Okayama University, China University of Political Science and Law and Okayama University
Downloads 24 (815,945)

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26.

Do commodity factors work as inflation hedges and safe havens?

Number of pages: 34
Kei Nakagawa and Ryuta Sakemoto
Nomura Asset Mamagement Co,Ltd and Okayama University
Downloads 1

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commodity futures; factor investment; hedge; safe haven; inflation