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Details about Tomohiro Ando

Homepage:https://findanexpert.unimelb.edu.au/profile/757679-tomohiro-ando
Workplace:Melbourne Business School, University of Melbourne, (more information at EDIRC)

Access statistics for papers by Tomohiro Ando.

Last updated 2023-09-08. Update your information in the RePEc Author Service.

Short-id: pan527


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Working Papers

2021

  1. Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity
    MPRA Paper, University Library of Munich, Germany Downloads

2019

  1. A Quantile-based Asset Pricing Model
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads

2018

  1. Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity, Journal of the American Statistical Association, Taylor & Francis Journals (2020) Downloads View citations (34) (2020)

2014

  1. A simple new test for slope homogeneity in panel data models with interactive effects
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article A simple new test for slope homogeneity in panel data models with interactive effects, Economics Letters, Elsevier (2015) Downloads View citations (17) (2015)

2013

  1. Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Panel data models with grouped factor structure under unknown group membership
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)
    See also Journal Article Panel Data Models with Grouped Factor Structure Under Unknown Group Membership, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) Downloads View citations (59) (2016)

2012

  1. Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    See also Journal Article Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo, Econometric Reviews, Taylor & Francis Journals (2014) Downloads View citations (17) (2014)

2011

  1. Instrumental Variables, Errors in Variables, and Simultaneous Equations Models: Applicability and Limitations of Direct Monte Carlo
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

Journal Articles

2023

  1. A spatial panel quantile model with unobserved heterogeneity
    Journal of Econometrics, 2023, 232, (1), 191-213 Downloads View citations (1)
  2. Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity
    Journal of Business & Economic Statistics, 2023, 41, (3), 983-994 Downloads

2022

  1. Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
    Journal of Econometrics, 2022, 230, (1), 20-38 Downloads View citations (1)
  2. Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks
    Management Science, 2022, 68, (4), 2401-2431 Downloads View citations (72)

2020

  1. Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
    Journal of the American Statistical Association, 2020, 115, (529), 266-279 Downloads View citations (34)
    See also Working Paper Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity, MPRA Paper (2018) Downloads View citations (1) (2018)

2019

  1. Regularization parameter selection for penalized empirical likelihood estimator
    Economics Letters, 2019, 178, (C), 1-4 Downloads View citations (1)

2018

  1. Merchant selection and pricing strategy for a platform firm in the online group buying market
    Annals of Operations Research, 2018, 263, (1), 209-230 Downloads View citations (3)
  2. Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency
    Econometric Reviews, 2018, 37, (3), 183-211 Downloads View citations (1)
  3. Stock return predictability: A factor-augmented predictive regression system with shrinkage method
    Econometric Reviews, 2018, 37, (1), 29-60 Downloads View citations (8)

2017

  1. Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures
    Journal of the American Statistical Association, 2017, 112, (519), 1182-1198 Downloads View citations (58)

2016

  1. Panel Data Models with Grouped Factor Structure Under Unknown Group Membership
    Journal of Applied Econometrics, 2016, 31, (1), 163-191 Downloads View citations (59)
    See also Working Paper Panel data models with grouped factor structure under unknown group membership, MPRA Paper (2013) Downloads View citations (9) (2013)

2015

  1. A simple new test for slope homogeneity in panel data models with interactive effects
    Economics Letters, 2015, 136, (C), 112-117 Downloads View citations (17)
    See also Working Paper A simple new test for slope homogeneity in panel data models with interactive effects, MPRA Paper (2014) Downloads View citations (2) (2014)
  2. Asset Pricing with a General Multifactor Structure
    Journal of Financial Econometrics, 2015, 13, (3), 556-604 Downloads View citations (34)

2014

  1. A Model-Averaging Approach for High-Dimensional Regression
    Journal of the American Statistical Association, 2014, 109, (505), 254-265 Downloads View citations (48)
  2. A Predictive Approach for Selection of Diffusion Index Models
    Econometric Reviews, 2014, 33, (1-4), 68-99 Downloads View citations (2)
  3. Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
    Econometric Reviews, 2014, 33, (1-4), 3-35 Downloads View citations (17)
    See also Working Paper Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo, Tinbergen Institute Discussion Papers (2012) Downloads View citations (3) (2012)
  4. Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates
    Journal of the Operational Research Society, 2014, 65, (3), 454-465 Downloads View citations (2)

2012

  1. Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market
    Computational Statistics & Data Analysis, 2012, 56, (11), 3345-3365 Downloads View citations (5)
  2. Oil and metal price movements and BRIC macro-economy: an empirical analysis
    International Journal of Business and Globalisation, 2012, 8, (2), 187-206 Downloads View citations (3)

2011

  1. Quantile regression models with factor‐augmented predictors and information criterion
    Econometrics Journal, 2011, 14, 1-24 Downloads View citations (24)
    Also in Econometrics Journal, 2011, 14, (1), 1-24 (2011) Downloads View citations (26)

2010

  1. A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model
    Journal of Econometrics, 2010, 159, (1), 33-45 Downloads View citations (30)
  2. Bayesian and non-Bayesian analysis of the seemingly unrelated regression model with Student-t errors, and its application for forecasting
    International Journal of Forecasting, 2010, 26, (2), 413-434 Downloads View citations (6)
  3. Predictive likelihood for Bayesian model selection and averaging
    International Journal of Forecasting, 2010, 26, (4), 744-763 Downloads View citations (4)
  4. Rejoinder
    International Journal of Forecasting, 2010, 26, (2), 439-442 Downloads View citations (1)

2009

  1. Bayesian factor analysis with fat-tailed factors and its exact marginal likelihood
    Journal of Multivariate Analysis, 2009, 100, (8), 1717-1726 Downloads View citations (4)
  2. Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criteria
    Computational Statistics & Data Analysis, 2009, 53, (6), 1925-1939 Downloads
  3. Bayesian portfolio selection using a multifactor model
    International Journal of Forecasting, 2009, 25, (3), 550-566 Downloads View citations (3)
  4. Model selection for generalized linear models with factor‐augmented predictors
    Applied Stochastic Models in Business and Industry, 2009, 25, (3), 207-235 Downloads
    Also in Applied Stochastic Models in Business and Industry, 2009, 25, (3), 243-246 (2009) Downloads View citations (1)
  5. Nonlinear logistic discrimination via regularized radial basis functions for classifying high-dimensional data
    Annals of the Institute of Statistical Mathematics, 2009, 61, (2), 331-353 Downloads

2008

  1. Measuring the baseline sales and the promotion effect for incense products: a Bayesian state-space modeling approach
    Annals of the Institute of Statistical Mathematics, 2008, 60, (4), 763-780 Downloads View citations (2)

2007

  1. Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models
    Biometrika, 2007, 94, (2), 443-458 Downloads View citations (30)

2004

  1. Bayesian information criteria and smoothing parameter selection in radial basis function networks
    Biometrika, 2004, 91, (1), 27-43 View citations (13)
 
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