Details about Tomohiro Ando

Access statistics for papers by Tomohiro Ando.

Last updated 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pan527

Working Papers

2024

1. Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network
   Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston
   See also Journal Article Scenario-based quantile connectedness of the U.S. interbank liquidity risk network, Journal of Econometrics, Elsevier (2024) (2024)

2021

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

2019

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

2018

4. Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity
   MPRA Paper, University Library of Munich, Germany 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) View citations (42) (2020)

2014

5. A simple new test for slope homogeneity in panel data models with interactive effects
   MPRA Paper, University Library of Munich, Germany 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) View citations (20) (2015)

2013

6. 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 View citations (1)
7. Panel data models with grouped factor structure under unknown group membership
   MPRA Paper, University Library of Munich, Germany 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) View citations (67) (2016)

2012

8. Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
   Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (17) (2014)

2011

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

Journal Articles

2024

1. Scenario-based quantile connectedness of the U.S. interbank liquidity risk network
   Journal of Econometrics, 2024, 244, (2)
   See also Working Paper Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network, Supervisory Research and Analysis Working Papers (2024) (2024)

2023

2. A spatial panel quantile model with unobserved heterogeneity
   Journal of Econometrics, 2023, 232, (1), 191-213 View citations (4)
3. Large-Scale Generalized Linear Models for Longitudinal Data with Grouped Patterns of Unobserved Heterogeneity
   Journal of Business & Economic Statistics, 2023, 41, (3), 983-994 View citations (3)

2022

4. Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
   Journal of Econometrics, 2022, 230, (1), 20-38 View citations (2)
5. Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks
   Management Science, 2022, 68, (4), 2401-2431 View citations (212)

2020

6. Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
   Journal of the American Statistical Association, 2020, 115, (529), 266-279 View citations (42)
   See also Working Paper Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity, MPRA Paper (2018) View citations (1) (2018)

2019

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

2018

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

2017

11. 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 View citations (65)

2016

12. Panel Data Models with Grouped Factor Structure Under Unknown Group Membership
    Journal of Applied Econometrics, 2016, 31, (1), 163-191 View citations (67)
    See also Working Paper Panel data models with grouped factor structure under unknown group membership, MPRA Paper (2013) View citations (9) (2013)

2015

13. A simple new test for slope homogeneity in panel data models with interactive effects
    Economics Letters, 2015, 136, (C), 112-117 View citations (20)
    See also Working Paper A simple new test for slope homogeneity in panel data models with interactive effects, MPRA Paper (2014) View citations (2) (2014)
14. Asset Pricing with a General Multifactor Structure
    Journal of Financial Econometrics, 2015, 13, (3), 556-604 View citations (36)

2014

15. A Model-Averaging Approach for High-Dimensional Regression
    Journal of the American Statistical Association, 2014, 109, (505), 254-265 View citations (53)
16. A Predictive Approach for Selection of Diffusion Index Models
    Econometric Reviews, 2014, 33, (1-4), 68-99 View citations (2)
17. Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
    Econometric Reviews, 2014, 33, (1-4), 3-35 View citations (17)
    See also Working Paper Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo, Tinbergen Institute Discussion Papers (2012) View citations (3) (2012)
18. 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 View citations (2)

2012

19. 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 View citations (5)
20. Oil and metal price movements and BRIC macro-economy: an empirical analysis
    International Journal of Business and Globalisation, 2012, 8, (2), 187-206 View citations (3)

2011

21. Quantile regression models with factor‐augmented predictors and information criterion
    Econometrics Journal, 2011, 14, (1), 1-24 View citations (30)
    Also in Econometrics Journal, 2011, 14, 1-24 (2011) View citations (28)

2010

22. A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model
    Journal of Econometrics, 2010, 159, (1), 33-45 View citations (31)
23. 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 View citations (6)
24. Predictive likelihood for Bayesian model selection and averaging
    International Journal of Forecasting, 2010, 26, (4), 744-763 View citations (4)
25. Rejoinder
    International Journal of Forecasting, 2010, 26, (2), 439-442 View citations (1)

2009

26. Bayesian factor analysis with fat-tailed factors and its exact marginal likelihood
    Journal of Multivariate Analysis, 2009, 100, (8), 1717-1726 View citations (4)
27. Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criteria
    Computational Statistics & Data Analysis, 2009, 53, (6), 1925-1939
28. Bayesian portfolio selection using a multifactor model
    International Journal of Forecasting, 2009, 25, (3), 550-566 View citations (3)
29. Model selection for generalized linear models with factor‐augmented predictors
    Applied Stochastic Models in Business and Industry, 2009, 25, (3), 207-235
    Also in Applied Stochastic Models in Business and Industry, 2009, 25, (3), 243-246 (2009) View citations (1)
30. 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

2008

31. 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 View citations (3)

2007

32. Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models
    Biometrika, 2007, 94, (2), 443-458 View citations (31)

2004

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