Details about Mikio Ito

Access statistics for papers by Mikio Ito.

Last updated 2022-04-29. Update your information in the RePEc Author Service.

Short-id: pit28

Working Papers

2022

1. Detecting Structural Breaks in Foreign Exchange Markets by using the group LASSO technique
   Papers, arXiv.org View citations (1)

2018

2. Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939
   Papers, arXiv.org

2017

3. An Alternative Estimation Method of a Time-Varying Parameter Model
   Papers, arXiv.org View citations (2)
4. Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets
   Papers, arXiv.org View citations (1)
   See also Journal Article Market efficiency and government interventions in prewar Japanese rice futures markets, Financial History Review, Cambridge University Press (2016) View citations (3) (2016)
5. Market Integration in the Prewar Japanese Rice Markets
   Papers, arXiv.org View citations (1)
6. The Futures Premium and Rice Market Efficiency in Prewar Japan
   Papers, arXiv.org View citations (4)
   See also Journal Article The futures premium and rice market efficiency in prewar Japan, Economic History Review, Economic History Society (2018) View citations (3) (2018)

2016

7. Time-Varying Comovement of Foreign Exchange Markets
   Papers, arXiv.org View citations (1)

2015

8. The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach
   Papers, arXiv.org View citations (3)
   See also Journal Article The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach, Applied Economics, Taylor & Francis Journals (2016) View citations (37) (2016)

2014

9. International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
   Papers, arXiv.org View citations (34)
   See also Journal Article International stock market efficiency: a non-Bayesian time-varying model approach, Applied Economics, Taylor & Francis Journals (2014) View citations (34) (2014)

2010

10. The GEL Estimates Resolve the Risk-free Rate Puzzle in Japan
    Keio/Kyoto Joint Global COE Discussion Paper Series, Keio/Kyoto Joint Global COE Program
    See also Journal Article The GEL estimates resolve the risk-free rate puzzle in Japan, Applied Financial Economics, Taylor & Francis Journals (2012) (2012)

Journal Articles

2022

1. An Alternative Estimation Method for Time-Varying Parameter Models
   Econometrics, 2022, 10, (2), 1-27 View citations (1)

2021

2. Time-Varying Comovement of Foreign Exchange Markets: A GLS-Based Time-Varying Model Approach
   Mathematics, 2021, 9, (8), 1-13 View citations (1)

2018

3. The futures premium and rice market efficiency in prewar Japan
   Economic History Review, 2018, 71, (3), 909-937 View citations (3)
   See also Working Paper The Futures Premium and Rice Market Efficiency in Prewar Japan, Papers (2017) View citations (4) (2017)

2016

4. Market efficiency and government interventions in prewar Japanese rice futures markets
   Financial History Review, 2016, 23, (3), 325-346 View citations (3)
   See also Working Paper Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets, Papers (2017) View citations (1) (2017)
5. The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach
   Applied Economics, 2016, 48, (7), 621-635 View citations (37)
   See also Working Paper The Evolution of Stock Market Efficiency in the US: A Non-Bayesian Time-Varying Model Approach, Papers (2015) View citations (3) (2015)

2014

6. International stock market efficiency: a non-Bayesian time-varying model approach
   Applied Economics, 2014, 46, (23), 2744-2754 View citations (34)
   See also Working Paper International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach, Papers (2014) View citations (34) (2014)

2012

7. The GEL estimates resolve the risk-free rate puzzle in Japan
   Applied Financial Economics, 2012, 22, (5), 365-374
   See also Working Paper The GEL Estimates Resolve the Risk-free Rate Puzzle in Japan, Keio/Kyoto Joint Global COE Discussion Paper Series (2010) (2010)

2009

8. Measuring the degree of time varying market inefficiency
   Economics Letters, 2009, 103, (1), 62-64 View citations (65)