Details about Yoshihiro Kitamura

Access statistics for papers by Yoshihiro Kitamura.

Last updated 2022-06-14. Update your information in the RePEc Author Service.

Short-id: pki246

Working Papers

2008

1. Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate
   Discussion Papers, Graduate School of Economics, Kobe University
   See also Journal Article Intraday evidence of the informational efficiency of the yen/dollar exchange rate, Applied Financial Economics, Taylor & Francis Journals (2009) View citations (2) (2009)

Journal Articles

2022

1. LSTM forecasting foreign exchange rates using limit order book
   Finance Research Letters, 2022, 47, (PA) View citations (1)

2020

2. A lesson from the four recent large public Japanese FX interventions
   Journal of the Japanese and International Economies, 2020, 57, (C)

2017

3. A stopping time approach to assessing the effectiveness of foreign exchange intervention: An application to Japanese data
   Journal of International Money and Finance, 2017, 75, (C), 32-46 View citations (5)
4. Predicting a flash crash in the yen/dollar foreign exchange market
   Applied Economics Letters, 2017, 24, (14), 987-990 View citations (2)
5. Simple measures of market efficiency: A study in foreign exchange markets
   Japan and the World Economy, 2017, 41, (C), 1-16 View citations (4)

2016

6. Does the simple microstructure model tell the time of the FX intervention? A one day analysis of the Japanese FX intervention
   Research in International Business and Finance, 2016, 36, (C), 436-446 View citations (2)
7. The probability of informed trading measured with price impact, price reversal, and volatility
   Journal of International Financial Markets, Institutions and Money, 2016, 42, (C), 77-90 View citations (2)

2015

8. A Survey on Characteristics of Japanese Academic Job Market and Evaluation
   Evaluation Review, 2015, 39, (1), 82-101

2012

9. Effect of exchange rate return on volatility spill-over across trading regions
   Japan and the World Economy, 2012, 24, (4), 254-265 View citations (7)

2011

10. The Impact of Order Flow on the Foreign Exchange Market: A Copula Approach
    Asia-Pacific Financial Markets, 2011, 18, (1), 1-31 View citations (2)

2010

11. Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets
    Research in International Business and Finance, 2010, 24, (2), 158-171 View citations (38)

2009

12. Intraday evidence of the informational efficiency of the yen/dollar exchange rate
    Applied Financial Economics, 2009, 19, (14), 1103-1115 View citations (2)
    See also Working Paper Intraday Evidence of the Informational Efficiency of the Yen/Dollar Exchange Rate, Discussion Papers (2008) (2008)
13. The current account and stock returns
    Research in International Business and Finance, 2009, 23, (3), 302-321 View citations (3)
14. The optimal exchange rate regime for a small country
    International Economics and Economic Policy, 2009, 6, (3), 315-343

2006

15. Information arrival, interest rate differentials, and yen/dollar exchange rate
    Japan and the World Economy, 2006, 18, (1), 108-119 View citations (4)