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Details about Ryuta Sakemoto

Homepage:https://sites.google.com/site/rsakemotohomepage/home
Postal address:2-15-45 Minato-ku
Workplace:Graduate School of Economics and Business Administration, Hokkaido University, (more information at EDIRC)

Access statistics for papers by Ryuta Sakemoto.

Last updated 2024-04-03. Update your information in the RePEc Author Service.

Short-id: psa1540


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Working Papers

2023

  1. Time-varying ambiguity shocks and business cycles
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads

2021

  1. Economic Evaluation of Cryptocurrency Investment
    MPRA Paper, University Library of Munich, Germany Downloads

2020

  1. The Conditional Risk and Return Trade-Off on Currency Portfolios
    MPRA Paper, University Library of Munich, Germany Downloads

2017

  1. Carry Trades and Commodity Risk Factors
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article Carry trades and commodity risk factors, Journal of International Money and Finance, Elsevier (2019) Downloads View citations (9) (2019)
  2. Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article Commodity price co-movement: heterogeneity and the time-varying impact of fundamentals, European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation (2020) Downloads View citations (6) (2020)
  3. The Time-Varying Risk Price of Currency Carry Trades
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2016

  1. Common Information in Carry Trade Risk Factors
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article Common information in carry trade risk factors, Journal of International Financial Markets, Institutions and Money, Elsevier (2018) Downloads View citations (7) (2018)

Undated

  1. Commodity Correlation Risk
    Working Papers, University of Strathclyde Business School, Department of Economics

Journal Articles

2023

  1. COVID-19 and the forward-looking stock-bond return relationship
    Applied Economics Letters, 2023, 30, (3), 297-301 Downloads
  2. Commodity momentum decomposition
    Journal of Futures Markets, 2023, 43, (2), 198-216 Downloads
  3. Do commodity factors work as inflation hedges and safe havens?
    Finance Research Letters, 2023, 58, (PD) Downloads
  4. Dynamic allocations for currency investment strategies
    The European Journal of Finance, 2023, 29, (10), 1207-1228 Downloads
  5. The long-run risk premium in the intertemporal CAPM: International evidence
    Journal of International Financial Markets, Institutions and Money, 2023, 89, (C) Downloads

2022

  1. Cryptocurrency network factors and gold
    Finance Research Letters, 2022, 46, (PB) Downloads View citations (2)
  2. Market uncertainty and correlation between Bitcoin and Ether
    Finance Research Letters, 2022, 50, (C) Downloads View citations (2)
  3. Multi‐scale inter‐temporal capital asset pricing model
    International Journal of Finance & Economics, 2022, 27, (4), 4298-4317 Downloads
  4. The time-varying risk price of currency portfolios
    Journal of International Money and Finance, 2022, 124, (C) Downloads

2021

  1. The conditional volatility premium on currency portfolios
    Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) Downloads View citations (3)

2020

  1. Commodity price co-movement: heterogeneity and the time-varying impact of fundamentals
    (Oil price shocks and the stock market: evidence from Japan)
    European Review of Agricultural Economics, 2020, 47, (2), 499-528 Downloads View citations (6)
    See also Working Paper Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals, MPRA Paper (2017) Downloads View citations (1) (2017)
  2. Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping
    Asia-Pacific Financial Markets, 2020, 27, (3), 325-342 Downloads

2019

  1. Carry trades and commodity risk factors
    Journal of International Money and Finance, 2019, 96, (C), 121-129 Downloads View citations (9)
    See also Working Paper Carry Trades and Commodity Risk Factors, MPRA Paper (2017) Downloads View citations (2) (2017)
  2. Currency carry trades and the conditional factor model
    International Review of Financial Analysis, 2019, 63, (C), 198-208 Downloads View citations (2)

2018

  1. Co-movement between equity and bond markets
    International Review of Economics & Finance, 2018, 53, (C), 25-38 Downloads View citations (7)
  2. Common information in carry trade risk factors
    Journal of International Financial Markets, Institutions and Money, 2018, 52, (C), 37-47 Downloads View citations (7)
    See also Working Paper Common Information in Carry Trade Risk Factors, MPRA Paper (2016) Downloads (2016)
  3. Do precious and industrial metals act as hedges and safe havens for currency portfolios?
    Finance Research Letters, 2018, 24, (C), 256-262 Downloads View citations (27)
  4. The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market
    Economics and Business Letters, 2018, 7, (1), 24-35 Downloads View citations (1)

2017

  1. The Nonlinear Dynamic Relationship between Stock Prices and Exchange Rates in Asian Countries
    International Journal of Financial Research, 2017, 8, (2), 40-50 Downloads
 
Page updated 2024-04-09