Details about Ryuta Sakemoto

Access statistics for papers by Ryuta Sakemoto.

Last updated 2025-04-07. Update your information in the RePEc Author Service.

Short-id: psa1540

Working Papers

2023

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

2021

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

2020

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

2017

4. Carry Trades and Commodity Risk Factors
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article Carry trades and commodity risk factors, Journal of International Money and Finance, Elsevier (2019) View citations (13) (2019)
5. Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals
   MPRA Paper, University Library of Munich, Germany 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) View citations (7) (2020)
6. The Time-Varying Risk Price of Currency Carry Trades
   MPRA Paper, University Library of Munich, Germany View citations (1)

2016

7. Common Information in Carry Trade Risk Factors
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Common information in carry trade risk factors, Journal of International Financial Markets, Institutions and Money, Elsevier (2018) View citations (8) (2018)

Undated

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

Journal Articles

2025

1. Conditional currency momentum portfolios
   International Review of Financial Analysis, 2025, 99, (C)
2. Risk price decomposition and the output gap
   The Financial Review, 2025, 60, (1), 121-146
3. Time‐varying group common factors in the stock market anomalies
   The Financial Review, 2025, 60, (2), 481-507
4. USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras
   Journal of Futures Markets, 2025, 45, (3), 208-223

2024

5. Commodity sectors and factor investment strategies
   International Review of Financial Analysis, 2024, 95, (PC)
6. Cross-momentum strategies in the equity futures and currency markets
   Journal of International Money and Finance, 2024, 148, (C)
7. Currency portfolios and global foreign exchange ambiguity
   Finance Research Letters, 2024, 65, (C)

2023

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

2022

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

2021

17. The conditional volatility premium on currency portfolios
    Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) View citations (4)

2020

18. 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 View citations (7)
    See also Working Paper Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals, MPRA Paper (2017) View citations (1) (2017)
19. Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping
    Asia-Pacific Financial Markets, 2020, 27, (3), 325-342

2019

20. Carry trades and commodity risk factors
    Journal of International Money and Finance, 2019, 96, (C), 121-129 View citations (13)
    See also Working Paper Carry Trades and Commodity Risk Factors, MPRA Paper (2017) View citations (2) (2017)
21. Currency carry trades and the conditional factor model
    International Review of Financial Analysis, 2019, 63, (C), 198-208 View citations (3)

2018

22. Co-movement between equity and bond markets
    International Review of Economics & Finance, 2018, 53, (C), 25-38 View citations (7)
23. Common information in carry trade risk factors
    Journal of International Financial Markets, Institutions and Money, 2018, 52, (C), 37-47 View citations (8)
    See also Working Paper Common Information in Carry Trade Risk Factors, MPRA Paper (2016) (2016)
24. Do precious and industrial metals act as hedges and safe havens for currency portfolios?
    Finance Research Letters, 2018, 24, (C), 256-262 View citations (33)
25. 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 View citations (1)

2017

26. The Nonlinear Dynamic Relationship between Stock Prices and Exchange Rates in Asian Countries
    International Journal of Financial Research, 2017, 8, (2), 40-50