Details about Tatsuma Wada

Access statistics for papers by Tatsuma Wada.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pwa252

Working Papers

2017

1. An Alternative Estimation Method of a Time-Varying Parameter Model
   Papers, arXiv.org View citations (2)

2016

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

2015

3. Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (2)
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2014)
   See also Journal Article Measuring business cycles with structural breaks and outliers: Applications to international data, Research in Economics, Elsevier (2016) View citations (17) (2016)
4. 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 (36) (2016)

2014

5. International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach
   Papers, arXiv.org View citations (33)
   See also Journal Article International stock market efficiency: a non-Bayesian time-varying model approach, Applied Economics, Taylor & Francis Journals (2014) View citations (33) (2014)

2011

6. On the Correlations of Trend-Cycle Errors
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article On the correlations of trend–cycle errors, Economics Letters, Elsevier (2012) View citations (2) (2012)
7. The Real Exchange Rate and Real Interest Differentials: The Role of the Trend-Cycle Decomposition
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article THE REAL EXCHANGE RATE AND REAL INTEREST DIFFERENTIALS: THE ROLE OF THE TREND-CYCLE DECOMPOSITION, Economic Inquiry, Western Economic Association International (2012) View citations (2) (2012)

2009

8. Let’s Take a Break: Trends and Cycles in US Real GDP
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (54)
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (10)
   See also Journal Article Let's take a break: Trends and cycles in US real GDP, Journal of Monetary Economics, Elsevier (2009) View citations (97) (2009)

2006

9. State Space Model with Mixtures of Normals: Specifications and Applications to International Data
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (20)

2005

10. An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (5)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (4)
11. Trend and Cycles: A New Approach and Explanations of Some Old Puzzles
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (9)

Journal Articles

2022

1. An Alternative Estimation Method for Time-Varying Parameter Models
   Econometrics, 2022, 10, (2), 1-27
2. Out-of-sample forecasting of foreign exchange rates: The band spectral regression and LASSO
   Journal of International Money and Finance, 2022, 128, (C) View citations (1)

2021

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

2016

4. Measuring business cycles with structural breaks and outliers: Applications to international data
   Research in Economics, 2016, 70, (2), 281-303 View citations (17)
   See also Working Paper Measuring Business Cycles with Structural Breaks and Outliers: Applications to International Data, Boston University - Department of Economics - Working Papers Series (2015) View citations (2) (2015)
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 (36)
   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)

2015

6. Asymmetries in the response of economic activity to oil price increases and decreases?
   Journal of International Money and Finance, 2015, 50, (C), 108-133 View citations (86)

2014

7. International stock market efficiency: a non-Bayesian time-varying model approach
   Applied Economics, 2014, 46, (23), 2744-2754 View citations (33)
   See also Working Paper International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach, Papers (2014) View citations (33) (2014)
8. THE ROLE OF TRANSITORY AND PERSISTENT SHOCKS IN THE CONSUMPTION CORRELATION AND INTERNATIONAL COMOVEMENT PUZZLES
   Macroeconomic Dynamics, 2014, 18, (6), 1234-1270 View citations (2)

2012

9. On the correlations of trend–cycle errors
   Economics Letters, 2012, 116, (3), 396-400 View citations (2)
   See also Working Paper On the Correlations of Trend-Cycle Errors, MPRA Paper (2011) (2011)
10. THE REAL EXCHANGE RATE AND REAL INTEREST DIFFERENTIALS: THE ROLE OF THE TREND-CYCLE DECOMPOSITION
    Economic Inquiry, 2012, 50, (4), 968-987 View citations (2)
    See also Working Paper The Real Exchange Rate and Real Interest Differentials: The Role of the Trend-Cycle Decomposition, MPRA Paper (2011) (2011)

2011

11. OIL PRICE SHOCKS AND INDUSTRIAL PRODUCTION: IS THE RELATIONSHIP LINEAR?
    Macroeconomic Dynamics, 2011, 15, (S3), 472-497 View citations (145)

2009

12. Let's take a break: Trends and cycles in US real GDP
    Journal of Monetary Economics, 2009, 56, (6), 749-765 View citations (97)
    See also Working Paper Let’s Take a Break: Trends and Cycles in US Real GDP, Boston University - Department of Economics - Working Papers Series (2009) View citations (54) (2009)