working papers

〇Commodity Sectors and Factor Investment Strategies (with Kei Nakagawa)

（June, 2024）

Conditional accept at  International Review of Financial Analysis 

〇Term Structures of Volatility Risk Premiums in the USD Interest Rate Swaption Market During the Unconventional Monetary Policy and Pandemic Eras (with Hiroaki Shirokawa, Kohei Yamaguchi, and Takahiro Obata) (March, 2024)

Revise and Resubmit at  Journal of Futures Markets

〇Commodity Correlation Risk (with Joseph P. Byrne) (March, 2024)

Revise and Resubmit at  Journal of Commodity Markets

〇Time-varying group common factors in the stock market anomalies （July, 2024）

Revise and Resubmit at  Financial Review

〇Cross-momentum strategies in the equity futures and currency markets （with Yasuhiro Iwanaga）(April, 2024)

〇Conditional currency momentum portfolios  （with Yasuhiro Iwanaga）(April, 2024)

〇Time-varying ambiguity shocks and business cycles（with Takao Asano and Xiaojing Cai）(June 2023)