Working Paper:
"A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors," with Akihiko Noda [arXiv:2503.13950], submitted.
"Time Instability of the Fama-French Multi-Factor Models: An International Evidence," with Akihiko Noda [arXiv:2208.01270].
"On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices," with Akihiko Noda [arXiv:2305.05998] [Technical Appendix].
Work in Progress:
"Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models," with Akihiko Noda
"Optimal Portfolio Selection Considering Dynamic Covariance Structures: Some Evidence from Japan"