Working Paper:
"Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models," with Akihiko Noda [arXiv:2601.21272]. [Old Version]
"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:
"Optimal Portfolio Selection Considering Dynamic Covariance Structures: Some Evidence from Japan"