| FullText URL | fulltext.pdf |
|---|---|
| Author | Sakemoto, Ryuta| |
| Keywords | ICAPM investment horizon risk factor risk‐aversion wavelet |
| Note | This is the peer reviewed version of the following article: Ryuta Sakemoto Multi‐scale inter‐temporal capital asset pricing model. International Journal of Finance and Economics, which has been published in final form at https://doi.org/10.1002/ijfe.2372. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.| |
| Published Date | 2020-12-07 |
| Publication Title | International Journal of Finance and Economics |
| Volume | volume27 |
| Publisher | Wiley |
| Start Page | 4298 |
| End Page | 4317 |
| ISSN | 1076-9307 |
| NCID | AA11086772 |
| Content Type | Journal Article |
| language | English |
| OAI-PMH Set | 岡山大学 |
| File Version | author |
| DOI | 10.1002/ijfe.2372 |
| Web of Science KeyUT | 000596778100001 |
| Related Url | isVersionOf https://doi.org/10.1002/ijfe.2372 |
| JaLCDOI | 10.18926/OER/61454 |
|---|---|
| Title Alternative | L. Randall Wray 『Modern Monetary Theory; A Primer on Macroeconomics for Sovereign Monetary Systems （2nd Edition）』 |
| FullText URL | oer_052_3_075_076.pdf |
| Author | Sakemoto, Ryuta| |
| Publication Title | Okayama Economic Review |
| Published Date | 2021-03-10 |
| Volume | volume52 |
| Issue | issue3 |
| Start Page | 75 |
| End Page | 76 |
| ISSN | 2433-4146 |
| language | Japanese |
| Copyright Holders | Copyright © 2021 岡山大学経済学会 |
| File Version | publisher |
| NAID | 120006980477 |
| FullText URL | fulltext.pdf |
|---|---|
| Author | Cai, Xiaojing| Sakemoto, Ryuta| |
| Keywords | climate risk commodity prices partial wavelet coherence El Nino ENSO |
| Published Date | 2022-05-16 |
| Publication Title | Frontiers In Environmental Science |
| Volume | volume10 |
| Publisher | Frontiers Media SA |
| Start Page | 893879 |
| ISSN | 2296-665X |
| Content Type | Journal Article |
| language | English |
| OAI-PMH Set | 岡山大学 |
| Copyright Holders | © 2022 Cai and Sakemoto. |
| File Version | publisher |
| DOI | 10.3389/fenvs.2022.893879 |
| Web of Science KeyUT | 000803025700001 |
| Related Url | isVersionOf https://doi.org/10.3389/fenvs.2022.893879 |
| JaLCDOI | 10.18926/OER/60794 |
|---|---|
| Title Alternative | Recent Trends in Currency Investment |
| FullText URL | oer_052_2_025_032.pdf |
| Author | Sakemoto, Ryuta| |
| Abstract | This paper surveys the recent trends in currency investment. In particular, this paper focuses upon strategies which employ cross-sectional information across countries. First, I introduce a carry trade that is the most popular investment strategy. Next, I explain developments of momentum and value strategies. Then, the other strategies are classifi ed into two groups. The former group exploits macroeconomic information such external debts and output growth. The latter group employs information in fi nancial markets such as term spreads and cross-sectional spot exchange rate return correlations. Finally, I describe two future research directions. |
| Publication Title | Okayama Economic Review |
| Published Date | 2020-11-06 |
| Volume | volume52 |
| Issue | issue2 |
| Start Page | 25 |
| End Page | 32 |
| ISSN | 2433-4146 |
| language | Japanese |
| Copyright Holders | Copyright © 2020 岡山大学経済学会 |
| File Version | publisher |
| NAID | 120006892921 |
| Author | Iwanaga, Yasuhiro| Sakemoto, Ryuta| |
|---|---|
| Keywords | commodity futures decomposition momentum |
| Note | This is the peer reviewed version of the following article: [Iwanaga, Y., & Sakemoto, R. (2022). Commodity momentum decomposition. Journal of Futures Markets, 1– 19.], which has been published in final form at [ https://doi.org/10.1002/fut.22382]. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages there of by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.| This fulltext is available in Oct. 2024.| |
| Published Date | 2022-10 |
| Publication Title | Journal of Futures Markets |
| Publisher | Wiley |
| ISSN | 0270-7314 |
| NCID | AA10621291 |
| Content Type | Journal Article |
| language | English |
| OAI-PMH Set | 岡山大学 |
| Copyright Holders | © 2022 Wiley Periodicals LLC. |
| File Version | author |
| DOI | 10.1002/fut.22382 |
| Web of Science KeyUT | 000862234100001 |
| Related Url | isVersionOf https://doi.org/10.1002/fut.22382 |
| FullText URL | fulltext20211014-2.pdf |
|---|---|
| Author | Byrne, Joseph P.| Sakemoto, Ryuta| |
| Keywords | Systematic Risk Currency Carry Trade Momentum Value Conditional Factor Model Currency Variability |
| Note | JEL codes: C12, C58, F3, G11, G15 © 2021 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0 License.http://creativecommons.org/licenses/by-nc-nd/4.0/.This is the accepted manuscript version. The formal published version is available at [https://doi.org/10.1016/j.intfin.2021.101415] . This fulltext is available in Sep. 2023.| |
| Published Date | 2021-09 |
| Publication Title | Journal of International Financial Markets, Institutions and Money |
| Volume | volume74 |
| Publisher | Elsevier |
| Start Page | 101415 |
| ISSN | 1042-4431 |
| NCID | AA10818219 |
| Content Type | Journal Article |
| language | English |
| OAI-PMH Set | 岡山大学 |
| Copyright Holders | © 2021 Elsevier B.V. |
| File Version | author |
| DOI | 10.1016/j.intfin.2021.101415 |
| Web of Science KeyUT | 000708244300028 |
| Related Url | isVersionOf https://doi.org/10.1016/j.intfin.2021.101415 |
| Author | Nakagawa, Kei| Sakemoto, Ryuta| |
|---|---|
| Keywords | Commodity futures Factor investment Hedgen Safe have Inflation |
| Note | © 2023 Elsevier Inc. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/| This fulltext file will be available in Oct. 2025.| |
| Published Date | 2023-12 |
| Publication Title | Finance Research Letters |
| Volume | volume58 |
| Publisher | Elsevier BV |
| Start Page | 104585 |
| ISSN | 1544-6123 |
| Content Type | Journal Article |
| language | English |
| OAI-PMH Set | 岡山大学 |
| Copyright Holders | © 2023 Elsevier Inc. |
| File Version | author |
| DOI | 10.1016/j.frl.2023.104585 |
| Web of Science KeyUT | 001098482300001 |
| Related Url | isVersionOf https://doi.org/10.1016/j.frl.2023.104585 |
| Author | Sakemoto, Ryuta| |
|---|---|
| Keywords | ICAPM long-run risk value anomalies factor models COVID-19 DCC-MIDAS |
| Note | © 2023 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/| This fulltext file will be available in Oct. 2025.| |
| Published Date | 2023-12 |
| Publication Title | Journal of International Financial Markets, Institutions and Money |
| Volume | volume89 |
| Publisher | Elsevier BV |
| Start Page | 101854 |
| ISSN | 1042-4431 |
| Content Type | Journal Article |
| language | English |
| OAI-PMH Set | 岡山大学 |
| Copyright Holders | © 2023 Elsevier B.V. |
| File Version | author |
| DOI | 10.1016/j.intfin.2023.101854 |
| Related Url | isVersionOf https://doi.org/10.1016/j.intfin.2023.101854 |
| FullText URL | fulltext20220819-2.pdf |
|---|---|
| Author | Nakagawa, Kei| Sakemoto, Ryuta| |
| Keywords | Currency portfolio out-of-sample predictability economic value portfolio optimization risk diversification |
| Note | This is an Accepted Manuscript of an article published by Taylor & Francis in The European Journal of Finance on Aug. 2022, available online: http://www.tandfonline.com/10.1080/1351847x.2022.2100715 | This fulltext is available in Feb. 2024.| |
| Published Date | 2022-08-07 |
| Publication Title | The European Journal of Finance |
| Volume | volume29 |
| Issue | issue10 |
| Publisher | Informa UK Limited |
| Start Page | 1207 |
| End Page | 1228 |
| ISSN | 1351-847X |
| NCID | AA1105608X |
| Content Type | Journal Article |
| language | English |
| OAI-PMH Set | 岡山大学 |
| File Version | author |
| DOI | 10.1080/1351847x.2022.2100715 |
| Web of Science KeyUT | 000836972100001 |
| Related Url | isVersionOf https://doi.org/10.1080/1351847x.2022.2100715 |
