Tomohiro Ando

University of Melbourne - Melbourne Business School

Melbourne Business School

200 Leicester Street

Carlton, Victoria 3053 3186

Australia

SCHOLARLY PAPERS

9

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1,476

SSRN CITATIONS
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Top 8,101

in Total Papers Citations

150

CROSSREF CITATIONS

8

Scholarly Papers (9)

1.

Quantile Co-Movement in Financial Markets: A Panel Quantile Model with Unobserved Heterogeneity

30th Australasian Finance and Banking Conference 2017
Number of pages: 35 Posted: 19 Apr 2017 Last Revised: 06 Oct 2018
Tomohiro Ando and Jushan Bai
University of Melbourne - Melbourne Business School and Columbia University
Downloads 377 (94,981)
Citation 9

Abstract:

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Data-augmentation, Endogeneity, Heterogeneous panel, Quantile factor structure, Serial and cross-sectional correlations

2.

Clustering Huge Number of Financial Time Series: A Panel Data Approach with High-Dimensional Predictors and Factor Structures

28th Australasian Finance and Banking Conference
Number of pages: 41 Posted: 13 Aug 2015 Last Revised: 28 Jul 2016
Tomohiro Ando and Jushan Bai
University of Melbourne - Melbourne Business School and Columbia University
Downloads 349 (103,560)
Citation 13

Abstract:

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Clustering; Factor structure; Heterogeneous panel; Lasso; Serial and cross-sectional error correlations.

3.

Panel Data Models with Grouped Factor Structure Under Unknown Group Membership

Number of pages: 64 Posted: 01 Jan 2014
Tomohiro Ando and Jushan Bai
University of Melbourne - Melbourne Business School and Columbia University
Downloads 206 (177,386)
Citation 11

Abstract:

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C33

4.

Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks

Number of pages: 48 Posted: 24 Apr 2018
University of Melbourne - Melbourne Business School, University of Melbourne and University of York (UK) - Department of Economics and Related Studies
Downloads 187 (193,744)
Citation 5

Abstract:

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Network Modelling, Quantile Vector Autoregression with Common Factors, Quantile Connectedness, Financial-Sovereign Credit Risk Transmission, Tail-Dependence

5.

A Spatial Panel Quantile Model with Unobserved Heterogeneity

Number of pages: 42 Posted: 30 Jan 2020
Tomohiro Ando and Lina Lu
University of Melbourne - Melbourne Business School and Federal Reserve Banks - Federal Reserve Bank of Boston
Downloads 102 (311,202)
Citation 1

Abstract:

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Endogeneity; Heterogeneous panel; Quantile factor structure; Serial and cross-sectional correlations; Spatial effects

6.

Regularization Parameter Selection for Penalized Empirical Likelihood Estimator

Number of pages: 28 Posted: 23 May 2018
Tomohiro Ando and Naoya Sueishi
University of Melbourne - Melbourne Business School and Kobe University - Graduate School of Economics
Downloads 77 (370,193)

Abstract:

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Information Criterion, Series Estimation, Sparse Estimation

7.

On the Convergence Rate of the SCAD-Penalized Empirical Likelihood Estimator

Number of pages: 16 Posted: 07 Dec 2017
Tomohiro Ando and Naoya Sueishi
University of Melbourne - Melbourne Business School and Kobe University - Graduate School of Economics
Downloads 69 (393,404)

Abstract:

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Diverging number of parameters, Penalized empirical likelihood, Sparse models

8.

Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo

Tinbergen Institute Discussion Paper 12-098/III
Number of pages: 35 Posted: 27 Sep 2012
University of Chicago, Booth School of Business (Deceased), University of Melbourne - Melbourne Business School, Maastricht University - Department of Quantitative Economics, VU University Amsterdam and Tinbergen Institute
Downloads 68 (396,361)

Abstract:

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Instrumental variables, Bayesian inference, Direct Monte Carlo, Acceptance-Rejection, numerical standard errors

9.

A Simple New Test for Slope Homogeniety in Panel Data Models with Interactive Effects

Number of pages: 18 Posted: 22 Dec 2014
Tomohiro Ando and Jushan Bai
University of Melbourne - Melbourne Business School and Columbia University
Downloads 41 (497,259)
Citation 127

Abstract:

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Cross-sectional dependence, Endogenous predictors, Slope homogeneity