Tomohiro Ando

CFEnetwork: The annals of computational and financial econometrics, 5th issue

T Ando, E Kontoghiorghes, P Winker

Journal article  |  2020  |  Econometrics and Statistics

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

Tomohiro Ando, Jushan Bai

Journal article  |  2020  |  Journal of the American Statistical Association

This article introduces a new procedure for analyzing the quantile co-movement of a large number of financial time series based on..

Regularization parameter selection for penalized empirical likelihood estimator

Tomohiro Ando, Naoya Sueishi

Journal article  |  2019  |  Economics Letters

Penalized estimation is a useful technique for variable selection when the number of candidate variables is large. A crucial issue..

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

Tomohiro Ando, Naoya Sueishi

Journal article  |  2019  |  Econometrics

This paper investigates the asymptotic properties of a penalized empirical likelihood estimator for moment restriction models when..

Merchant selection and pricing strategy for a platform firm in the online group buying market

Tomohiro Ando

Journal article  |  2018  |  Annals of Operations Research

Stock return predictability: A factor-augmented predictive regression system with shrinkage method

S Ohno, T Ando

Journal article  |  2018  |  Econometric Reviews

Selecting the regularization parameters in high-dimensional panel data models: Consistency and efficiency

T Ando, J Bai

Journal article  |  2018  |  Econometric Reviews

This article considers panel data models in the presence of a large number of potential predictors and unobservable common factors..

A WEIGHT-RELAXED MODEL AVERAGING APPROACH FOR HIGH-DIMENSIONAL GENERALIZED LINEAR MODELS

Tomohiro Ando, Ker-Chau Li

Journal article  |  2017  |  Annals of Statistics

Clustering huge number of financial time series: A panel data approach with high-dimensional predictors and factor structures

T Ando, Jushan Bai

Journal article  |  2017  |  Journal of the American Statistical Association

This article introduces a new procedure for clustering a large number of financial time series based on high-dimensional panel dat..

Panel Data Models with Grouped Factor Structure Under Unknown Group Membership

Tomohiro Ando, Jushan Bai

Journal article  |  2016  |  JOURNAL OF APPLIED ECONOMETRICS

A simple new test for slope homogeneity in panel data models with interactive effects

Tomohiro Ando, Jushan Bai

Journal article  |  2015  |  ECONOMICS LETTERS

Asset pricing with a general multifactor structure

T Ando, J Bai

Journal article  |  2015  |  Journal of Financial Econometrics

A Predictive Approach for Selection of Diffusion Index Models

T Ando, RS Tsay

Journal article  |  2014  |  Econometric Reviews

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

A Zellner, T Ando, N Baştürk, L Hoogerheide, HK van Dijk

Journal article  |  2014  |  Econometric Reviews

A model-averaging approach for high-dimensional regression

T Ando, KC Li

Journal article  |  2014  |  Journal of the American Statistical Association

Bayesian corporate bond pricing and credit default swap premium models for deriving default probabilities and recovery rates

T Ando

Journal article  |  2014  |  Journal of the Operational Research Society

Generalized predictive information criteria for the analysis of feature events

MKP So, T Ando

Journal article  |  2013  |  Electronic Journal of Statistics

A statistical modeling methodology for the analysis of term structure of credit risk and its dependency

J You, T Ando

Journal article  |  2013  |  Expert Systems with Applications

Oil and metal price movements and BRIC macro-economy: An empirical analysis

P Kim, T Ando

Journal article  |  2012  |  International Journal of Business and Globalisation

Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market

RS Tsay, T Ando

Journal article  |  2012  |  Computational Statistics and Data Analysis

Bayesian dynamic linear modeling for exploring the impact of recent financial crisis on Japan Credit Default Swap market

J You, T Ando

Journal article  |  2012  |  Expert Systems with Applications

Bayesian portfolio selection under a multifactor asset return model with predictive model selection

T Ando

Journal article  |  2012  |  Global Business and Economics Review

Quantile regression models with factor-augmented predictors and information criterion

T Ando, RS Tsay

Journal article  |  2011  |  Econometrics Journal

Predictive bayesian model selection

T Ando

Journal article  |  2011  |  American Journal of Mathematical and Management Sciences

Hierarchical Bayesian analysis of the seemingly unrelated regression and simultaneous equations models using a combination of Direct Monte Carlo and importance sampling techniques

T Ando, A Zellner

Journal article  |  2010  |  Bayesian Analysis

A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model

A Zellner, T Ando

Journal article  |  2010  |  Journal of Econometrics

Predictive likelihood for Bayesian model selection and averaging

T Ando, R Tsay

Journal article  |  2010  |  International Journal of Forecasting

Bayesian and non-Bayesian analysis of the seemingly unrelated regression model with Student-t errors, and its application for forecasting

A Zellner, T Ando

Journal article  |  2010  |  International Journal of Forecasting

Bayesian model selection and statistical modeling

T Ando

Book  |  2010

Rejoinder

A Zellner, T Ando

Journal article  |  2010  |  International Journal of Forecasting

Penalized optimal scoring for the classification of multi-dimensional functional data

T Ando

Journal article  |  2009  |  Statistical Methodology

Bayesian factor analysis with fat-tailed factors and its exact marginal likelihood

T Ando

Journal article  |  2009  |  Journal of Multivariate Analysis

Bayesian portfolio selection using a multifactor model

T Ando

Journal article  |  2009  |  International Journal of Forecasting

Nonlinear logistic discrimination via regularized radial basis functions for classifying high-dimensional data

T Ando, S Konishi

Journal article  |  2009  |  Annals of the Institute of Statistical Mathematics

Model selection for generalized linear models with factor-augmented predictors

T Ando, RS Tsay

Journal article  |  2009  |  Applied Stochastic Models in Business and Industry

Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criteria

T Ando

Journal article  |  2009  |  Computational Statistics & Data Analysis

Model selection for generalized linear models with factor-augmented predictors

T Ando, RS Tsay

Journal article  |  2009  |  Applied Stochastic Models in Business and Industry

Measuring the baseline sales and the promotion effect for incense products: A Bayesian state-space modeling approach

T Ando

Journal article  |  2008  |  Annals of the Institute of Statistical Mathematics

Nonlinear regression modeling via regularized radial basis function networks

T Ando, S Konishi, S Imoto

Journal article  |  2008  |  Journal of Statistical Planning and Inference

Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models

T Ando

Journal article  |  2007  |  Biometrika

Bayesian state space modeling approach for measuring the effectiveness of marketing activities and baseline sales from POS data

T Ando

Conference Proceedings  |  2006  |  Sixth International Conference on Data Mining (ICDM'06)

Estimating term structure using nonlinear splines: A penalized likelihood approach

Y Kawasaki, T Ando

Conference Proceedings  |  2005  |  MODSIM05 - International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, Proceedings

Bayesian information criteria and smoothing parameter selection in radial basis function networks

S Konishi, T Ando, S Imoto

Journal article  |  2004  |  Biometrika

Functional data analysis of the dynamics of gene regulatory networks

T Ando, S Imoto, S Miyano

Conference Proceedings  |  2004  |  Lecture Notes in Artificial Intelligence (Subseries of Lecture Notes in Computer Science)