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J-GLOBAL ID:202001001384298012   Update date: Jan. 11, 2025

Sakemoto Ryuta

サケモト リュウタ | Sakemoto Ryuta
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Affiliation and department:
Job title: Associate Professor
Research field  (1): Money and finance
Research keywords  (8): Risk Factor ,  Currency Portfolio ,  Commodity Price ,  Carry Trade ,  Market Co-movement ,  Market Uncertainty ,  Time-varying model ,  Factor Model
Research theme for competitive and other funds  (3):
  • 2024 - 2027 リスクプレミアムとファクター投資
  • 2022 - 2024 Macroeconomic conditions and risk management for portfolios
  • 2020 - 2022 金融市場におけるリスク・リターンの研究
Papers (30):
  • Ryuta Sakemoto. Time-varying group common factors in the stock market anomalies. Financial Review. 2024
  • Yasuhiro Iwanaga, Ryuta Sakemoto. Cross-momentum strategies in the equity futures and currency markets. Journal of International Money and Finance. 2024. 148. 103170-103170
  • Kei Nakagawa, Ryuta Sakemoto. Commodity sectors and factor investment strategies. International Review of Financial Analysis. 2024. 95. 103493-103493
  • Takao Asano, Xiaojing Cai, Ryuta Sakemoto. Currency portfolios and global foreign exchange ambiguity. Finance Research Letters. 2024. 65. 105534-105534
  • Ryuta Sakemoto. Risk price decomposition and the output gap. Financial Review. 2024. 1-26
more...
MISC (8):
  • Hiroaki Shirokawa, Kohei Yamaguchi, Takahiro Obata, Ryuta Sakemoto. Term Structures of Volatility Risk Premiums in the USD Interest Rate Swaption Market During the Unconventional Monetary Policy and Pandemic Eras. SSRN Electronic Journal. 2024
  • Takao Asano, Xiaojing Cai, Ryuta Sakemoto. Time-Varying Ambiguity Shocks and Business Cycles. SSRN Electronic Journal. 2023
  • Yasuhiro Iwanaga, Ryuta Sakemoto. Conditional Currency Momentum Portfolios. SSRN Electronic Journal. 2023
  • Joseph Byrne, Ryuta Sakemoto. Commodity Correlation Risk. SSRN Electronic Journal. 2022
  • Ryuta Sakemoto. Economic Evaluation of Cryptocurrency Investment. SSRN Electronic Journal. 2021
more...
Lectures and oral presentations  (36):
  • Research trends of commodity futures investment
    (2024)
  • Discussant: Time series properties of commodity prices and the network analysis
    (NFA 6th Fall Conference Program 2024)
  • Prices of Risk Estimation for Commodity Factors
    (NFA 6th Fall Conference Program 2024)
  • Cross-asset momentum: equities, bonds, and currencies
    (NFA 6th Fall Conference Program 2024)
  • Commodity futures investment
    (2024)
more...
Education (5):
  • 2014 - 2017 Heriot-Watt University School of Social Science Economics
  • 2013 - 2014 University of Exeter Business School Economics and Econometrics
  • 2011 - 2013 University of Tsukuba Graduate School of Business Sciences
  • 2007 - 2009 The University of Tokyo Public Policy School Economic Policy
  • 2003 - 2007 Keio University Faculty of Business and Commerce
Professional career (1):
  • Ph.D. in Economics (Heriot-Watt University)
Work history (4):
  • 2024/04 - 現在 Hokkaido University Graduate School of Economics and Business Administration Division of Accounting Associate Professor
  • 2020/04 - 2024/03 Okayama University Graduate School of Humanities and Social Sciences Associate Professor
  • 2018/01 - 2020/03 YJFX, Inc
  • 2009/04 - 2013/08 Daiwa SB Investments Ltd. Tokyo
Awards (3):
  • 2020/04 - The Japanese Association of Financial Econometrics and Engineering 2019 JAFEE Best Paper Award for Young Researchers Direct Estimation of Lead-Lag Relationships Using Multinomial Dynamic Time Warping
  • 2015/01 - University of Exeter Exeter Business School Dean’s Commendation
  • 2009/03 - University of Tokyo, Graduate School of Public Policy Master in Public Policy with Distinction
Association Membership(s) (4):
日本金融学会 ,  日本金融・証券計量・工学学会 ,  日本ファイナンス学会 ,  日本証券アナリスト協会
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