No, it does not. Take a Metro-North train to Grand Central, and then take the Number 4 subway to Yankee Stadium.
You take Metro North express to the Yankee Stadium. It's easy. It will say "Yankee Stadium" in l.e.d. on the side of the train. Not an Amtrak train.
I know for certain games they run what they call "The Yankee Clipper" which runs directly to Yankees Stadium...
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