Printed from https://ideas.repec.org/s/cfi/fseres2.html
Content
2015
- CARF-F-373 Currency intervention and the global portfolio balance effect: Japanese lessons
by Petra Gerlach-Kristen & Robert N McCauley & Kazuo Ueda - CARF-F-372 Asymptotic Expansion for Forward-Backward SDEs
by Masaaki Fujii & Akihiko Takahashi - CARF-F-371 Choice of Collateral Currency Updated -A market model for the benchmark pricing-
by Masaaki Fujii & Akihiko Takahashi - CARF-F-368 Management Earnings Forecasts as a Performance Target in Executive Compensation Contracts
by Shota Otomasa & Atsushi Shiiba & Akinobu Shuto - CARF-F-367 Credibility of management earnings forecasts and future returns
by Norio Kitagawa & Akinobu Shuto - CARF-F-366 Novel and topical business news and their impact on stock market activities
by Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-365 Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-364 Replicating Japan's CPI Using Scanner Data
by Satoshi Imai & Tsutomu Watanabe - CARF-F-363 An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-362 Structure of global buyer-supplier networks and its implications for conflict minerals regulations
by Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-361 An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-360 Optimal Position Management for a Market Maker with Stochastic Price Impacts
by Masaaki Fujii - CARF-F-359 Connected Price Dynamics with Revealed Preferences and Auctioneer’s Discretionin VCG Combinatorial Auction (Published in the B. E. Journal of Theoretical Economics 18 (1), 2018.)
by Hitoshi Matsushima - CARF-F-358 A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Revised version of CARF-F-335; Forthcoming in Annals of Applied Probability")"
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-357 Optimal Mechanism Design: Type-Independent Preference Orderings (Published in the Japanese Economic Review 69 (4), 2018.)
by Hitoshi Matsushima - CARF-F-356 Asymptotic Expansion Approach in Finance
by Akihiko Takahashi
2014
- CARF-F-355 Price Impacts of Imperfect Collateralization
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-354 Multi-Belief Rational-Expectations Equilibria: Indeterminacy, Complexity And Sustained Deflation
by Kiyohiko G. Nishimura & Hiroyuki Ozaki S - CARF-F-353 Buyer-Supplier Networks and Aggregate Volatility
by Takayuki Mizuno & Wataru Souma & Tsutomu Watanabe - CARF-F-352 An FBSDE Approach to American Option Pricing with an Interacting Particle Method
by Masaaki Fujii & Seisho Sato & Akihiko Takahashi - CARF-F-351 Working Less and Bargain Hunting More:Macro Implications of Sales during Japan's Lost Decades
by Nao Sudo & Kozo Ueda & Kota Watanabe & Tsutomu Watanabe - CARF-F-350 A New Improvement Scheme for Approximation Methods of Probability Density Functions
by Akihiko Takahashi & Yukihiro Tsuzuki - CARF-F-349 A Semi-group Expansion for Pricing Barrier Options
by Takashi Kato & Akihiko Takahashi & Toshihiro Yamada - CARF-F-348 Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows
by Masaaki Fujii & Akihiko Takahashi - CARF-F-347 On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- (Revised version of CARF-F-324; Forthcoming in "Mathematics of Operations Research", Revised in September 2014)
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-346 Beauty Contests and Fat Tails in Financial Markets
by Makoto Nirei & Tsutomu Watanabe - CARF-F-345 Complexity of Payment Network
by Hitoshi Hayakawa - CARF-F-344 Safe Asset Shortages and Asset Price Bubbles
by Kosuke Aoki & Tomoyuki Nakajima & Kalin Nikolov - CARF-F-343 A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing
by Masaaki Fujii - CARF-F-342 We construct a Törnqvist daily price index using Japanese point of sale (POS) scannerdata spanning from 1988 to 2013. We find the following. First, the POS based inflation rate tends to be about 0.5 percentage points lower than the CPI inflation rate, although the difference between the two varies over time. Second, the difference between the two measures is greatest from 1992 to 1994, when, following the burst of bubble economy in 1991, the POS inflation rate drops rapidly and turns negative in June 1992, while the CPI inflation rate remains positive until summer 1994. Third, the standard deviation of daily POS inflation is 1.1 percent compared to a standard deviation for the monthly change in the CPI of 0.2 percent, indicating that daily POS inflation is much more volatile, mainly due to frequent switching between regular and sale prices. We show that the volatility in daily inflation can be reduced by more than 2daily inflation rate 0 percent by trimming the tails of product-level price change distributions. Finally, if we measure price changes from one day to the next and construct a chained Törnqvist index, a strong chain drift arises so that the chained price index falls to 10-10 of the base value over the 25-year sample period, which is equivalent to an annual deflation rate of 60 percent. We provide evidence suggesting that one source of the chain drift is fluctuations in sales quantity before, during, and after a sale period
by Kota Watanabe & Tsutomu Watanabe - CARF-F-341 A New Improvement Scheme for Approximation Methods of Probability Density Functions
by Akihiko Takahashi & Yukihiro Tsuzuki - CARF-F-340 Speculative Attacks with Multiple Targets
by Junichi Fujimoto - CARF-F-339 The Structure and Evolution of Buyer-Supplier Networks
by Takayuki Mizuno & Wataru Souma & Tsutomu Watanabe - CARF-F-338 Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows
by Masaaki Fujii & Akihiko Takahashi - CARF-F-337 Liquidity Preference And Knightian Uncertainty
by Kiyohiko G. Nishimura & Hiroyuki Ozaki
2013
- CARF-F-336 Pricing Basket Options under Local Stochastic Volatility with Jumps
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-335 A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-334 Aging and Real Estate Prices: Evidence from Japanese and US Regional Data
by Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe - CARF-F-333 Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method (Forthcoming in "International Journal of Theoretical and Applied Finance")
by Hideyuki Tanaka & Toshihiro Yamada - CARF-F-332 Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-
by Masaaki Fujii & Akihiko Takahashi - CARF-F-331 Role of Credit Default Swap in Bubbles and Crashes
by Hitoshi Matsushima - CARF-F-330 Auction Platform Design and the Linkage Principle
by Wataru Tamura - CARF-F-329 Optimal Monetary Policy and Transparency under Informational Friction
by Wataru Tamura - CARF-F-328 How Much Do Official Price Indexes Tell Us About Inflation?
by Jessie Handbury & Tsutomu Watanabe & David E. Weinstein - CARF-F-327 Do Wild Fluctuations in Quarterly Inventory Investment Data Matter?: A Study of Japanese GDP Statistics, 1994-2010
by Yoshiro Miwa - CARF-F-326 On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-325 Pricing Bounds on Barrier Options (forthcoming in "Journal of Futures Markets")
by Yukihiro Tsuzuki - CARF-F-324 On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-323 Bank’s regulation, asset portfolio choice of banks, and macroeconomic dynamics
by Kosuke Aoki & Nao Sudo - CARF-F-322 A Regime-Switching SVAR Analysis of Quantitative Easing
by Fumio Hayashi & Junko Koeda - CARF-F-321 Making Mean-Variance Hedging Implementable in a Partially Observable Market
by Masaaki Fujii & Akihiko Takahashi - CARF-F-320 Product Downsizing and Hidden Price Increases: Evidence from Japan's Deflationary Period
by Satoshi Imai & Tsutomu Watanabe - CARF-F-319 A Robust Version of Convex Integral Functionals
by Keita Owari - CARF-F-318 Dark Sides of Patent Pools with Compulsory Independent Licensing
by Akifumi Ishihara & Noriyuki Yanagawa - CARF-F-317 On the Lebesgue Property of Monotone Convex Functions
by Keita Owari - CARF-F-316 International Trade and Capital Movement under Financial Imperfection
by Taiji Furusawa & Taiji Furusawa, Noriyuki Yanagawa - CARF-F-315 Maximum Lebesgue Extension of Monotone Convex Functions
by Keita Owari - CARF-F-314 Why are product prices in online markets not converging?
by Takayuki Mizuno & Tsutomu Watanabe - CARF-F-313 Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices
by Takaaki Ohnishi & Takayuki Mizuno & Chihiro Shimizu & Tsutomu Watanabe - CARF-F-312 Note on an Extension of an Asymptotic Expansion Scheme
by Akihiko Takahashi & Masashi Toda - CARF-F-310 Abenomics and Asset Prices: Is It Case of Self-Fulfilling Expectations?
by Kazuo Ueda - CARF-F-309 Behavioral Approach to Repeated Games with Private Monitoring
by Hitoshi Matsushima & Tomomi Tanaka & Tomohisa Toyama - CARF-F-306 Impact of Financial Regulation and Innovation on Bubbles and Crashes due to Limited Arbitrage: Awareness Heterogeneity
by Hitoshi Matsushima - CARF-F-305 A New Improvement Scheme for Approximation Methods of Probability Density Functions
by Akihiko Takahashi & Yukihiro Tsuzuki
2012
- CARF-F-370 The role of accounting conservatism in executive compensation contracts (Forthcoming in Journal of Business Finance and Accounting)
by Takuya Iwasaki & Shota Otomasa & Atsushi Shiiba & Akinobu Shuto - CARF-F-369 Managerial discretion over initial earnings forecasts “Forthcoming in Pacific-Basin Finance Journalâ€
by Takuya Iwasaki & Norio Kitagawa & Akinobu Shuto - CARF-F-311 Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering
by Masaaki Fujii - CARF-F-307 Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data
by C. Shimizu & W. E. Diewert & K. G. Nishimura & T. Watanabe - CARF-F-304 An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
by Takashi Kato & Akihiko Takahashi & Toshihiro Yamada - CARF-F-303 Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields
by Junko Koeda - CARF-F-302 An FBSDE Approach to American Option Pricing with an Interacting Particle Method
by Masaaki Fujii & Seisho Sato & Akihiko Takahashi - CARF-F-300 On the Optimal Super- and Sub-Hedging Strategies
by Yukihiro Tsuzuki - CARF-F-299 High quality topic extraction from business news explains abnormal financial market volatility
by Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-298 How Fast Are Prices in Japan Falling?
by Satoshi Imai & Chihiro Shimizu & Tsutomu Watanabe - CARF-F-297 The Emergence of Different Tail Exponents in the Distributions of Firm Size Variables
by Atushi Ishikawa & Shouji Fujimotoa & Tsutomu Watanabe & Takayuki Mizuno - CARF-F-296 An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-295 Infrequent Changes of the Policy Target: Robust Optimal Monetary Policy under Ambiguity
by Shin-ichi Fukuda - CARF-F-292 Optimal Multiunit Exchange Design with Single-Dimensionality
by Hitoshi Matsushima - CARF-F-291 How Strongly Do "Financing Constraints" Affect Firm Behavior?: Japanese Corporate Investment since the Mid-1980s
by Yoshiro Miwa - CARF-F-290 Pricing Multi-Asset Cross Currency Options
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-289 Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering and other Problems
by Masaaki Fujii - CARF-F-288 Role of Leverage in Bubbles and Crashes
by Hitoshi Matsushima - CARF-F-287 Maximum Lebesgue Extension Of Convex Risk Measures
by Keita Owari - CARF-F-286 Note on an Extension of an Asymptotic Expansion Scheme
by Akihiko Takahashi & Masashi Toda - CARF-F-285 Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes
by Hitoshi Matsushima - CARF-F-284 Inequalities in Japanese Economy during the Lost Decades
by Nao Sudo & Michio Suzuki & Tomoaki Yamadai - CARF-F-283 Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007
by Kazuo Ueda - CARF-F-282 The Boy Who Cried Bubble: Public Warnings Against Riding Bubbles
by Yasushi Asako & Kozo Ueda - CARF-F-281 Collateralized CDS and Default Dependence -Implications for the Central Clearing
by Masaaki Fujii & Akihiko Takahashi - CARF-F-280 Channels of Stabilization in a System of Local Public Health Insurance: The Case of the National Health Insurance in Japan
by Masayoshi Hayashi - CARF-F-279 Optimal Multiunit Exchange Design
by Hitoshi Matsushima - CARF-F-278 Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method
by Masaaki Fujii & Akihiko Takahashi - CARF-F-277 Application Of The Kusuoka Approximation To Barrier Options
by Shigeto Kusuoka & Mariko Ninomiya & Syoiti Ninomiya - CARF-F-276 Pricing Multi-Asset Cross Currency Options
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-275 Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003
by Hiroyuki Kasahara, & Katsumi Shimotsu & Michio Suzuki - CARF-F-273 A Remark on Approximation of the Solutions to Partial Differential Equations in Finance
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-272 A General Computation Scheme for a High-Order Asymptotic Expansion Method
by Akihiko Takahashi & Kohta Takehara & Masashi Toda - CARF-F-271 Semi-group Expansion for Pricing Barrier Options
by Takashi Kato & Akihiko Takahashi & Toshihiro Yamada - CARF-F-270 Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility
by Masaaki Fujii & Akihiko Takahashi - CARF-F-269 Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme
by Masaaki Fujii, Akihiko Takahashi - CARF-F-268 Asset Bubbles and Bailouts
by Tomohiro Hirano & Masaru Inaba & Noriyuki Yanagawa - CARF-F-249 On Approximation of the Solutions to Partial Differential Equations in Finance
by Akihiko Takahashi & Toshihiro Yamada
2011
- CARF-F-294 Efficient Combinatorial Exchanges with Opt-Out Types (Revised version of CARF-F-258)(Published in the B. E. Journal of Theoretical Economics 19 (1), 2019.)
by Hitoshi Matsushima - CARF-F-274 Sde Weak Approximation Library (Sde Wa) (Version 1.0)
by Mariko Ninomiya - CARF-F-267 Speculative Attacks with Multiple Targets
by Junichi Fujimoto - CARF-F-266 The Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004
by Tsutomu Watanabe & Tomoyoshi Yabu - CARF-F-265 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii & Akihiko Takahashi - CARF-F-264 Currency intervention and the global portfolio balance effect: Japanese and Swiss lessons, 2003-2004 and 2009-2010
by Petra Gerlach & Robert N McCauley & Kazuo Ueda - CARF-F-263 Power Laws In Real Estate Prices During Bubble Periods
by Takaaki Ohnishi & Takayuki Mizuno & Chihiro Shimizu & Tsutomu Watanabe - CARF-F-262 Temporal and Cross Correlations in Business News
by Takayuki Mizuno & Kazumasa Takei & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-261 Price-Based Combinatorial Auction: Connectedness and Representative Valuations
by Hitoshi Matsushima - CARF-F-260 Clean Valuation Framework for the USD Silo -An implication for the forthcoming Standard Credit Support Annex (SCSA)-
by Masaaki Fujii, Akihiko Takahashi - CARF-F-259 Japan's Deleveraging since the 1990s and the Bank of Japan's Monetary Policy: Some Comparisons with the U.S. Experience since 2007
by Kazuo Ueda - CARF-F-258 Efficient Combinatorial Exchanges
by Hitoshi Matsushima - CARF-F-257 ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION(Revised in March 2012, Forthcoming in "Mathematics and Financial Economics")
by Keita Owari - CARF-F-256 An Asymptotic Expansion with Push-Down of Malliavin Weights
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-255 Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
by Kenichiro Shiraya & Akihiko Takahashi & Akira Yamazaki - CARF-F-254 Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective
by Junko Koeda - CARF-F-253 Bubbles, Banks, and Financial Stability
by Kosuke Aoki & Kalin Nikolov - CARF-F-252 The Effectiveness of Non-traditional Monetary Policy Measures: The Case of the Bank of Japan
by Kazuo Ueda - CARF-F-251 Are Japanese Firms Becoming More Independent from Their Banks?: Evidence from the Firm-Level Data of the "Corporate Enterprise Quarterly Statistics," 1994-2009
by Yoshiro Miwa - CARF-F-250 Interbank Networks in Prewar Japan: Structure and Implications
by Tetsuji Okazaki & Michiru Sawada - CARF-F-248 Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme
by Masaaki Fujii & Akihiko Takahashi - CARF-F-247 Democracy and Reforms: Evidence from a New Dataset
by Paola Giuliano & Prachi Mishra & Antonio Spilimbergo - CARF-F-246 Collateralized CDS and Default Dependence -Implications for the Central Clearing-
by Masaaki Fujii & Akihiko Takahashi - CARF-F-245 Rebalancing Static Super-Replications
by Akihiko Takahashi & Yukihiro Tsuzuki - CARF-F-244 Investment and Ultimatum Games: Experiments
by Hitoshi Matsushima & Toshihiko Shima - CARF-F-243 Exclusive Dealing Contracts by Distributors
by Ryoko Oki & Noriyuki Yanagawa - CARF-F-242 A General Computation Scheme for a High-Order Asymptotic Expansion Method
by Akihiko Takahashi & Kohta Takehara & Masashi Toda - CARF-F-241 A Study of Financing Behavior of Japanese Firms with Firm-Level Data from Corporate Enterprise Quarterly Statistics - 1994~2009: Introduction and Summary
by Yoshiro Miwa
2010
- CARF-F-293 Auctioneer's Discretion in Combinatorial Auctions
by Hitoshi Matsushima - CARF-F-240 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii & Akihiko Takahashi - CARF-F-239 Choice of Collateral Currency
by Masaaki Fujii & Akihiko Takahashi - CARF-F-238 Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments
by Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki - CARF-F-237 How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited
by Junko Koeda - CARF-F-236 Japan's Bubble, America's Bubble and China's Bubble
by Kazuo Ueda - CARF-F-235 Japan's Deflation and the Bank of Japan's Experience with Non-traditional Monetary Policy
by Kazuo Ueda - CARF-F-234 Financial Institution, Asset Bubbles and Economic Performance
by Tomohiro Hirano & Noriyuki Yanagawa - CARF-F-233 Firm Heterogeneity under Financial Imperfection: Impacts of Trade and Capital Movement
by Taiji Furusawa & Noriyuki Yanagawa - CARF-F-232 Hysteresis in Dynamic General Equilibrium Models with Cash-in-Advance Constraints
by Kazuya Kamiya & Takashi Shimizu - CARF-F-231 Exaggerated Death of Distance: Revisiting Distance Effects on Regional Price Dispersions
by Kazuko Kano & Takashi Kano & Kazutaka Takechi - CARF-F-230 Modeling of Interest Rate Term Structures under Collateralization and its Implications
by Masaaki Fujii & Akihiko Takahashi - CARF-F-229 Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London
by Shin-ichi Fukuda - CARF-F-228 On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise
by Naoto Kunitomo & Seisho Sato - CARF-F-227 Financing Harmful Bubbles
by Hitoshi Matsushima - CARF-F-226 Core-Selecting Auctions: An Experimental Study
by Eiichiro Kazumori - CARF-F-225 Application Of A High-Order Asymptotic Expansion Scheme To Long-Term Currency Options
by Kohta Takehara & Masashi Toda & Akihiko Takahashi - CARF-F-224 Why Did ?Zombie? Firms Recover in Japan?
by Shin-ichi Fukuda & Jun-ichi Nakamura - CARF-F-223 Asset Bubbles, Endogenous Growth, and Financial Frictions
by Tomohiro Hirano & Noriyuki Yanagawa - CARF-F-222 Exclusive Dealing and the Market Power of Buyers
by Ryoko Oki & Noriyuki Yanagawa - CARF-F-221 Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors
by Tsunehiro Ishihara & Yasuhiro Omori - CARF-F-220 Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance
by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong - CARF-F-219 Ranking Multivariate GARCH Models by Problem Dimension
by Massimiliano Caporin & Michael McAleer - CARF-F-218 Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies
by Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer - CARF-F-217 Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
by Massimiliano Caporin & Michael McAleer - CARF-F-216 Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management-
by Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi - CARF-F-215 Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution
by Jouchi Nakajima & Yasuhiro Omori - CARF-F-214 Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
by Kenichiro Shiraya & Akihiko Takahashi & Akira Yamazaki - CARF-F-213 Role of Relative and Absolute Performance Evaluations in Intergroup Competition
by Hitoshi Matsushima - CARF-F-212 New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme ( Forthcoming in "The Proceedings of KIER-TMU International Workshop on Financial Engineering 2009".)
by Kohta Takehara & Akihiko Takahashi & Masashi Toda - CARF-F-211 A New Hedge Fund Replication Method With The Dynamic Optimal Portfolio
by Akihiko Takahashi & Kyo Yamamoto - CARF-F-210 Pricing Discrete Barrier Options under Stochastic Volatility
by Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada - CARF-F-209 Role of Linking Mechanisms in Multitask Agency with Hidden Information
by Hitoshi Matsushima & Koichi Miyazaki & Nobuyuki Yagi - CARF-F-208 Finitely Repeated Prisoners' Dilemma with Small Fines: Penance Contract
by Hitoshi Matsushima - CARF-F-207 The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective
by Junko Koeda & Ryo Kato - CARF-F-205 Incentives in Hedge Funds
by Hitoshi Matsushima - CARF-F-204 Convertible Subordinated Debt Financing and Optimal Investment Timing
by Kyoko Yagi & Ryuta Takashima - CARF-F-203 The Tokyo Financial Markets Research Data Services: I. Factors Data For Equity Markets
by Eiichiro Kazumori - CARF-F-202 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
by Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer - CARF-F-201 Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach
by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong
2009
- CARF-F-308 Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication
by Akihiko Takahashi & Kyo Yamamoto - CARF-F-200 The Structure of Japan's Financial Regulation and Supervision and the Role Played by the Bank of Japan
by Kazuo Ueda - CARF-F-199 Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution
by Jouchi Nakajima & Yasuhiro Omori - CARF-F-198 Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
by Tsunehiro Ishihara & Yasuhiro Omori - CARF-F-197 Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth - CARF-F-196 A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies
by Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi - CARF-F-195 A Survey on Modeling and Analysis of Basis Spreads
by Masaaki Fujii & Akihiko Takahashi - CARF-F-194 An Asymptotic Expansion with Push-Down of Malliavin Weights
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-193 An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-192 Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
by Chia-Lin Chang & Michael McAleer - CARF-F-191 Multivariate Stochastic Volatility with Cross Leverage
by Tsunehiro Ishihara & Yasuhiro Omori - CARF-F-190 Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
by Chia-Ling Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat - CARF-F-189 Forecasting Realized Volatility with Linear and Nonlinear Models
by Michael McAleer & Marcelo C. Medeiros - CARF-F-188 A Panel Threshold Model of Tourism Specialization and Economic Development
by Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer - CARF-F-187 Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies
by Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson - CARF-F-186 It Pays to Violate: How Effective are the Basel Accord Penalties?
by Bernardo da Veiga & Felix Chan & Michael McAleer - CARF-F-183 Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
by Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer - CARF-F-182 Uninsured countercyclical risk: an aggregation result and application to optimal monetary policy
by Richard Anton Braun & Tomoyuki Nakajima - CARF-F-181 Computing Densities: A Conditional Monte Carlo Estimator
by Richard Anton Braun & Huiyu Li & John Stachurski - CARF-F-180 Non-Traditional Monetary Polices: G7 Central Banks during 2007-2009 and the Bank of Japan during 1998-2006
by Kazuo Ueda - CARF-F-179 Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence
by Abdul Hakim & Michael McAleer - CARF-F-178 VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
by Abdul Hakim & Michael McAleer - CARF-F-177 Pricing Average Options on Commodities
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-176 Pricing Barrier and Average Options under Stochastic Volatility Environment
by Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda - CARF-F-175 Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
by Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer - CARF-F-174 Implementation and Mind Control
by Hitoshi Matsushima - CARF-F-173 Simple Expected Volatility (SEV) Index: Application to SET50 Index Options
by Chatayan Wiphatthanananthakul & Michael McAleer - CARF-F-172 Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies
by Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer