# CARF F-Series
from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Contact information at EDIRC. Series data maintained by (). Access Statistics for this working paper series.
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- CARF-F-208: Finitely Repeated Prisoners' Dilemma with Small Fines: Penance Contract
*Hitoshi Matsushima*
- CARF-F-207: The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective
*Junko Koeda* and *Ryo Kato*
- CARF-F-205: Incentives in Hedge Funds
*Hitoshi Matsushima*
- CARF-F-204: Convertible Subordinated Debt Financing and Optimal Investment Timing
*Kyoko Yagi* and *Ryuta Takashima*
- CARF-F-203: THE TOKYO FINANCIAL MARKETS RESEARCH DATA SERVICES: I. FACTORS DATA FOR EQUITY MARKETS
*Eiichiro Kazumori*
- CARF-F-202: Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
*Roengchai Tansuchat*, *Chia-Lin Chang* and *Michael McAleer*
- CARF-F-201: Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach
*Hooi Hooi Lean*, *Michael McAleer* and *Wing-Keung Wong*
- CARF-F-200: The Structure of Japan's Financial Regulation and Supervision and the Role Played by the Bank of Japan
*Kazuo Ueda*
- CARF-F-199: Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution
*Jouchi Nakajima* and *Yasuhiro Omori*
- CARF-F-198: Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
*Tsunehiro Ishihara* and *Yasuhiro Omori*
- CARF-F-197: Realized Volatility Risk
*David Allen*, *Michael McAleer* and *Marcel Scharth*
- CARF-F-196: A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies
*Masaaki Fujii*, *Yasufumi Shimada* and *Akihiko Takahashi*
- CARF-F-195: A Survey on Modeling and Analysis of Basis Spreads
*Masaaki Fujii* and *Akihiko Takahashi*
- CARF-F-194: An Asymptotic Expansion with Push-Down of Malliavin Weights
*Akihiko Takahashi* and *Toshihiro Yamada*
- CARF-F-193: An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options
*Akihiko Takahashi* and *Toshihiro Yamada*
- CARF-F-192: Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
*Chia-Lin Chang* and *Michael McAleer*
- CARF-F-191: Multivariate Stochastic Volatility with Cross Leverage
*Tsunehiro Ishihara* and *Yasuhiro Omori*
- CARF-F-190: Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
*Chia-Ling Chang*, *Thanchanok Khamkaew*, *Michael McAleer* and *Roengchai Tansuchat*
- CARF-F-189: Forecasting Realized Volatility with Linear and Nonlinear Models
*Michael McAleer* and *Marcelo Medeiros*
- CARF-F-188: A Panel Threshold Model of Tourism Specialization and Economic Development
*Chia-Lin Chang*, *Thanchanok Khamkaew* and *Michael McAleer*
- CARF-F-187: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies
*Shawkat Hammoudeh*, *Yuan Yuan*, *Michael McAleer* and *Mark A. Thompson*
- CARF-F-186: It Pays to Violate: How Effective are the Basel Accord Penalties?
*Bernardo da Veiga*, *Felix Chan* and *Michael McAleer*
- CARF-F-183: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
*Roengchai Tansuchat*, *Chia-Lin Chang* and *Michael McAleer*
- CARF-F-182: Uninsured countercyclical risk: an aggregation result and @application to optimal monetary policy
*R. Braun* and *Tomoyuki Nakajima*
- CARF-F-181: Computing Densities: A Conditional Monte Carlo Estimator
*R. Braun*, *Huiyu Li* and *John Stachurski*
- CARF-F-180: Non-Traditional Monetary Polices: G7 Central Banks during 2007-2009 and the Bank of Japan during 1998-2006
*Kazuo Ueda*
- CARF-F-179: Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence
*Abdul Hakim* and *Michael McAleer*
- CARF-F-178: VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
*Abdul Hakim* and *Michael McAleer*
- CARF-F-177: Pricing Average Options on Commodities
*Kenichiro Shiraya* and *Akihiko Takahashi*
- CARF-F-176: Pricing Barrier and Average Options under Stochastic Volatility Environment
*Kenichiro Shiraya*, *Akihiko Takahashi* and *Masashi Toda*
- CARF-F-175: Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
*Tanchanok Khamkaew*, *Roengchai Tansuchat*, *Chia-Lin Chang* and *Michael McAleer*
- CARF-F-174: Implementation and Mind Control
*Hitoshi Matsushima*
- CARF-F-173: Simple Expected Volatility (SEV) Index: Application to SET50 Index Options
*Chatayan Wiphatthanananthakul* and *Michael McAleer*
- CARF-F-172: Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies
*Shawkat Hammoudeh*, *Yuan Yuan* and *Michael McAleer*
- CARF-F-171: Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
*Michael McAleer*, *Juan Jimenez-Martin* and *Teodosio Perez-Amaral*
- CARF-F-170: Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets
*Abdul Hakim* and *Michael McAleer*
- CARF-F-169: Value-at-Risk for Country Risk Ratings
*Michael McAleer*, *Bernardo da Veiga* and *Suhejla Hoti*
- CARF-F-168: Dynamic Conditional Correlations for Asymmetric Processes
*Manabu Asai* and *Michael McAleer*
- CARF-F-167: Asymmetry and Leverage in Realized Volatility
*Manabu Asai*, *Michael McAleer* and *Marcelo Medeiros*
- CARF-F-166: Alternative Asymmetric Stochastic Volatility Models
*Manabu Asai* and *Michael McAleer*
- CARF-F-165: Asymptotic Expansion Approaches in Finance: Applications to Currency Options
*Akihiko Takahashi* and *Kohta Takehara*
- CARF-F-164: The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
*Michael McAleer*
- CARF-F-163: Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
*Chia-Lin Chang*, *Michael McAleer* and *Roengchai Tansuchat*
- CARF-F-162: Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets
*Chia-Lin Chang*, *Michael McAleer* and *Roengchai Tansuchat*
- CARF-F-161: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments
*Akihiko Takahashi*, *Yukihiro Tsuzuki* and *Akira Yamazaki*
- CARF-F-160: The Second End of Laissez-Faire -- Bootstrapping Nature of Money and Inherent Instability of Capitalism
*Katsuhito Iwai*
- CARF-F-159: A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
*Michael McAleer*, *Juan Jimenez-Martin* and *Teodosio Perez-Amaral*
- CARF-F-158: Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
*Michael McAleer*, *Juan Jimenez-Martin* and *Teodosio Perez-Amaral*
- CARF-F-157: Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return
*Chia-Lin Chang*, *Michael McAleer* and *Roengchai Tansuchat*
- CARF-F-156: Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
*Massimiliano Caporin* and *Michael McAleer*
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