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CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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2010: Choice of Collateral Currency Downloads
Masaaki Fujii and Akihiko Takahashi
2010: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments Downloads
Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki
2010: Modeling of Interest Rate Term Structures under Collateralization and its Implications Downloads
Masaaki Fujii and Akihiko Takahashi
2010: Japan's Bubble, America's Bubble and China's Bubble Downloads
Kazuo Ueda
2010: Uninsured countercyclical risk: an aggregation result and application to optimal monetary policy Downloads
R. Braun and Tomoyuki Nakajima
2010: Financial Institution, Asset Bubbles and Economic Performance Downloads
Tomohiro Hirano and Noriyuki Yanagawa
2010: Firm Heterogeneity under Financial Imperfection: Impacts of Trade and Capital Movement Downloads
Taiji Furusawa and Noriyuki Yanagawa
2010: Hysteresis in Dynamic General Equilibrium Models with Cash-in-Advance Constraints Downloads
Kazuya Kamiya and Takashi Shimizu
2010: Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London Downloads
Shin-ichi Fukuda
2010: On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise Downloads
Naoto Kunitomo and Seisho Sato
2010: Financing Harmful Bubbles Downloads
Hitoshi Matsushima
2010: Asset Bubbles, Endogenous Growth, and Financial Frictions Downloads
Tomohiro Hirano and Noriyuki Yanagawa
2010: Core-Selecting Auctions: An Experimental Study Downloads
Eiichiro Kazumori
2010: APPLICATION OF A HIGH-ORDER ASYMPTOTIC EXPANSION SCHEME TO LONG-TERM CURRENCY OPTIONS Downloads
Kohta Takehara, Masashi Toda and Akihiko Takahashi
2010: Why Did ?Zombie? Firms Recover in Japan? Downloads
Shin-ichi Fukuda and Jun-Ichi Nakamura
2010: Exclusive Dealing and the Market Power of Buyers Downloads
Ryoko Oki and Noriyuki Yanagawa
2010: Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors Downloads
Tsunehiro Ishihara and Yasuhiro Omori
2010: Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance Downloads
Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong
2010: Ranking Multivariate GARCH Models by Problem Dimension Downloads
Massimiliano Caporin and Michael McAleer
2010: Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies Downloads
Shawkat Hammoudeh, Yuan Yuan and Michael McAleer
2010: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH Downloads
Massimiliano Caporin and Michael McAleer
2010: Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management- Downloads
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
2010: Pricing Barrier and Average Options under Stochastic Volatility Environment Downloads
Kenichiro Shiraya, Akihiko Takahashi and Masashi Toda
2010: Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution Downloads
Jouchi Nakajima and Yasuhiro Omori
2010: Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models Downloads
Kenichiro Shiraya, Akihiko Takahashi and Akira Yamazaki
2010: Role of Relative and Absolute Performance Evaluations in Intergroup Competition Downloads
Hitoshi Matsushima
2010: New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme ( Forthcoming in "The Proceedings of KIER-TMU International Workshop on Financial Engineering 2009".) Downloads
Kohta Takehara, Akihiko Takahashi and Masashi Toda
2010: A New Hedge Fund Replication Method With The Dynamic Optimal Portfolio Downloads
Akihiko Takahashi and Kyo Yamamoto
2010: Role of Linking Mechanisms in Multitask Agency with Hidden Information Downloads
Hitoshi Matsushima, Koichi Miyazaki and Nobuyuki Yagi
2010: Finitely Repeated Prisoners' Dilemma with Small Fines: Penance Contract Downloads
Hitoshi Matsushima
2010: The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective Downloads
Junko Koeda and Ryo Kato
2010: Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: an Application to Hedge Fund Replication Downloads
Akihiko Takahashi and Kyo Yamamoto
2010: Incentives in Hedge Funds Downloads
Hitoshi Matsushima
2010: Convertible Subordinated Debt Financing and Optimal Investment Timing Downloads
Kyoko Yagi and Ryuta Takashima
2010: THE TOKYO FINANCIAL MARKETS RESEARCH DATA SERVICES: I. FACTORS DATA FOR EQUITY MARKETS Downloads
Eiichiro Kazumori
2010: Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns Downloads
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
2010: Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach Downloads
Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong
2010: Realized Volatility Risk Downloads
David Allen, Michael McAleer and Marcel Scharth
2010: A Note on Construction of Multiple Swap Curves with and without Collateral Downloads
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
2009: The Structure of Japan's Financial Regulation and Supervision and the Role Played by the Bank of Japan Downloads
Kazuo Ueda
2009: Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution
Jouchi Nakajima and Yasuhiro Omori
2009: Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors Downloads
Tsunehiro Ishihara and Yasuhiro Omori
2009: A Survey on Modeling and Analysis of Basis Spreads Downloads
Masaaki Fujii and Akihiko Takahashi
2009: An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options Downloads
Akihiko Takahashi and Toshihiro Yamada
2009: Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan Downloads
Chia-Lin Chang and Michael McAleer
2009: Multivariate Stochastic Volatility with Cross Leverage
Tsunehiro Ishihara and Yasuhiro Omori
2009: Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations Downloads
Chia-Ling Chang, Thanchanok Khamkaew, Michael McAleer and Roengchai Tansuchat
2009: Non-Traditional Monetary Polices: G7 Central Banks during 2007-2009 and the Bank of Japan during 1998-2006 Downloads
Kazuo Ueda
2009: Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns Downloads
Tanchanok Khamkaew, Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
2009: Forecasting Realized Volatility with Linear and Nonlinear Models Downloads
Michael McAleer and Marcelo Medeiros
2009: A Panel Threshold Model of Tourism Specialization and Economic Development Downloads
Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer
2009: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies Downloads
Shawkat Hammoudeh, Yuan Yuan, Michael McAleer and Mark A. Thompson
2009: It Pays to Violate: How Effective are the Basel Accord Penalties? Downloads
Bernardo da Veiga, Felix Chan and Michael McAleer
2009: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns Downloads
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
2009: Computing Densities: A Conditional Monte Carlo Estimator Downloads
R. Braun, Huiyu Li and John Stachurski
2009: Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence Downloads
Abdul Hakim and Michael McAleer
2009: VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds Downloads
Abdul Hakim and Michael McAleer
2009: The Second End of Laissez-Faire -- Bootstrapping Nature of Money and Inherent Instability of Capitalism Downloads
Katsuhito Iwai
2009: Implementation and Mind Control Downloads
Hitoshi Matsushima
2009: Simple Expected Volatility (SEV) Index: Application to SET50 Index Options Downloads
Chatayan Wiphatthanananthakul and Michael McAleer
2009: Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies Downloads
Shawkat Hammoudeh, Yuan Yuan and Michael McAleer
2009: Optimal Risk Management Before, During and After the 2008-09 Financial Crisis Downloads
Michael McAleer, Juan Jimenez-Martin and Teodosio Perez-Amaral
2009: Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets Downloads
Abdul Hakim and Michael McAleer
2009: Value-at-Risk for Country Risk Ratings Downloads
Michael McAleer, Bernardo da Veiga and Suhejla Hoti
2009: Dynamic Conditional Correlations for Asymmetric Processes Downloads
Manabu Asai and Michael McAleer
2009: Asymmetry and Leverage in Realized Volatility Downloads
Manabu Asai, Michael McAleer and Marcelo Medeiros
2009: Alternative Asymmetric Stochastic Volatility Models Downloads
Manabu Asai and Michael McAleer
2009: Asymptotic Expansion Approaches in Finance: Applications to Currency Options Downloads
Akihiko Takahashi and Kohta Takehara
2009: The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges Downloads
Michael McAleer
2009: Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets Downloads
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
2009: Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets Downloads
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
2009: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments Downloads
Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki
2009: A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk Downloads
Michael McAleer, Juan Jimenez-Martin and Teodosio Perez-Amaral
2009: Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? Downloads
Michael McAleer, Juan Jimenez-Martin and Teodosio Perez-Amaral
2009: Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return Downloads
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
2009: Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models Downloads
Massimiliano Caporin and Michael McAleer
2009: What Happened to Risk Management During the 2008-09 Financial Crisis? Downloads
Michael McAleer, Juan Jimenez-Martin and Teodosio Perez-Amaral
2009: Investment Frictions versus Financing Frictions Downloads
Takao Kobayashi and Risa Sai
2009: Exclusive Dealing and Large Distributors Downloads
Ryoko Oki and Noriyuki Yanagawa
2009: Business Cycle Implications of Internal Consumption Habit for New Keynesian Model Downloads
Takashi Kano and James Nason
2009: Computation in an Asymptotic Expansion Method Downloads
Akihiko Takahashi, Kohta Takehara and Masashi Toda
2009: IMF Bank-Restructuring Efficiency Outcomes: Evidence from East Asia Downloads
Mohamed Ariff and Luc Can
2009: The Determinants of Bank Capital Ratios in a Developing Economy Downloads
Michael J. Skully, Rubi Ahmad and Mohamed Ariff
2009: The Activities of a Japanese Bank in the Interwar Financial Centers: A Case of the Yokohama Specie Bank Downloads
Makoto Kasuya
2009: Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model Downloads
Isao Ishida and Toshiaki Watanabe
2009: Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes Downloads
Hitoshi Matsushima
Page updated 2017-05-22
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