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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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CARF-F-204: Convertible Subordinated Debt Financing and Optimal Investment Timing Downloads
Kyoko Yagi and Ryuta Takashima
CARF-F-203: THE TOKYO FINANCIAL MARKETS RESEARCH DATA SERVICES: I. FACTORS DATA FOR EQUITY MARKETS Downloads
Eiichiro Kazumori
CARF-F-202: Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns Downloads
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
CARF-F-201: Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach Downloads
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 Downloads
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 Downloads
Tsunehiro Ishihara and Yasuhiro Omori
CARF-F-197: Realized Volatility Risk Downloads
David Edmund 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 Downloads
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
CARF-F-195: A Survey on Modeling and Analysis of Basis Spreads Downloads
Masaaki Fujii and Akihiko Takahashi
CARF-F-194: An Asymptotic Expansion with Push-Down of Malliavin Weights Downloads
Akihiko Takahashi and Toshihiro Yamada
CARF-F-193: An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options Downloads
Akihiko Takahashi and Toshihiro Yamada
CARF-F-192: Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan Downloads
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 Downloads
Chia-Ling Chang, Thanchanok Khamkaew, Michael McAleer and Roengchai Tansuchat
CARF-F-189: Forecasting Realized Volatility with Linear and Nonlinear Models Downloads
Michael McAleer and Marcelo C. Medeiros
CARF-F-188: A Panel Threshold Model of Tourism Specialization and Economic Development Downloads
Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer
CARF-F-187: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies Downloads
Shawkat Hammoudeh, Yuan Yuan, Michael McAleer and Mark A. Thompson
CARF-F-186: It Pays to Violate: How Effective are the Basel Accord Penalties? Downloads
Bernardo da Veiga, Felix Chan and Michael McAleer
CARF-F-183: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns Downloads
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
CARF-F-182: Uninsured countercyclical risk: an aggregation result and@application to optimal monetary policy Downloads
R. Anton Braun and Tomoyuki Nakajima
CARF-F-181: Computing Densities: A Conditional Monte Carlo Estimator Downloads
R. Anton 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 Downloads
Kazuo Ueda
CARF-F-179: Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence Downloads
Abdul Hakim and Michael McAleer
CARF-F-178: VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds Downloads
Abdul Hakim and Michael McAleer
CARF-F-177: Pricing Average Options on Commodities Downloads
Kenichiro Shiraya and Akihiko Takahashi
CARF-F-176: Pricing Barrier and Average Options under Stochastic Volatility Environment Downloads
Kenichiro Shiraya, Akihiko Takahashi and Masashi Toda
CARF-F-175: Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns Downloads
Tanchanok Khamkaew, Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
CARF-F-174: Implementation and Mind Control Downloads
Hitoshi Matsushima
CARF-F-173: Simple Expected Volatility (SEV) Index: Application to SET50 Index Options Downloads
Chatayan Wiphatthanananthakul and Michael McAleer
CARF-F-172: Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies Downloads
Shawkat Hammoudeh, Yuan Yuan and Michael McAleer
CARF-F-171: Optimal Risk Management Before, During and After the 2008-09 Financial Crisis Downloads
Michael McAleer, Juan Angel Jimenez-Martin and Teodosio Perez-Amaral
CARF-F-170: Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets Downloads
Abdul Hakim and Michael McAleer
CARF-F-169: Value-at-Risk for Country Risk Ratings Downloads
Michael McAleer, Bernardo da Veiga and Suhejla Hoti
CARF-F-168: Dynamic Conditional Correlations for Asymmetric Processes Downloads
Manabu Asai and Michael McAleer
CARF-F-167: Asymmetry and Leverage in Realized Volatility Downloads
Manabu Asai, Michael McAleer and Marcelo C. Medeiros
CARF-F-166: Alternative Asymmetric Stochastic Volatility Models Downloads
Manabu Asai and Michael McAleer
CARF-F-165: Asymptotic Expansion Approaches in Finance: Applications to Currency Options Downloads
Akihiko Takahashi and Kohta Takehara
CARF-F-164: The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges Downloads
Michael McAleer
CARF-F-163: Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets Downloads
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
CARF-F-162: Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets Downloads
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
CARF-F-161: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments Downloads
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 Downloads
Katsuhito Iwai
CARF-F-159: A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk Downloads
Michael McAleer, Juan Angel Jimenez-Martin and Teodosio Perez-Amaral
CARF-F-158: Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? Downloads
Michael McAleer, Juan Angel Jimenez-Martin and Teodosio Perez-Amaral
CARF-F-157: Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return Downloads
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 Downloads
Massimiliano Caporin and Michael McAleer
CARF-F-155: What Happened to Risk Management During the 2008-09 Financial Crisis? Downloads
Michael McAleer, Juan Angel Jimenez-Martin and Teodosio Perez-Amaral
CARF-F-154: A Note on Construction of Multiple Swap Curves with and without Collateral Downloads
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
CARF-F-153: Investment Frictions versus Financing Frictions Downloads
Takao Kobayashi and Risa Sai
Page updated 2014-11-27
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