# CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

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- CARF-F-244: Investment and Ultimatum Games: Experiments
*Hitoshi Matsushima* and *Toshihiko Shima*
- CARF-F-243: Exclusive Dealing Contracts by Distributors
*Ryoko Oki* and *Noriyuki Yanagawa*
- CARF-F-242: A General Computation Scheme for a High-Order Asymptotic Expansion Method
*Akihiko Takahashi*, *Kohta Takehara* and *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
*Yoshiro Miwa*
- CARF-F-240: Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
*Masaaki Fujii* and *Akihiko Takahashi*
- CARF-F-239: Choice of Collateral Currency
*Masaaki Fujii* and *Akihiko Takahashi*
- CARF-F-238: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments
*Akihiko Takahashi*, *Yukihiro Tsuzuki* and *Akira Yamazaki*
- CARF-F-237: How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited
*Junko Koeda*
- CARF-F-236: Japan's Bubble, America's Bubble and China's Bubble
*Kazuo Ueda*
- CARF-F-235: Japan's Deflation and the Bank of Japan's Experience with Non-traditional Monetary Policy
*Kazuo Ueda*
- CARF-F-234: Financial Institution, Asset Bubbles and Economic Performance
*Tomohiro Hirano* and *Noriyuki Yanagawa*
- CARF-F-233: Firm Heterogeneity under Financial Imperfection: Impacts of Trade and Capital Movement
*Taiji Furusawa* and *Noriyuki Yanagawa*
- CARF-F-232: Hysteresis in Dynamic General Equilibrium Models with Cash-in-Advance Constraints
*Kazuya Kamiya* and *Takashi Shimizu*
- CARF-F-231: Exaggerated Death of Distance: Revisiting Distance Effects on Regional Price Dispersions
*Kazuko Kano*, *Takashi Kano* and *Kazutaka Takechi*
- CARF-F-230: Modeling of Interest Rate Term Structures under Collateralization and its Implications
*Masaaki Fujii* and *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
*Shin-ichi Fukuda*
- CARF-F-228: On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise
*Naoto Kunitomo* and *Seisho Sato*
- CARF-F-227: Financing Harmful Bubbles
*Hitoshi Matsushima*
- CARF-F-226: Core-Selecting Auctions: An Experimental Study
*Eiichiro Kazumori*
- CARF-F-225: APPLICATION OF A HIGH-ORDER ASYMPTOTIC EXPANSION SCHEME TO LONG-TERM CURRENCY OPTIONS
*Kohta Takehara*, *Masashi Toda* and *Akihiko Takahashi*
- CARF-F-224: Why Did ?Zombie? Firms Recover in Japan?
*Shin-ichi Fukuda* and *Jun-Ichi Nakamura*
- CARF-F-223: Asset Bubbles, Endogenous Growth, and Financial Frictions
*Tomohiro Hirano* and *Noriyuki Yanagawa*
- CARF-F-222: Exclusive Dealing and the Market Power of Buyers
*Ryoko Oki* and *Noriyuki Yanagawa*
- CARF-F-221: Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors
*Tsunehiro Ishihara* and *Yasuhiro Omori*
- CARF-F-220: Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance
*Hooi Hooi Lean*, *Michael McAleer* and *Wing-Keung Wong*
- CARF-F-219: Ranking Multivariate GARCH Models by Problem Dimension
*Massimiliano Caporin* and *Michael McAleer*
- CARF-F-218: Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies
*Shawkat Hammoudeh*, *Yuan Yuan* and *Michael McAleer*
- CARF-F-217: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
*Massimiliano Caporin* and *Michael McAleer*
- CARF-F-216: Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management-
*Masaaki Fujii*, *Yasufumi Shimada* and *Akihiko Takahashi*
- CARF-F-215: Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution
*Jouchi Nakajima* and *Yasuhiro Omori*
- CARF-F-214: Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
*Kenichiro Shiraya*, *Akihiko Takahashi* and *Akira Yamazaki*
- CARF-F-213: Role of Relative and Absolute Performance Evaluations in Intergroup Competition
*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".)
*Kohta Takehara*, *Akihiko Takahashi* and *Masashi Toda*
- CARF-F-211: A New Hedge Fund Replication Method With The Dynamic Optimal Portfolio
*Akihiko Takahashi* and *Kyo Yamamoto*
- CARF-F-210: Pricing Discrete Barrier Options under Stochastic Volatility
*Kenichiro Shiraya*, *Akihiko Takahashi* and *Toshihiro Yamada*
- CARF-F-209: Role of Linking Mechanisms in Multitask Agency with Hidden Information
*Hitoshi Matsushima*, *Koichi Miyazaki* and *Nobuyuki Yagi*
- 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*