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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-254: Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective Downloads
Junko Koeda
CARF-F-253: Bubbles, Banks, and Financial Stability Downloads
Kosuke Aoki and Kalin Nikolov
CARF-F-252: The Effectiveness of Non-traditional Monetary Policy Measures: The Case of the Bank of Japan Downloads
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 Downloads
Yoshiro Miwa
CARF-F-250: Interbank Networks in Prewar Japan: Structure and Implications Downloads
Tetsuji Okazaki and Michiru Sawada
CARF-F-249: On Approximation of the Solutions to Partial Differential Equations in Finance Downloads
Akihiko Takahashi and Toshihiro Yamada
CARF-F-248: Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme Downloads
Masaaki Fujii and Akihiko Takahashi
CARF-F-247: Democracy and Reforms: Evidence from a New Dataset Downloads
Paola Giuliano, Prachi Mishra and Antonio Spilimbergo
CARF-F-246: Collateralized CDS and Default Dependence -Implications for the Central Clearing- Downloads
Masaaki Fujii and Akihiko Takahashi
CARF-F-245: Rebalancing Static Super-Replications Downloads
Akihiko Takahashi and Yukihiro Tsuzuki
CARF-F-244: Investment and Ultimatum Games: Experiments Downloads
Hitoshi Matsushima and Toshihiko Shima
CARF-F-243: Exclusive Dealing Contracts by Distributors Downloads
Ryoko Oki and Noriyuki Yanagawa
CARF-F-242: A General Computation Scheme for a High-Order Asymptotic Expansion Method Downloads
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 Downloads
Yoshiro Miwa
CARF-F-240: Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA Downloads
Masaaki Fujii and Akihiko Takahashi
CARF-F-239: Choice of Collateral Currency Downloads
Masaaki Fujii and Akihiko Takahashi
CARF-F-238: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments Downloads
Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki
CARF-F-237: How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited Downloads
Junko Koeda
CARF-F-236: Japan's Bubble, America's Bubble and China's Bubble Downloads
Kazuo Ueda
CARF-F-235: Japan's Deflation and the Bank of Japan's Experience with Non-traditional Monetary Policy Downloads
Kazuo Ueda
CARF-F-234: Financial Institution, Asset Bubbles and Economic Performance Downloads
Tomohiro Hirano and Noriyuki Yanagawa
CARF-F-233: Firm Heterogeneity under Financial Imperfection: Impacts of Trade and Capital Movement Downloads
Taiji Furusawa and Noriyuki Yanagawa
CARF-F-232: Hysteresis in Dynamic General Equilibrium Models with Cash-in-Advance Constraints Downloads
Kazuya Kamiya and Takashi Shimizu
CARF-F-231: Exaggerated Death of Distance: Revisiting Distance Effects on Regional Price Dispersions Downloads
Kazuko Kano, Takashi Kano and Kazutaka Takechi
CARF-F-230: Modeling of Interest Rate Term Structures under Collateralization and its Implications Downloads
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 Downloads
Shin-ichi Fukuda
CARF-F-228: On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise Downloads
Naoto Kunitomo and Seisho Sato
CARF-F-227: Financing Harmful Bubbles Downloads
Hitoshi Matsushima
CARF-F-226: Core-Selecting Auctions: An Experimental Study Downloads
Eiichiro Kazumori
Kohta Takehara, Masashi Toda and Akihiko Takahashi
CARF-F-224: Why Did ?Zombie? Firms Recover in Japan? Downloads
Shin-ichi Fukuda and Jun-Ichi Nakamura
CARF-F-223: Asset Bubbles, Endogenous Growth, and Financial Frictions Downloads
Tomohiro Hirano and Noriyuki Yanagawa
CARF-F-222: Exclusive Dealing and the Market Power of Buyers Downloads
Ryoko Oki and Noriyuki Yanagawa
CARF-F-221: Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors Downloads
Tsunehiro Ishihara and Yasuhiro Omori
CARF-F-220: Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance Downloads
Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong
CARF-F-219: Ranking Multivariate GARCH Models by Problem Dimension Downloads
Massimiliano Caporin and Michael McAleer
CARF-F-218: Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies Downloads
Shawkat Hammoudeh, Yuan Yuan and Michael McAleer
CARF-F-217: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH Downloads
Massimiliano Caporin and Michael McAleer
CARF-F-216: Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management- Downloads
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 Downloads
Jouchi Nakajima and Yasuhiro Omori
CARF-F-214: Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models Downloads
Kenichiro Shiraya, Akihiko Takahashi and Akira Yamazaki
CARF-F-213: Role of Relative and Absolute Performance Evaluations in Intergroup Competition Downloads
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".) Downloads
Kohta Takehara, Akihiko Takahashi and Masashi Toda
CARF-F-211: A New Hedge Fund Replication Method With The Dynamic Optimal Portfolio Downloads
Akihiko Takahashi and Kyo Yamamoto
CARF-F-210: Pricing Discrete Barrier Options under Stochastic Volatility Downloads
Kenichiro Shiraya, Akihiko Takahashi and Toshihiro Yamada
CARF-F-209: Role of Linking Mechanisms in Multitask Agency with Hidden Information Downloads
Hitoshi Matsushima, Koichi Miyazaki and Nobuyuki Yagi
CARF-F-208: Finitely Repeated Prisoners' Dilemma with Small Fines: Penance Contract Downloads
Hitoshi Matsushima
CARF-F-207: The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective Downloads
Junko Koeda and Ryo Kato
CARF-F-205: Incentives in Hedge Funds Downloads
Hitoshi Matsushima
CARF-F-204: Convertible Subordinated Debt Financing and Optimal Investment Timing Downloads
Kyoko Yagi and Ryuta Takashima
Page updated 2017-01-17
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