EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.

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.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series .

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 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
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 C. 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. Anton Braun and Tomoyuki Nakajima
CARF-F-181: Computing Densities: A Conditional Monte Carlo Estimator
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
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 Angel 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 C. 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 Angel 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 Angel 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
CARF-F-155: What Happened to Risk Management During the 2008-09 Financial Crisis?
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
Masaaki Fujii , Yasufumi Shimada and Akihiko Takahashi