CIRJE F-Series

from CIRJE, Faculty of Economics, University of Tokyo
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CIRJE-F-642: Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO

Chia-Lin Chang, Biing-Wen Huang, Meng-Gu Chen and Michael McAleer

CIRJE-F-641: Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

CIRJE-F-640: Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

CIRJE-F-639: Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

CIRJE-F-638: Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Massimiliano Caporin and Michael McAleer

CIRJE-F-637: How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan

Chia-Lin Chang, Philip Hans Franses and Michael McAleer

CIRJE-F-636: What Happened to Risk Management During the 2008-09 Financial Crisis?

Michael McAleer, Juan Angel Jimenez Martin and Teodosio Perez-Amaral

CIRJE-F-635: How Volatile is ENSO?

LanFen Chu, Michael McAleer and Chi-Chung Chen

CIRJE-F-634: Estimating the Impact of Whaling on Global Whale Watching

Hsiao-I Kuo, Chi-Chung Chen and Michael McAleer

CIRJE-F-633: Estimation of mean squared error of model-based small area estimators

Gauri Sankar Datta, Tatsuya Kubokawa, J. N. K. Rao and Isabel Molina

CIRJE-F-632: Corrected Empirical Bayes Confidence Intervals in Nested Error Regression Models

Tatsuya Kubokawa

CIRJE-F-631: Bayesian Estimation of Demand Functions under Block Rate Pricing

Koji Miyawaki, Yasuhiro Omori and Akira Hibiki

CIRJE-F-630: A Note on Construction of Multiple Swap Curves with and without Collateral

Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi

CIRJE-F-629: Socio-Economic Studies on Suicide: A Survey

Joe Chen, Yun Jeong Choi, Kohta Mori, Yasuyuki Sawada and Saki Sugano

CIRJE-F-628: The Jump, Inertia, and Juvenization of Suicides in Japan

Joe Chen, Yun Jeong Choi, Kohta Mori, Yasuyuki Sawada and Saki Sugano

CIRJE-F-627: Investment Frictions versus Financing Frictions

Takao Kobayashi and Risa Sai

CIRJE-F-626: Exclusive Dealing and Large Distributors

Ryoko Oki and Noriyuki Yanagawa

CIRJE-F-625: Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment

Kyo Yamamoto, Seisho Sato and Akihiko Takahashi

CIRJE-F-624: Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: an Application to Hedge Fund Replication

Akihiko Takahashi and Kyo Yamamoto

CIRJE-F-623: Business Cycle Implications of Internal Consumption Habit for New Keynesian Models

Takashi Kano and James Nason

CIRJE-F-622: The Role of the Government in Facilitating TFP Growth during Japan's Rapid Growth Era

Shuhei Aoki, Julen Esteban-Pretel, Tetsuji Okazaki and Yasuyuki Sawada

CIRJE-F-621: Computation in an Asymptotic Expansion Method

Akihiko Takahashi, Kohta Takehara and Masashi Toda

CIRJE-F-620: Computing Densities and Expectations in Stochastic Recursive Economies: Generalized Look-Ahead Techniques

Richard Anton Braun, Huiyu Li and John Stachurski

CIRJE-F-619: The Limited Information Maximum Likelihood Estimator as an Angle

T. W. Anderson, Naoto Kunitomo and Yukitoshi Matsushita

CIRJE-F-618: Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model

Kenichiro Shiraya and Akihiko Takahashi

CIRJE-F-617: Pareto Optimal Pro-cyclical Research and Development

R. Anton Braun and Tomoyuki Nakajima

CIRJE-F-616: Customer Lifetime Value and RFM Data: Accounting Your Customers: One by One

Makoto Abe

CIRJE-F-615: Stationary Monetary Equilibria with Strictly Increasing Value Functions and Non-Discrete Money Holdings Distributions: An Indeterminacy Result

Kazuya Kamiya and Takashi Shimizu

CIRJE-F-614: Consistency of the Empirical Bayes Information Criterion for Selecting Variables in Linear Mixed Models

Tatsuya Kubokawa and Muni S. Srivastava

CIRJE-F-613: Cyclical Informality and Unemployment

Mariano Bosch and Julen Esteban-Pretel

CIRJE-F-612: Did US Safeguards Resuscitate Harley-Davidson in the 1980s?

Taiju Kitano and Hiroshi Ohashi

CIRJE-F-611: Asymptotic Expansions and Higher Order Properties of Semi-Parametric Estimators in a System of Simultaneous Equations

Naoto Kunitomo and Yukitoshi Matsushita

CIRJE-F-610: The Activities of a Japanese Bank in the Interwar Financial Centers: A Case of the Yokohama Specie Bank

Makoto Kasuya

CIRJE-F-609: Assessing the Consequences of a Horizontal Merger and its Remedies in a Dynamic Environment

Satoshi Myojo and Hiroshi Ohashi

CIRJE-F-608: Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

Isao Ishida and Toshiaki Watanabe

CIRJE-F-607: Self-organizing Marketplaces

Takatoshi Tabuchi

CIRJE-F-606: Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes

Hitoshi Matsushima

CIRJE-F-605: Interbank Networks in Pre-war Japan: Structure and Implications

Tetsuji Okazaki and Michiru Sawada

CIRJE-F-604: Those Who Are Left Behind: An Estimate of the Number of Family Members of Suicide Victims in Japan

Joe Chen, Yun Jeong Choi, Kohta Mori, Yasuyuki Sawada and Saki Sugano

CIRJE-F-603: Macroeconomic Implications of Term Structures of Interest Rates under Stochastic Differential Utility with Non-Unitary EIS

Hisasi Nakamura, Wataru Nozawa and Akihiko Takahashi

CIRJE-F-602: Impact of Natural Disasters on Industrial Agglomeration: A Case of the 1923 Great Kanto Earthquake

Asuka Imaizumi, Kaori Ito and Tetsuji Okazaki

CIRJE-F-601: Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise

Naoto Kunitomo and Seisho Sato

CIRJE-F-600: Cotton and the Peasant Economy: A Response to 'Superior' Foreign Fibre in Early Modern Japan

Masayuki Tanimoto

CIRJE-F-599: Voluntarily Separable Repeated Prisoner's Dilemma

Takako Fujiwara-Greve and Masahiro Okuno-Fujiwara

CIRJE-F-598: Implementation and Social Influence

Hitoshi Matsushima

CIRJE-F-597: A Remark on a Singular Perturbation Method for Option Pricing under a Stochastic Volatility

Kyo Yamamoto and Akihiko Takahashi

CIRJE-F-596: Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment

Kyo Yamamoto, Seisho Sato and Akihiko Takahashi

CIRJE-F-595: Tax Competition, Public Good Provision, and Income Redistribution: The Case of Linear Capital Income Tax

Toshihiro Ihori and C.C. Yang

CIRJE-F-594: Tobit Model with Covariate Dependent Thresholds

Yasuhiro Omori and Koji Miyawaki

CIRJE-F-593: Auction Price Formation with Costly Occupants: Evidence Using Data from the Osaka District Court

Takako Idee, Shinichiro Iwata and Teruyuki Taguchi