CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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cf605: Generating the Term Structure of Interest Rates with Diffusion Models

Yosuke Fukunishi, Haorong Qiu, Akihiko Takahashi and Fan Ye

cf604: An Incomplete Multi-Currency Equilibrium Model with Heterogeneous Time Preferences and Subjective Beliefs

Daiya Mita, Taiga Saito and Akihiko Takahashi

cf602: Allocative Inefficiency during a Sudden Stop

Akira Ishide

cf601: sentiment analysis, text mining, large language models, natural language processing, ChatGPT, Japanese stock market, TOPIX 500, Nikkei 225, investment, alpha creation, risk-adjusted returns

Zhenwei Lin, Masafumi Nakano and Akihiko Takahashi

cf600: Asymptotic expansions as control variates for deep solvers to fully-coupled forward-backward stochastic differential equations "Forthcoming in PLOS ONE"

Makoto Naito, Taiga Saito, Akihiko Takahashi and Kohta Takehara

cf599: Super-Long Discount Rates for Insurers in Incomplete Markets with Bond Supply Control

Taiga Saito and Akihiko Takahashi

cf597: Credit Market Tightness and Zombie Firms: Theory and Evidence

Masashige Hamano, Philip Schnattinger, Mototsugu Shintani, Iichiro Uesugi and Francesco Zanetti

cf596: COVID-19 Infection and Its Labor Supply Impact: Evidence from a Large-scale Survey in Japan

Asako Chiba, Shunsuke Hori, Taisuke Nakata, Shusaku Sasaki and Reo Takaku

cf595: Quarantine and Its Scar on Labor

Asako Chiba, Shunsuke Hori and Taisuke Nakata

cf594: Mean-field equilibrium price formation with exponential utility

Masaaki Fujii and Masashi Sekine

cf592: New approaches of the DCC-GARCH residual: Application to foreign exchange rates (Forthcoming in Quantitative Finance)

Kenichiro Shiraya, Kanji Suzuki and Tomohisa Yamakami

cf591: On the Source of Seasonality in Price Changes: The Role of Seasonality in Menu Costs

Ko Munakata, Takeshi Shinohara, Shigenori Shiratsuka, Nao Sudo and Tsutomu Watanabe

cf588: A New Equity Investment Strategy with Artificial Intelligence, Multi Factors, and Technical Indicators

Daiya Mita and Akihiko Takahashi

cf587: Mean field equilibrium asset pricing model with habit formation (Forthcoming in Asia-Pacific Financial Markets)

Masaaki Fujii and Masashi Sekine

cf586: Realised Volatility Moments Implied by Asset Options (Forthcoming in Asia-Pacific Financial Markets)

Frido Rolloos and Kenichiro Shiraya

cf585: Three Years of COVID-19-related School Restrictions and Mental Health of Children and Adolescents in Japan

Reo Takaku, Naohisa Shobako and Taisuke Nakata

cf584: Optimal Vaccine Allocation Strategy: Theory and Application to the Early Stage of COVID-19 in Japan

Toshikazu Kuniya, Taisuke Nakata and Daisuke Fujii

cf583: COVID-19 Risk Perceptions in Japan: A Cross Sectional Study

Asako Chiba, Taisuke Nakata, Thuy Linh Nguyen and Reo Takaku

cf582: Monthly Prefecture-Level GDP in Japan

Daisuke Fujii, Taisuke Nakata and Takeki Sunakawa

cf581: Bilateral Lucas Paradox

Yasumasa Morito and Kenichi Ueda

cf580: Loan Screening When Banks Have Superior Information Technology

Yun Gao and Kenichi Ueda

cf579: Design of a CBDC in a Highly Dollarized Emerging Market Economy: The Case of Cambodia

Kenichi Ueda and Chanthol Hay

cf578: Multi-agent Equilibrium Model with Heterogeneous Views on Fundamental Risks in Incomplete Market

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

cf577: Semistatic robust utility indifference valuation and robust integral functionals

Keita Owari

cf576: A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment (Forthcoming in "Insurance: Mathematics and Economics")

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

cf575: Multi-agent Robust Optimal Investment Problem in Incomplete Market

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

cf574: Financial Innovations, Taxes, and the Growth of Finance

Shuhei Aoki, Makoto Nirei and Kazufumi Yamana

cf573: Preventing Global Catastrophes

Hitoshi Matsushima

cf572: State Ownership, Political Connection, and Innovation Subsidies in China

Hong Cheng, Hanbing Fan, Takeo Hoshi and Dezhuang Hu

cf571: Equilibriummulti-agent model with heterogeneous views on fundamental risks (Forthcoming in Automatica)

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

cf570: Evidence on Price Stickiness in Japan

Kozo Ueda

cf569: Climate Change, Self-Governance, International Negotiation, Common Carbon Pricing, Relative Measure in Environmental Concern

Hitoshi Matsushima

cf568: A Model-Free Approximation for Barrier Options in a General Stochastic Volatility Framework (Forthcoming in Journal of Futures Markets)

Frido Rolloos and Kenichiro Shiraya

cf567: The Effect of Framing in Sealed-Bid Auctions: Theory and Experiments

Yutaka Kayaba, Jun Maekawa and Hitoshi Matsushima

cf565: Oligopolistic Competition, Price Rigidity, and Monetary Policy

Kozo Ueda and Kota Watanabe

cf564: A lower bound for the volatility swap in the lognormal SABR model "Forthcoming in Axioms"

Elisa Alòs, Frido Rolloos and Kenichiro Shiraya

cf563: New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion (Forthcoming in Asymptotic Analysis)

Akihiko Takahashi and Toshihiro Yamada

cf562: Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations (Forthcoming in ESAIM: Control, Optimisation and Calculus of Variations) (Revised version of CARF-F-545)

Masaaki Fujii

cf560: Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus (Forthcoming in "Partial Differential Equations and Applications")(Revised version of CARF-F-547)

Akihiko Takahashi and Toshihiro Yamada

cf559: Mean-field equilibrium price formation with exponential utility

Masaaki Fujii and Masashi Sekine

cf558: Optimal Loan Portfolio under Regulatory and Internal Constraints "Forthcoming in International Journal of Financial Engineering"

Makoto Okawara and Akihiko Takahashi

cf557: Online supplement for "Equilibrium multi-agent model with heterogeneous views on fundamental risks"

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

cf556: Free-Rider Problem and Commitment

Hitoshi Matsushima

cf555: Macroeconomic Effects of Monetary Policy in Japan: An Analysis Using Interest Rate Futures Surprises

Hiroyuki Kubota and Mototsugu Shintani

cf554: Personal Guarantees on Bank Loans and SMEs’ CEO Succession

Takeo Hoshi and Yoko Shibuya

cf553: Constructing Copulas Using Corrected Hermite Polynomial Expansion for Estimating Cross Foreign Exchange Volatility (Forthcoming in European Journal of Operational Research)

Kenichiro Shiraya and Tomohisa Yamakami

cf552: The Demand for Money at the Zero Interest Rate Bound

Tsutomu Watanabe and Tomoyoshi Yabu

cf551: A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi

cf550: Big data applications with theoretical models and social media in financial management

Taiga Saito and Shivam Gupta

cf549: Honesty and Epistemological Implementation of Social Choice Functions with Asymmetric Information

Hitoshi Matsushima