CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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cf548: Honesty and Epistemological Implementation of Social Choice Functions with Asymmetric Information

Hitoshi Matsushima

cf547: Asymptotic expansion and deep neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with nonlinear coefficients

Akihiko Takahashi and Toshihiro Yamada

cf546: Heterogeneous Risk Attitudes and Waves of Infection

Daisuke Fujii, Taisuke Nakata and Takeshi Ojima

cf545: Equilibrium Pricing of Securities in the Co-presence of Cooperative and Non-cooperative Populations

Masaaki Fujii

cf544: Forward start volatility swaps in rough volatility models (Forthcoming in Asia-Pacific Financial Markets)

Elisa Alòs, Frido Rolloos and Kenichiro Shiraya

cf543: A state space modeling for proactive management in equity investment "Forthcoming in International Journal of Financial Engineering"

Akihiko Takahashi and Soichiro Takahashi

cf542: COVID-19 and Suicide in Japan

Quentin Batista, Daisuke Fujii, Taisuke Nakata and Takeki Sunakawa

cf541: Understanding Cross-Country Heterogeneity in Health and Economic Outcomes during the COVID-19 Pandemic: A Revealed-Preference Approach

Daisuke Fujii, Sohta Kawawaki, Yuta Maeda, Masataka Mori and Taisuke Nakata

cf540: Cross-Regional Heterogeneity in Health and Economic Outcomes during the COVID-19 Pandemic: An Analysis of Japan

Shotaro Beppu, Daisuke Fujii, Hiroyuki Kubota, Kohei Machi, Yuta Maeda, Taisuke Nakata and Haruki Shibuya

cf539: The Effects of Hosting the Olympic and Paralympic Games on COVID-19 in Tokyo: Ex-Ante Analyses

Asako Chiba, Daisuke Fujii, Yuta Maeda, Masataka Mori, Kenichi Nagasawa, Taisuke Nakata and Wataru Okamoto

cf538: Going Cashless: Government’s Point Reward Program vs. COVID-19

Toshitaka Sekine, Toshiaki Shoji and Tsutomu Watanabe

cf537: Controlling Funds Allocation for the War: The Experience of Japan in the Late 1930s

Tetsuji Okazaki

cf536: Moments of Maximum of Lévy Processes: Application to Barrier and Lookback Option Pricing

Yuan Li, Kenichiro Shiraya, Yuji Umezawa and Akira Yamazaki

cf535: Estimating a Behavioral New Keynesian Model with the Zero Lower Bound

Yasuo Hirose, Hirokuni Iiboshi, Mototsugu Shintani and Kozo Ueda

cf534: Portfolio optimization with choice of a probability measure (forthcoming in proceedings of IEEE CIFEr 2022)

Taiga Saito and Akihiko Takahashi

cf533: Equilibrium Price Formation with a Major Player and its Mean Field Limit (Forthcoming in ESAIM: Control, Optimization and Calculus of Variations)(Revised version of CARF-F-509)

Masaaki Fujii and Akihiko Takahashi

cf532: A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver (Journal of Computational Physics, published online 19 January 2022)

Akihiko Takahashi, Yoshifumi Tsuchida and Toshihiro Yamada

cf531: FREE-RIDER PROBLEM AND SOVEREIGNTY PROTECTION

Hitoshi Matsushima

cf530: High-Frequency Identification of Monetary Policy Shocks in Japan (Revised version of CARF-F-502)(Forthcoming in the Japanese Economic Review)

Hiroyuki Kubota and Mototsugu Shintani

cf529: Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium

Masaaki Fujii and Akihiko Takahashi

cf528: The Medium-Term Impacts of the Global Financial Crisis

Kenichi Ueda and Kei Uzui

cf527: Inference of Jumps Using Wavelet Variance

Heng Chen and Mototsugu Shintani

cf526: Price Stability of Cryptocurrencies as a Medium of Exchange

Tatsuru Kikuchi, Toranosuke Onishi and Kenichi Ueda

cf525: Going Cashless: Evidence from Japan’s Point Reward Program

Toshitaka Sekine, Toshiaki Shoji and Tsutomu Watanabe

cf524: Online Consumption During and After the COVID-19 Pandemic: Evidence from Japan

Tsutomu Watanabe and Yuki Omori

cf523: Deep Asymptotic Expansion: Application to Financial Mathematics（forthcoming in proceedings of IEEE CSDE 2021)

Yuga Iguchi, Riu Naito, Yusuke Okano, Akihiko Takahashi and Toshihiro Yamada

cf521: A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition

Masaaki Fujii and Akihiko Takahashi

cf520: Household Inventory, Temporary Sales, and Price Indices

Kozo Ueda, Kota Watanabe and Tsutomu Watanabe

cf519: Frequency Regression and Smoothing for Noisy Nonstationary Time Series

Seisho Sato and Naoto Kunimoto

cf518: Epistemological Implementation of Social Choice Functions

Hitoshi Matsushima

cf517: Backward Smoothing for Noisy Non-stationary Time Series

Seisho Sato and Naoto Kunitomo

cf516: Identifying the Source of Information Rigidities in the Expectations Formation Process

Mototsugu Shintani and Kozo Ueda

cf515: Auctions with Ethical Concerns

Hitoshi Matsushima

cf514: Assignments with Ethical Concerns

Hitoshi Matsushima

cf513: The Return of the Dead? The COVID-19 Business Support Programs in Japan (Forthcoming in Journal of Banking and Finance)

Takeo Hoshi, Daiji Kawaguchi and Kenichi Ueda

cf512: Budget Ratcheting and Debtholders’ Monitoring: Evidence from Private Colleges and Universities

Makoto Kuroki and Akinobu Shuto

cf511: The Bright and Dark Side of Financial Support from Local and Central Banks after a Natural Disaster: Evidence from the Great Kanto Earthquake, 1923 Japan

Tetsuji Okazaki, Toshihiro Okubo and Eric Strobl

cf510: Repricing Avalanches

Makoto Nirei and José A. Scheinkman

cf509: Equilibrium Price Formation with a Major Player and its Mean Field Limit

Masaaki Fujii and Akihiko Takahashi

cf508: Japan’s Voluntary Lockdown: Further Evidence Based on Age-Specific Mobile Location Data

Tsutomu Watanabe and Tomoyoshi Yabu

cf507: Supplementary file for "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach (Forthcoming in IEEE Transactions on Automatic Control)"

Taiga Saito and Akihiko Takahashi

cf506: Bank Regulatory Reforms and Declining Diversity of Bank Credit Allocation

Takeo Hoshi and Ke Wang

cf505: Covid-19 and Output in Japan

Daisuke Fujii and Taisuke Nakata

cf504: A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver

Akihiko Takahashi, Yoshifumi Tsuchida and Toshihiro Yamada

cf503: A New Interval Type-2 Fuzzy Logic System Under Dynamic Environment: Application to Financial Investment (Subsequently published in "Engineering Applications of Artificial Intelligence")

Akihiko Takahashi and Soichiro Takahashi

cf502: High-frequency Identification of Unconventional Monetary Policy Shocks in Japan

Hiroyuki Kubota and Mototsugu Shintani

cf501: Unconventional Monetary Policy through Open Market Operations: A Principal Component Analysis

Markus Heckel and Kiyohiko G. Nishimura

cf500: Implementation, Honesty, and Common Knowledge

Hitoshi Matsushima

cf499: A general control variate method for time-changed Lévy processes: An application to options pricing

Kenichiro Shiraya, Cong Wang and Akira Yamazaki

cf498: Epistemological Mechanism Design (Revised version of CARF-F-496)

Hitoshi Matsushima and Shunya Noda