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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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2016: Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection (Forthcoming in "Expert Systems With Applications")
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
2016: Product Turnover and Deflation: Evidence from Japan Downloads
Kozo Ueda, Kota Watanabe and Tsutomu Watanabe
2016: Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from Australian Dollar and the NZ Dollar Downloads
Shin-ichi Fukuda and Mariko Tanaka
2016: The Effect of Bank Recapitalization Policy on Corporate Investment: Evidence from a Banking Crisis in Japan Downloads
Hiroyuki Kasahara, Yasuyuki Sawada and Michio Suzuki
2016: Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions(Revised version of CARF-F-387) Downloads
Masaaki Fujii and Akihiko Takahashi
2016: Monopoly Rights and Economic Growth: An Inverted U-Shaped Relation Downloads
Kenichi Ueda and Stijn Claessen
2016: Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability (revised version of CARF-F-376) Downloads
Masaaki Fujii and Akihiko Takahashi
2016: Predicting accounting fraud: Evidence from Japan (Accepted by The Japanese Accounting Review)
Song Mingzi, Naoto Oshiro and Akinobu Shuto
2016: An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Forthcoming in Asia-Pacific Financial Markets) Downloads
Akihiko Takahashi and Toshihiro Yamada
2016: Who buys what, where: Reconstruction of the international trade flows by commodity and industry Downloads
Yuichi Ikeda and Tsutomu Watanabe
2016: Power laws in market capitalization during the Dot-com and Shanghai bubble periods Downloads
Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe
2016: A Return Prediction-based Investment with Particle Filtering and Anomaly Detection Downloads
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
2016: A General Control Variate Method for Multi-dimensional SDEs: An Application to Multi-asset Options under Local Stochastic Volatility with Jumps Models in Finance (Subsequently published in "European Journal of Operational Research")
Kenichiro Shiraya and Akihiko Takahashi
2016: Abenomics after Four Years: Formidable Challenges ahead with Limited Policy Tools Downloads
Kazuo Ueda
2016: The gradual evolution of buyer-seller networks and their role in aggregate fluctuations Downloads
Ryohei Hisano, Tsutomu Watanabe, Takayuki Mizuno, Takaaki Ohnishi and Didier Sornette
2016: The Formation of Consumer Inflation Expectations: New Evidence From Japan's Deflation Experience Downloads
Jess Diamond, Kota Watanabe and Tsutomu Watanabe
2016: Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions Downloads
Masaaki Fujii and Akihiko Takahashi
2016: Mechanism Design in Hidden Action and Hidden Information: Richness and Pure Groves Downloads
Hitoshi Matsushima and Shunya Noda
2016: Rebalancing Static Super-Replications (Forthcoming in International Journal of Financial Engineering) Downloads
Akihiko Takahashi and Yukihiro Tsuzuki
2016: Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory Downloads
Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama
2016: Optimal Room Charge and Expected Sales under Discrete Choice Models with Limited Capacity (Forthcoming in "International Journal of Hospitality Management")
Taiga Saito, Akihiko Takahashi and Hiroshi Tsuda
2016: Three "Seismic Shifts" in the Global Economy and Policy Challenges Downloads
Kiyohiko G. Nishimura
2016: A General Framework for the Benchmark pricing in a Fully Collateralized Market (formerly titled as "Choice of Collateral Currecy Updated" carf-f-371; Forthcoming in Journal of Financial Engineering) Downloads
Masaaki Fujii and Akihiko Takahashi
2015: An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models (Forthcoming in Stochastics)
Kenichiro Shiraya and Akihiko Takahashi
2015: Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability Downloads
Masaaki Fujii and Akihiko Takahashi
2015: Asymptotic Expansion for Forward-Backward SDEs Downloads
Masaaki Fujii and Akihiko Takahashi
2015: Price Impacts of Imperfect Collateralization (Revised version of CARF-F-355; Subsequently published in "International Journal of Financial Engineering")
Kenichiro Shiraya and Akihiko Takahashi
2015: Financial Disintermediation and Financial Fragility Downloads
Kosuke Aoki and Kalin Nikolov
2015: Price Impacts of Imperfect Collateralization Downloads
Kenichiro Shiraya and Akihiko Takahashi
2015: Currency intervention and the global portfolio balance effect: Japanese lessons Downloads
Petra Gerlach-Kristen, Robert McCauley and Kazuo Ueda
2015: Optimal Position Management for a Market Maker with Stochastic Price Impacts Downloads
Masaaki Fujii
2015: Choice of Collateral Currency Updated -A market model for the benchmark pricing- Downloads
Masaaki Fujii and Akihiko Takahashi
2015: An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
Kenichiro Shiraya and Akihiko Takahashi
2015: Asymptotic Expansion Approach in Finance Downloads
Akihiko Takahashi
2015: Managerial discretion over initial earnings forecasts Downloads
Takuya Iwasaki, Norio Kitagawa and Akinobu Shuto
2015: Management Earnings Forecasts as a Performance Target in Executive Compensation Contracts Downloads
Shota Otomasa, Atsushi Shiiba and Akinobu Shuto
2015: Credibility of management earnings forecasts and future returns Downloads
Norio Kitagawa and Akinobu Shuto
2015: Novel and topical business news and their impact on stock market activities Downloads
Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe
2015: Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models
Kenichiro Shiraya and Akihiko Takahashi
2015: Replicating Japan's CPI Using Scanner Data Downloads
Satoshi Imai and Tsutomu Watanabe
2015: An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver Downloads
Akihiko Takahashi and Toshihiro Yamada
2015: Structure of global buyer-supplier networks and its implications for conflict minerals regulations Downloads
Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe
2015: A weak approximation with asymptotic expansion and multidimensional Malliavin weights Downloads
Akihiko Takahashi and Toshihiro Yamada
2015: Connected Price Dynamics with Revealed Preferences and Auctioneer’s Discretionin VCG Combinatorial Auction (Published in the B. E. Journal of Theoretical Economics 18 (1), 2018.) Downloads
Hitoshi Matsushima
2015: Optimal Mechanism Design: Type-Independent Preference Orderings (Published in the Japanese Economic Review 69 (4), 2018.) Downloads
Hitoshi Matsushima
2015: Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method Downloads
Masaaki Fujii and Akihiko Takahashi
2014: A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing Downloads
Masaaki Fujii
2014: Buyer-Supplier Networks and Aggregate Volatility Downloads
Takayuki Mizuno, Wataru Souma and Tsutomu Watanabe
2014: An FBSDE Approach to American Option Pricing with an Interacting Particle Method Downloads
Masaaki Fujii, Seisho Sato and Akihiko Takahashi
2014: Working Less and Bargain Hunting More:Macro Implications of Sales during Japan's Lost Decades Downloads
Nao Sudo, Kozo Ueda, Kota Watanabe and Tsutomu Watanabe
2014: On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- (Revised version of CARF-F-324; Forthcoming in "Mathematics of Operations Research", Revised in September 2014) Downloads
Akihiko Takahashi and Toshihiro Yamada
2014: MULTI-BELIEF RATIONAL-EXPECTATIONS EQUILIBRIA: INDETERMINACY, COMPLEXITY AND SUSTAINED DEFLATION Downloads
Kiyohiko G. Nishimura and Hiroyuki Ozaki S
2014: A New Improvement Scheme for Approximation Methods of Probability Density Functions Downloads
Akihiko Takahashi and Yukihiro Tsuzuki
2014: A Semi-group Expansion for Pricing Barrier Options Downloads
Takashi Kato, Akihiko Takahashi and Toshihiro Yamada
2014: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows Downloads
Masaaki Fujii and Akihiko Takahashi
2014: Beauty Contests and Fat Tails in Financial Markets Downloads
Makoto Nirei and Tsutomu Watanabe
2014: Complexity of Payment Network Downloads
Hitoshi Hayakawa
2014: Safe Asset Shortages and Asset Price Bubbles Downloads
Kosuke Aoki, Tomoyuki Nakajima and Kalin Nikolov
2014: Pricing Basket Options under Local Stochastic Volatility with Jumps
Kenichiro Shiraya and Akihiko Takahashi
2014: On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- Downloads
Akihiko Takahashi and Toshihiro Yamada
2014: We construct a Törnqvist daily price index using Japanese point of sale (POS) scannerdata spanning from 1988 to 2013. We find the following. First, the POS based inflation rate tends to be about 0.5 percentage points lower than the CPI inflation rate, although the difference between the two varies over time. Second, the difference between the two measures is greatest from 1992 to 1994, when, following the burst of bubble economy in 1991, the POS inflation rate drops rapidly and turns negative in June 1992, while the CPI inflation rate remains positive until summer 1994. Third, the standard deviation of daily POS inflation is 1.1 percent compared to a standard deviation for the monthly change in the CPI of 0.2 percent, indicating that daily POS inflation is much more volatile, mainly due to frequent switching between regular and sale prices. We show that the volatility in daily inflation can be reduced by more than 2daily inflation rate 0 percent by trimming the tails of product-level price change distributions. Finally, if we measure price changes from one day to the next and construct a chained Törnqvist index, a strong chain drift arises so that the chained price index falls to 10-10 of the base value over the 25-year sample period, which is equivalent to an annual deflation rate of 60 percent. We provide evidence suggesting that one source of the chain drift is fluctuations in sales quantity before, during, and after a sale period Downloads
Kota Watanabe and Tsutomu Watanabe
2014: A New Improvement Scheme for Approximation Methods of Probability Density Functions Downloads
Akihiko Takahashi and Yukihiro Tsuzuki
2014: Speculative Attacks with Multiple Targets Downloads
Junichi Fujimoto
2014: The Structure and Evolution of Buyer-Supplier Networks Downloads
Takayuki Mizuno, Wataru Souma and Tsutomu Watanabe
2014: Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows Downloads
Masaaki Fujii and Akihiko Takahashi
2014: LIQUIDITY PREFERENCE AND KNIGHTIAN UNCERTAINTY Downloads
Kiyohiko G. Nishimura and Hiroyuki Ozaki
2014: A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights Downloads
Akihiko Takahashi and Toshihiro Yamada
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