CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
Contact information at EDIRC.
Bibliographic data for series maintained by ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

cf408: Price Rigidity at Near-Zero Inflation Rates: Evidence from Japan

Kota Watanabe and Tsutomu Watanabe

cf407: Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach

Elisa Alos and Kenichiro Shiraya

cf406: Creating Investment Scheme with State Space Modeling

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

cf405: Fuzzy Logic-based Portfolio Selection with Particle Filtering and Anomaly Detection (Subsequently published in "Knowledge-Based Systems")

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

cf404: Portfolio Choice and Its Predictions on Japanese Municipalities in the 2040s

Yoshihiro Tamai, Chihiro Shimizu and Kiyohiko G. Nishimura

cf403: 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

cf402: Predicting accounting fraud: Evidence from Japan (Accepted by The Japanese Accounting Review)

Song Mingzi, Naoto Oshiro and Akinobu Shuto

cf401: Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from Australian Dollar and the NZ Dollar

Shin-ichi Fukuda and Mariko Tanaka

cf400: Product Turnover and Deflation: Evidence from Japan

Kozo Ueda, Kota Watanabe and Tsutomu Watanabe

cf399: The Effect of Bank Recapitalization Policy on Corporate Investment: Evidence from a Banking Crisis in Japan

Hiroyuki Kasahara, Yasuyuki Sawada and Michio Suzuki

cf398: Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions(Revised version of CARF-F-387)

Masaaki Fujii and Akihiko Takahashi

cf397: An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models (Forthcoming in International Journal of Theoretical and Applied Finance.)

Kenichiro Shiraya

cf396: Monopoly Rights and Economic Growth: An Inverted U-Shaped Relation

Kenichi Ueda and Stijn Claessen

cf395: Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability (revised version of CARF-F-376)

Masaaki Fujii and Akihiko Takahashi

cf394: An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Forthcoming in Asia-Pacific Financial Markets)

Akihiko Takahashi and Toshihiro Yamada

cf393: Who buys what, where: Reconstruction of the international trade flows by commodity and industry

Yuichi Ikeda and Tsutomu Watanabe

cf392: Power laws in market capitalization during the Dot-com and Shanghai bubble periods

Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe

cf391: A Return Prediction-based Investment with Particle Filtering and Anomaly Detection

Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi

cf390: Abenomics after Four Years: Formidable Challenges ahead with Limited Policy Tools

Kazuo Ueda

cf389: The gradual evolution of buyer-seller networks and their role in aggregate fluctuations

Ryohei Hisano, Tsutomu Watanabe, Takayuki Mizuno, Takaaki Ohnishi and Didier Sornette

cf388: The Formation of Consumer Inflation Expectations: New Evidence From Japan's Deflation Experience

Jess Diamond, Kota Watanabe and Tsutomu Watanabe

cf387: Solving Backward Stochastic Differential Equations by Connecting the Short-term Expansions

Masaaki Fujii and Akihiko Takahashi

cf386: Mechanism Design in Hidden Action and Hidden Information: Richness and Pure Groves

Hitoshi Matsushima and Shunya Noda

cf385: Derivatives Pricing with Market Impact and Limit Order Book

Taiga Saito and Akihiko Takahashi

cf384: Rebalancing Static Super-Replications (Forthcoming in International Journal of Financial Engineering)

Akihiko Takahashi and Yukihiro Tsuzuki

cf383: This paper proposes a new approach to style analysis of mutual funds in a general state space framework with particle filtering and generalized simulated annealing (GSA). Speci cally, we regard the ex-posure of each style index as a latent state variable in a state space model and employ a Monte Carlo filter as a particle filtering method, where GSA is effectively applied to estimating unknown parameters. An empirical analysis using data of three Japanese equity mu- tual funds with six standard style indexes con rms the validity of our method. Moreover, we create fund-specific style indexes to further improves estimation in the analysis

Takaya Fukui, Seisho Sato and Akihiko Takahashi

cf382: 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

cf381: Accuracy and Retaliation in Repeated Games with Imperfect Private Monitoring: Experiments and Theory

Yutaka Kayaba, Hitoshi Matsushima and Tomohisa Toyama

cf380: 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

cf379: Three "Seismic Shifts" in the Global Economy and Policy Challenges

Kiyohiko G. Nishimura

cf378: 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)

Masaaki Fujii and Akihiko Takahashi

cf377: An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models (Forthcoming in Stochastics)

Kenichiro Shiraya and Akihiko Takahashi

cf376: Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability

Masaaki Fujii and Akihiko Takahashi

cf375: Price Impacts of Imperfect Collateralization (Revised version of CARF-F-355; Subsequently published in "International Journal of Financial Engineering")

Kenichiro Shiraya and Akihiko Takahashi

cf374: Financial Disintermediation and Financial Fragility

Kosuke Aoki and Kalin Nikolov

cf373: Currency intervention and the global portfolio balance effect: Japanese lessons

Petra Gerlach-Kristen, Robert McCauley and Kazuo Ueda

cf372: Asymptotic Expansion for Forward-Backward SDEs

Masaaki Fujii and Akihiko Takahashi

cf371: Choice of Collateral Currency Updated -A market model for the benchmark pricing-

Masaaki Fujii and Akihiko Takahashi

cf370: The role of accounting conservatism in executive compensation contracts (Forthcoming in Journal of Business Finance and Accounting)

Takuya Iwasaki, Shota Otomasa, Atsushi Shiiba and Akinobu Shuto

cf369: Managerial discretion over initial earnings forecasts “Forthcoming in Pacific-Basin Finance Journalâ€

Takuya Iwasaki, Norio Kitagawa and Akinobu Shuto

cf368: Management Earnings Forecasts as a Performance Target in Executive Compensation Contracts

Shota Otomasa, Atsushi Shiiba and Akinobu Shuto

cf367: Credibility of management earnings forecasts and future returns

Norio Kitagawa and Akinobu Shuto

cf366: Novel and topical business news and their impact on stock market activities

Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe

cf365: Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models

Kenichiro Shiraya and Akihiko Takahashi

cf364: Replicating Japan's CPI Using Scanner Data

Satoshi Imai and Tsutomu Watanabe

cf363: An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver

Akihiko Takahashi and Toshihiro Yamada

cf362: Structure of global buyer-supplier networks and its implications for conflict minerals regulations

Takayuki Mizuno, Takaaki Ohnishi and Tsutomu Watanabe

cf361: An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets

Kenichiro Shiraya and Akihiko Takahashi

cf360: Optimal Position Management for a Market Maker with Stochastic Price Impacts

Masaaki Fujii

cf359: 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.)

Hitoshi Matsushima