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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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2011: SDE WEAK APPROXIMATION LIBRARY (SDE WA) (VERSION 1.0) Downloads
Mariko Ninomiya
2011: Speculative Attacks with Multiple Targets Downloads
Junichi Fujimoto
2011: The Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004 Downloads
Tsutomu Watanabe and Tomoyoshi Yabu
2011: Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA Downloads
Masaaki Fujii and Akihiko Takahashi
2011: Currency intervention and the global portfolio balance effect: Japanese and Swiss lessons, 2003-2004 and 2009-2010 Downloads
Petra Gerlach-Kristen, Robert McCauley and Kazuo Ueda
2011: POWER LAWS IN REAL ESTATE PRICES DURING BUBBLE PERIODS Downloads
Takaaki Ohnishi, Takayuki Mizuno, Chihiro Shimizu and Tsutomu Watanabe
2011: Temporal and Cross Correlations in Business News Downloads
Takayuki Mizuno, Kazumasa Takei, Takaaki Ohnishi and Tsutomu Watanabe
2011: Price-Based Combinatorial Auction: Connectedness and Representative Valuations Downloads
Hitoshi Matsushima
2011: Clean Valuation Framework for the USD Silo -An implication for the forthcoming Standard Credit Support Annex (SCSA)- Downloads
Akihiko Takahashi Masaaki Fujii
2011: Japan's Deleveraging since the 1990s and the Bank of Japan's Monetary Policy: Some Comparisons with the U.S. Experience since 2007 Downloads
Kazuo Ueda
2011: Efficient Combinatorial Exchanges Downloads
Hitoshi Matsushima
2011: Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective Downloads
Junko Koeda
2011: ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION(Revised in March 2012, Forthcoming in "Mathematics and Financial Economics") Downloads
Keita Owari
2011: An Asymptotic Expansion with Push-Down of Malliavin Weights Downloads
Akihiko Takahashi and Toshihiro Yamada
2011: Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
Kenichiro Shiraya, Akihiko Takahashi and Akira Yamazaki
2011: Japan's Deflation and the Bank of Japan's Experience with Non-traditional Monetary Policy Downloads
Kazuo Ueda
2011: Bubbles, Banks, and Financial Stability Downloads
Kosuke Aoki and Kalin Nikolov
2011: The Effectiveness of Non-traditional Monetary Policy Measures: The Case of the Bank of Japan Downloads
Kazuo Ueda
2011: Pricing Discrete Barrier Options under Stochastic Volatility
Kenichiro Shiraya, Akihiko Takahashi and Toshihiro Yamada
2011: Are Japanese Firms Becoming More Independent from Their Banks?: Evidence from the Firm-Level Data of the "Corporate Enterprise Quarterly Statistics," 1994-2009 Downloads
Yoshiro Miwa
2011: Interbank Networks in Prewar Japan: Structure and Implications Downloads
Tetsuji Okazaki and Michiru Sawada
2011: Rebalancing Static Super-Replications Downloads
Akihiko Takahashi and Yukihiro Tsuzuki
2011: A General Computation Scheme for a High-Order Asymptotic Expansion Method Downloads
Akihiko Takahashi, Kohta Takehara and Masashi Toda
2011: Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme Downloads
Masaaki Fujii and Akihiko Takahashi
2011: Democracy and Reforms: Evidence from a New Dataset Downloads
Paola Giuliano, Prachi Mishra and Antonio Spilimbergo
2011: Collateralized CDS and Default Dependence -Implications for the Central Clearing- Downloads
Masaaki Fujii and Akihiko Takahashi
2011: A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies Downloads
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
2011: An Asymptotic Expansion with Push-Down of Malliavin Weights Downloads
Akihiko Takahashi and Toshihiro Yamada
2011: Investment and Ultimatum Games: Experiments Downloads
Hitoshi Matsushima and Toshihiko Shima
2011: Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA Downloads
Masaaki Fujii and Akihiko Takahashi
2011: Exclusive Dealing Contracts by Distributors Downloads
Ryoko Oki and Noriyuki Yanagawa
2011: A Study of Financing Behavior of Japanese Firms with Firm-Level Data from Corporate Enterprise Quarterly Statistics - 1994~2009: Introduction and Summary Downloads
Yoshiro Miwa
2011: How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited Downloads
Junko Koeda
2010: Choice of Collateral Currency Downloads
Masaaki Fujii and Akihiko Takahashi
2010: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments Downloads
Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki
2010: Modeling of Interest Rate Term Structures under Collateralization and its Implications Downloads
Masaaki Fujii and Akihiko Takahashi
2010: Japan's Bubble, America's Bubble and China's Bubble Downloads
Kazuo Ueda
2010: Uninsured countercyclical risk: an aggregation result and application to optimal monetary policy Downloads
R. Braun and Tomoyuki Nakajima
2010: Financial Institution, Asset Bubbles and Economic Performance Downloads
Tomohiro Hirano and Noriyuki Yanagawa
2010: Firm Heterogeneity under Financial Imperfection: Impacts of Trade and Capital Movement Downloads
Taiji Furusawa and Noriyuki Yanagawa
2010: Hysteresis in Dynamic General Equilibrium Models with Cash-in-Advance Constraints Downloads
Kazuya Kamiya and Takashi Shimizu
2010: Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London Downloads
Shin-ichi Fukuda
2010: On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise Downloads
Naoto Kunitomo and Seisho Sato
2010: Financing Harmful Bubbles Downloads
Hitoshi Matsushima
2010: Asset Bubbles, Endogenous Growth, and Financial Frictions Downloads
Tomohiro Hirano and Noriyuki Yanagawa
2010: Core-Selecting Auctions: An Experimental Study Downloads
Eiichiro Kazumori
2010: APPLICATION OF A HIGH-ORDER ASYMPTOTIC EXPANSION SCHEME TO LONG-TERM CURRENCY OPTIONS Downloads
Kohta Takehara, Masashi Toda and Akihiko Takahashi
2010: Why Did ?Zombie? Firms Recover in Japan? Downloads
Shin-ichi Fukuda and Jun-Ichi Nakamura
2010: Exclusive Dealing and the Market Power of Buyers Downloads
Ryoko Oki and Noriyuki Yanagawa
2010: Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors Downloads
Tsunehiro Ishihara and Yasuhiro Omori
2010: Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance Downloads
Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong
2010: Ranking Multivariate GARCH Models by Problem Dimension Downloads
Massimiliano Caporin and Michael McAleer
2010: Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies Downloads
Shawkat Hammoudeh, Yuan Yuan and Michael McAleer
2010: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH Downloads
Massimiliano Caporin and Michael McAleer
2010: Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management- Downloads
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
2010: Pricing Barrier and Average Options under Stochastic Volatility Environment
Kenichiro Shiraya, Akihiko Takahashi and Masashi Toda
2010: Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution Downloads
Jouchi Nakajima and Yasuhiro Omori
2010: Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
Kenichiro Shiraya, Akihiko Takahashi and Akira Yamazaki
2010: Role of Relative and Absolute Performance Evaluations in Intergroup Competition Downloads
Hitoshi Matsushima
2010: New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme ( Forthcoming in "The Proceedings of KIER-TMU International Workshop on Financial Engineering 2009".) Downloads
Kohta Takehara, Akihiko Takahashi and Masashi Toda
2010: A New Hedge Fund Replication Method With The Dynamic Optimal Portfolio Downloads
Akihiko Takahashi and Kyo Yamamoto
2010: Role of Linking Mechanisms in Multitask Agency with Hidden Information Downloads
Hitoshi Matsushima, Koichi Miyazaki and Nobuyuki Yagi
2010: Finitely Repeated Prisoners' Dilemma with Small Fines: Penance Contract Downloads
Hitoshi Matsushima
2010: The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective Downloads
Junko Koeda and Ryo Kato
2010: Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: an Application to Hedge Fund Replication Downloads
Akihiko Takahashi and Kyo Yamamoto
2010: Incentives in Hedge Funds Downloads
Hitoshi Matsushima
2010: Convertible Subordinated Debt Financing and Optimal Investment Timing Downloads
Kyoko Yagi and Ryuta Takashima
2010: THE TOKYO FINANCIAL MARKETS RESEARCH DATA SERVICES: I. FACTORS DATA FOR EQUITY MARKETS Downloads
Eiichiro Kazumori
2010: Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns Downloads
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
2010: Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach Downloads
Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong
2010: Realized Volatility Risk Downloads
David Allen, Michael McAleer and Marcel Scharth
2010: A Note on Construction of Multiple Swap Curves with and without Collateral Downloads
Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi
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