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)

Mariko Ninomiya

2011: Speculative Attacks with Multiple Targets

Junichi Fujimoto

2011: The Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004

Tsutomu Watanabe and Tomoyoshi Yabu

2011: Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA

Masaaki Fujii and Akihiko Takahashi

2011: Currency intervention and the global portfolio balance effect: Japanese and Swiss lessons, 2003-2004 and 2009-2010

Petra Gerlach-Kristen, Robert McCauley and Kazuo Ueda

2011: POWER LAWS IN REAL ESTATE PRICES DURING BUBBLE PERIODS

Takaaki Ohnishi, Takayuki Mizuno, Chihiro Shimizu and Tsutomu Watanabe

2011: Temporal and Cross Correlations in Business News

Takayuki Mizuno, Kazumasa Takei, Takaaki Ohnishi and Tsutomu Watanabe

2011: Price-Based Combinatorial Auction: Connectedness and Representative Valuations

Hitoshi Matsushima

2011: Clean Valuation Framework for the USD Silo -An implication for the forthcoming Standard Credit Support Annex (SCSA)-

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

Kazuo Ueda

2011: Efficient Combinatorial Exchanges

Hitoshi Matsushima

2011: Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective

Junko Koeda

2011: ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION(Revised in March 2012, Forthcoming in "Mathematics and Financial Economics")

Keita Owari

2011: An Asymptotic Expansion with Push-Down of Malliavin Weights

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

Kazuo Ueda

2011: Bubbles, Banks, and Financial Stability

Kosuke Aoki and Kalin Nikolov

2011: The Effectiveness of Non-traditional Monetary Policy Measures: The Case of the Bank of Japan

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

Yoshiro Miwa

2011: Interbank Networks in Prewar Japan: Structure and Implications

Tetsuji Okazaki and Michiru Sawada

2011: Rebalancing Static Super-Replications

Akihiko Takahashi and Yukihiro Tsuzuki

2011: A General Computation Scheme for a High-Order Asymptotic Expansion Method

Akihiko Takahashi, Kohta Takehara and Masashi Toda

2011: Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme

Masaaki Fujii and Akihiko Takahashi

2011: Democracy and Reforms: Evidence from a New Dataset

Paola Giuliano, Prachi Mishra and Antonio Spilimbergo

2011: Collateralized CDS and Default Dependence -Implications for the Central Clearing-

Masaaki Fujii and Akihiko Takahashi

2011: A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies

Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi

2011: An Asymptotic Expansion with Push-Down of Malliavin Weights

Akihiko Takahashi and Toshihiro Yamada

2011: Investment and Ultimatum Games: Experiments

Hitoshi Matsushima and Toshihiko Shima

2011: Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA

Masaaki Fujii and Akihiko Takahashi

2011: Exclusive Dealing Contracts by Distributors

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

Yoshiro Miwa

2011: How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited

Junko Koeda

2010: Choice of Collateral Currency

Masaaki Fujii and Akihiko Takahashi

2010: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments

Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki

2010: Modeling of Interest Rate Term Structures under Collateralization and its Implications

Masaaki Fujii and Akihiko Takahashi

2010: Japan's Bubble, America's Bubble and China's Bubble

Kazuo Ueda

2010: Uninsured countercyclical risk: an aggregation result and application to optimal monetary policy

R. Braun and Tomoyuki Nakajima

2010: Financial Institution, Asset Bubbles and Economic Performance

Tomohiro Hirano and Noriyuki Yanagawa

2010: Firm Heterogeneity under Financial Imperfection: Impacts of Trade and Capital Movement

Taiji Furusawa and Noriyuki Yanagawa

2010: Hysteresis in Dynamic General Equilibrium Models with Cash-in-Advance Constraints

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

Shin-ichi Fukuda

2010: On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise

Naoto Kunitomo and Seisho Sato

2010: Financing Harmful Bubbles

Hitoshi Matsushima

2010: Asset Bubbles, Endogenous Growth, and Financial Frictions

Tomohiro Hirano and Noriyuki Yanagawa

2010: Core-Selecting Auctions: An Experimental Study

Eiichiro Kazumori

2010: APPLICATION OF A HIGH-ORDER ASYMPTOTIC EXPANSION SCHEME TO LONG-TERM CURRENCY OPTIONS

Kohta Takehara, Masashi Toda and Akihiko Takahashi

2010: Why Did ?Zombie? Firms Recover in Japan?

Shin-ichi Fukuda and Jun-Ichi Nakamura

2010: Exclusive Dealing and the Market Power of Buyers

Ryoko Oki and Noriyuki Yanagawa

2010: Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors

Tsunehiro Ishihara and Yasuhiro Omori

2010: Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance

Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong

2010: Ranking Multivariate GARCH Models by Problem Dimension

Massimiliano Caporin and Michael McAleer

2010: Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies

Shawkat Hammoudeh, Yuan Yuan and Michael McAleer

2010: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Massimiliano Caporin and Michael McAleer

2010: Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management-

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

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

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".)

Kohta Takehara, Akihiko Takahashi and Masashi Toda

2010: A New Hedge Fund Replication Method With The Dynamic Optimal Portfolio

Akihiko Takahashi and Kyo Yamamoto

2010: Role of Linking Mechanisms in Multitask Agency with Hidden Information

Hitoshi Matsushima, Koichi Miyazaki and Nobuyuki Yagi

2010: Finitely Repeated Prisoners' Dilemma with Small Fines: Penance Contract

Hitoshi Matsushima

2010: The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective

Junko Koeda and Ryo Kato

2010: Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: an Application to Hedge Fund Replication

Akihiko Takahashi and Kyo Yamamoto

2010: Incentives in Hedge Funds

Hitoshi Matsushima

2010: Convertible Subordinated Debt Financing and Optimal Investment Timing

Kyoko Yagi and Ryuta Takashima

2010: THE TOKYO FINANCIAL MARKETS RESEARCH DATA SERVICES: I. FACTORS DATA FOR EQUITY MARKETS

Eiichiro Kazumori

2010: Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns

Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer

2010: Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach

Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong

2010: Realized Volatility Risk

David Allen, Michael McAleer and Marcel Scharth

2010: A Note on Construction of Multiple Swap Curves with and without Collateral

Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi