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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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2009: The Structure of Japan's Financial Regulation and Supervision and the Role Played by the Bank of Japan Downloads
Kazuo Ueda
2009: Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution
Jouchi Nakajima and Yasuhiro Omori
2009: Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors Downloads
Tsunehiro Ishihara and Yasuhiro Omori
2009: A Survey on Modeling and Analysis of Basis Spreads Downloads
Masaaki Fujii and Akihiko Takahashi
2009: An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options Downloads
Akihiko Takahashi and Toshihiro Yamada
2009: Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan Downloads
Chia-Lin Chang and Michael McAleer
2009: Multivariate Stochastic Volatility with Cross Leverage
Tsunehiro Ishihara and Yasuhiro Omori
2009: Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations Downloads
Chia-Ling Chang, Thanchanok Khamkaew, Michael McAleer and Roengchai Tansuchat
2009: Non-Traditional Monetary Polices: G7 Central Banks during 2007-2009 and the Bank of Japan during 1998-2006 Downloads
Kazuo Ueda
2009: Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns Downloads
Tanchanok Khamkaew, Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
2009: Forecasting Realized Volatility with Linear and Nonlinear Models Downloads
Michael McAleer and Marcelo Medeiros
2009: A Panel Threshold Model of Tourism Specialization and Economic Development Downloads
Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer
2009: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies Downloads
Shawkat Hammoudeh, Yuan Yuan, Michael McAleer and Mark A. Thompson
2009: It Pays to Violate: How Effective are the Basel Accord Penalties? Downloads
Bernardo da Veiga, Felix Chan and Michael McAleer
2009: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns Downloads
Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
2009: Computing Densities: A Conditional Monte Carlo Estimator Downloads
R. Braun, Huiyu Li and John Stachurski
2009: Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence Downloads
Abdul Hakim and Michael McAleer
2009: VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds Downloads
Abdul Hakim and Michael McAleer
2009: The Second End of Laissez-Faire -- Bootstrapping Nature of Money and Inherent Instability of Capitalism Downloads
Katsuhito Iwai
2009: Implementation and Mind Control Downloads
Hitoshi Matsushima
2009: Simple Expected Volatility (SEV) Index: Application to SET50 Index Options Downloads
Chatayan Wiphatthanananthakul and Michael McAleer
2009: Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies Downloads
Shawkat Hammoudeh, Yuan Yuan and Michael McAleer
2009: Optimal Risk Management Before, During and After the 2008-09 Financial Crisis Downloads
Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral
2009: Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets Downloads
Abdul Hakim and Michael McAleer
2009: Value-at-Risk for Country Risk Ratings Downloads
Michael McAleer, Bernardo da Veiga and Suhejla Hoti
2009: Dynamic Conditional Correlations for Asymmetric Processes Downloads
Manabu Asai and Michael McAleer
2009: Asymmetry and Leverage in Realized Volatility Downloads
Manabu Asai, Michael McAleer and Marcelo Medeiros
2009: Alternative Asymmetric Stochastic Volatility Models Downloads
Manabu Asai and Michael McAleer
2009: Asymptotic Expansion Approaches in Finance: Applications to Currency Options
Akihiko Takahashi and Kohta Takehara
2009: The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges Downloads
Michael McAleer
2009: Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets Downloads
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
2009: Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets Downloads
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
2009: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments Downloads
Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki
2009: A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk Downloads
Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral
2009: Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? Downloads
Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral
2009: Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return Downloads
Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
2009: Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models Downloads
Massimiliano Caporin and Michael McAleer
2009: What Happened to Risk Management During the 2008-09 Financial Crisis? Downloads
Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral
2009: Investment Frictions versus Financing Frictions Downloads
Takao Kobayashi and Risa Sai
2009: Exclusive Dealing and Large Distributors Downloads
Ryoko Oki and Noriyuki Yanagawa
2009: Business Cycle Implications of Internal Consumption Habit for New Keynesian Model Downloads
Takashi Kano and James Nason
2009: Computation in an Asymptotic Expansion Method Downloads
Akihiko Takahashi, Kohta Takehara and Masashi Toda
2009: IMF Bank-Restructuring Efficiency Outcomes: Evidence from East Asia Downloads
Mohamed Ariff and Luc Can
2009: The Determinants of Bank Capital Ratios in a Developing Economy Downloads
Michael J. Skully, Rubi Ahmad and Mohamed Ariff
2009: The Activities of a Japanese Bank in the Interwar Financial Centers: A Case of the Yokohama Specie Bank Downloads
Makoto Kasuya
2009: Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model Downloads
Isao Ishida and Toshiaki Watanabe
2009: Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes Downloads
Hitoshi Matsushima
2008: A Strategic Theory of Markets Downloads
Eiichiro Kazumori
2008: Interbank Networks in Pre-war Japan:Structure and Implications Downloads
Tetsuji Okazaki and Michiru Sawada
2008: Macroeconomic Implications of Term Structures of Interest Rates under Stochastic Differential Utility with Non-Unitary EIS ( Forthcoming in "Asia-Pacific Financial Markets", vol.16-3231-263, 2009; Revised in July 2009 ) Downloads
Hisasi Nakamura, Wataru Nozawa and Akihiko Takahashi
2008: Implementation and Social Influence Downloads
Hitoshi Matsushima
2008: A Remark on a Singular Perturbation Method for Option Pricing under a Stochastic Volatility Model ( Forthcoming in "Asia-Pacific Financial Markets". )
Kyo Yamamoto and Akihiko Takahashi
2008: Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment ( Revised in May 2009; Electronic version of an article will be published in "International Journal of Theoretical and Applied Finance". [copyright world Scientific Publishing Company][http://www.worldscinet.com/ijtaf/] ) Downloads
Kyo Yamamoto, Seisho Sato and Akihiko Takahashi
2008: Hedge Fund Replication ?Revised in November 2008, forthcoming in The Recent Trend of Hedge Fund Strategies) Downloads
Akihiko Takahashi and Kyo Yamamoto
2008: On productivity performance gains of Indonesian firms Downloads
Mohamed Ariff and Viverita
2008: The Rise of China and Sustained Recovery of Japan Downloads
Shin-ichi Fukuda
2008: Financial Imperfection and Outsourcing Decision Downloads
Noriyuki Yanagawa
2008: Biased Motivation of Experts: Should They be Aggressive or Conservative? Downloads
Noriyuki Yanagawa
2008: Exclusive Dealing Contract and Inefficient Entry Threat Downloads
Noriyuki Yanagawa and Ryoko Oki
2008: Timing of Convertible Debt Financing and Investment Downloads
Kyoko Yagi, Ryuta Takashima, Hiroshi Takamori and Katsushige Sawaki
2008: How Capital Structure Adjusts Dynamically during Financial Crisis Downloads
Shamsher M., Mohamed Ariff and Taufiq H
2008: Factors Correlated with Equity Market Risk Premiums in Developed and Emerging Markets Downloads
Vijaya B. Marisetty and Mohamed Ariff
2008: IMF BANK-RESTRUCTURING EFFICIENCY OUTCOMES:EVIDENCE FROM EAST ASIA Downloads
Mohamed Ariff and Luc Can
2008: DO ACCOUNTING AND FINANCE TOOLS SERVE GOVERNANCE? Downloads
Mohamed Ariff and J. Ratnatunga
2008: DO ACCOUNTING DISCLOSURES OF FEE INCOME AFFECT COMMERCIAL BANK SHARE PRICES? Downloads
F.F. Cheng and Mohamed Ariff
2008: The Role of Non-Parity Fundamentals in Exchange Rate Determination: Australia and the Asia Pacific Region Downloads
Catherine S. F. Ho and Mohamed Ariff
2008: Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect ( Revised version of CARF-F-101(2007); Revised version subsequently published in "Journal of International Economics", 2009, 78, p72-85. ) Downloads
Takashi Kano
2008: Human Capital as an Asset Mix and Optimal Life-Cycle Portfolio: An Analytical Solution Downloads
Takao Kobayashi, Risa Sai and Kazuya Shibata
2008: Impaired Bank Health and Default Risk ( Forthcoming in "Pacific-Basin Finance Journal". ) Downloads
Shin-ichi Fukuda, Munehisa Kasuya and Kentaro Akashi
2008: Effects of Reputation in Bubbles and Crashes ( Revised in April 2008 ) Downloads
Hitoshi Matsushima
2008: A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options ( Revised in April 2008, January 2009 and April 2010; forthcoming in "International Journal of Theoretical and Applied Finance". )
Akihiko Takahashi and Kohta Takehara
2008: A New Scheme for Static Hedging of European Derivatives under Stochastic Volatility Models ( Revised in June 2008, Published in "Journal of Futures Markets", Vol.29-5, 397-413, 2009. ) Downloads
Akihiko Takahashi and Akira Yamazaki
2008: Technology Shocks and Asset Price Dynamics:The Role of Housing in General Equilibrium Downloads
Jiro Yoshida
2008: Term Structure of Interest Rates under Recursive Preferences in Continuous Time ( Revised in February 2008, subsequently published in "Asia-Pacific Financial Markets", Vol.15-3,4, 273-305. ) Downloads
Hisashi Nakamura, Keita Nakayama and Akihiko Takahashi
2008: The saving rate in Japan: Why it has fallen and why it will remain low Downloads
Douglas H. Joines, R. Braun and Daisuke Ikeda
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