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

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

Tsunehiro Ishihara and Yasuhiro Omori

2009: A Survey on Modeling and Analysis of Basis Spreads

Masaaki Fujii and Akihiko Takahashi

2009: An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options

Akihiko Takahashi and Toshihiro Yamada

2009: Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

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

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

Kazuo Ueda

2009: Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns

Tanchanok Khamkaew, Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer

2009: Forecasting Realized Volatility with Linear and Nonlinear Models

Michael McAleer and Marcelo Medeiros

2009: A Panel Threshold Model of Tourism Specialization and Economic Development

Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer

2009: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

Shawkat Hammoudeh, Yuan Yuan, Michael McAleer and Mark A. Thompson

2009: It Pays to Violate: How Effective are the Basel Accord Penalties?

Bernardo da Veiga, Felix Chan and Michael McAleer

2009: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer

2009: Computing Densities: A Conditional Monte Carlo Estimator

R. Braun, Huiyu Li and John Stachurski

2009: Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence

Abdul Hakim and Michael McAleer

2009: VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds

Abdul Hakim and Michael McAleer

2009: The Second End of Laissez-Faire -- Bootstrapping Nature of Money and Inherent Instability of Capitalism

Katsuhito Iwai

2009: Implementation and Mind Control

Hitoshi Matsushima

2009: Simple Expected Volatility (SEV) Index: Application to SET50 Index Options

Chatayan Wiphatthanananthakul and Michael McAleer

2009: Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies

Shawkat Hammoudeh, Yuan Yuan and Michael McAleer

2009: Optimal Risk Management Before, During and After the 2008-09 Financial Crisis

Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral

2009: Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets

Abdul Hakim and Michael McAleer

2009: Value-at-Risk for Country Risk Ratings

Michael McAleer, Bernardo da Veiga and Suhejla Hoti

2009: Dynamic Conditional Correlations for Asymmetric Processes

Manabu Asai and Michael McAleer

2009: Asymmetry and Leverage in Realized Volatility

Manabu Asai, Michael McAleer and Marcelo Medeiros

2009: Alternative Asymmetric Stochastic Volatility Models

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

Michael McAleer

2009: Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

2009: Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

2009: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments

Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki

2009: A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk

Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral

2009: Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral

2009: Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

2009: Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Massimiliano Caporin and Michael McAleer

2009: What Happened to Risk Management During the 2008-09 Financial Crisis?

Michael McAleer, Juan Jimenez-Martin and Teodosio Pérez-Amaral

2009: Investment Frictions versus Financing Frictions

Takao Kobayashi and Risa Sai

2009: Exclusive Dealing and Large Distributors

Ryoko Oki and Noriyuki Yanagawa

2009: Business Cycle Implications of Internal Consumption Habit for New Keynesian Model

Takashi Kano and James Nason

2009: Computation in an Asymptotic Expansion Method

Akihiko Takahashi, Kohta Takehara and Masashi Toda

2009: IMF Bank-Restructuring Efficiency Outcomes: Evidence from East Asia

Mohamed Ariff and Luc Can

2009: The Determinants of Bank Capital Ratios in a Developing Economy

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

Makoto Kasuya

2009: Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

Isao Ishida and Toshiaki Watanabe

2009: Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes

Hitoshi Matsushima

2008: A Strategic Theory of Markets

Eiichiro Kazumori

2008: Interbank Networks in Pre-war Japan:Structure and Implications

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 )

Hisasi Nakamura, Wataru Nozawa and Akihiko Takahashi

2008: Implementation and Social Influence

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/] )

Kyo Yamamoto, Seisho Sato and Akihiko Takahashi

2008: Hedge Fund Replication ?Revised in November 2008, forthcoming in The Recent Trend of Hedge Fund Strategies)

Akihiko Takahashi and Kyo Yamamoto

2008: On productivity performance gains of Indonesian firms

Mohamed Ariff and Viverita

2008: The Rise of China and Sustained Recovery of Japan

Shin-ichi Fukuda

2008: Financial Imperfection and Outsourcing Decision

Noriyuki Yanagawa

2008: Biased Motivation of Experts: Should They be Aggressive or Conservative?

Noriyuki Yanagawa

2008: Exclusive Dealing Contract and Inefficient Entry Threat

Noriyuki Yanagawa and Ryoko Oki

2008: Timing of Convertible Debt Financing and Investment

Kyoko Yagi, Ryuta Takashima, Hiroshi Takamori and Katsushige Sawaki

2008: How Capital Structure Adjusts Dynamically during Financial Crisis

Shamsher M., Mohamed Ariff and Taufiq H

2008: Factors Correlated with Equity Market Risk Premiums in Developed and Emerging Markets

Vijaya B. Marisetty and Mohamed Ariff

2008: IMF BANK-RESTRUCTURING EFFICIENCY OUTCOMES:EVIDENCE FROM EAST ASIA

Mohamed Ariff and Luc Can

2008: DO ACCOUNTING AND FINANCE TOOLS SERVE GOVERNANCE?

Mohamed Ariff and J. Ratnatunga

2008: DO ACCOUNTING DISCLOSURES OF FEE INCOME AFFECT COMMERCIAL BANK SHARE PRICES?

F.F. Cheng and Mohamed Ariff

2008: The Role of Non-Parity Fundamentals in Exchange Rate Determination: Australia and the Asia Pacific Region

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. )

Takashi Kano

2008: Human Capital as an Asset Mix and Optimal Life-Cycle Portfolio: An Analytical Solution

Takao Kobayashi, Risa Sai and Kazuya Shibata

2008: Impaired Bank Health and Default Risk ( Forthcoming in "Pacific-Basin Finance Journal". )

Shin-ichi Fukuda, Munehisa Kasuya and Kentaro Akashi

2008: Effects of Reputation in Bubbles and Crashes ( Revised in April 2008 )

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. )

Akihiko Takahashi and Akira Yamazaki

2008: Technology Shocks and Asset Price Dynamics:The Role of Housing in General Equilibrium

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. )

Hisashi Nakamura, Keita Nakayama and Akihiko Takahashi