CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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cf258: Efficient Combinatorial Exchanges

Hitoshi Matsushima

cf257: ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION(Revised in March 2012, Forthcoming in "Mathematics and Financial Economics")

Keita Owari

cf256: An Asymptotic Expansion with Push-Down of Malliavin Weights

Akihiko Takahashi and Toshihiro Yamada

cf255: Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models

Kenichiro Shiraya, Akihiko Takahashi and Akira Yamazaki

cf254: Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective

Junko Koeda

cf253: Bubbles, Banks, and Financial Stability

Kosuke Aoki and Kalin Nikolov

cf252: The Effectiveness of Non-traditional Monetary Policy Measures: The Case of the Bank of Japan

Kazuo Ueda

cf251: 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

cf250: Interbank Networks in Prewar Japan: Structure and Implications

Tetsuji Okazaki and Michiru Sawada

cf249: On Approximation of the Solutions to Partial Differential Equations in Finance

Akihiko Takahashi and Toshihiro Yamada

cf248: Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme

Masaaki Fujii and Akihiko Takahashi

cf247: Democracy and Reforms: Evidence from a New Dataset

Paola Giuliano, Prachi Mishra and Antonio Spilimbergo

cf246: Collateralized CDS and Default Dependence -Implications for the Central Clearing-

Masaaki Fujii and Akihiko Takahashi

cf245: Rebalancing Static Super-Replications

Akihiko Takahashi and Yukihiro Tsuzuki

cf244: Investment and Ultimatum Games: Experiments

Hitoshi Matsushima and Toshihiko Shima

cf243: Exclusive Dealing Contracts by Distributors

Ryoko Oki and Noriyuki Yanagawa

cf242: A General Computation Scheme for a High-Order Asymptotic Expansion Method

Akihiko Takahashi, Kohta Takehara and Masashi Toda

cf241: A Study of Financing Behavior of Japanese Firms with Firm-Level Data from Corporate Enterprise Quarterly Statistics - 1994~2009: Introduction and Summary

Yoshiro Miwa

cf240: Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA

Masaaki Fujii and Akihiko Takahashi

cf239: Choice of Collateral Currency

Masaaki Fujii and Akihiko Takahashi

cf238: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments

Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki

cf237: How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited

Junko Koeda

cf236: Japan's Bubble, America's Bubble and China's Bubble

Kazuo Ueda

cf235: Japan's Deflation and the Bank of Japan's Experience with Non-traditional Monetary Policy

Kazuo Ueda

cf234: Financial Institution, Asset Bubbles and Economic Performance

Tomohiro Hirano and Noriyuki Yanagawa

cf233: Firm Heterogeneity under Financial Imperfection: Impacts of Trade and Capital Movement

Taiji Furusawa and Noriyuki Yanagawa

cf232: Hysteresis in Dynamic General Equilibrium Models with Cash-in-Advance Constraints

Kazuya Kamiya and Takashi Shimizu

cf231: Exaggerated Death of Distance: Revisiting Distance Effects on Regional Price Dispersions

Kazuko Kano, Takashi Kano and Kazutaka Takechi

cf230: Modeling of Interest Rate Term Structures under Collateralization and its Implications

Masaaki Fujii and Akihiko Takahashi

cf229: Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London

Shin-ichi Fukuda

cf228: On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise

Naoto Kunitomo and Seisho Sato

cf227: Financing Harmful Bubbles

Hitoshi Matsushima

cf226: Core-Selecting Auctions: An Experimental Study

Eiichiro Kazumori

cf225: APPLICATION OF A HIGH-ORDER ASYMPTOTIC EXPANSION SCHEME TO LONG-TERM CURRENCY OPTIONS

Kohta Takehara, Masashi Toda and Akihiko Takahashi

cf224: Why Did ?Zombie? Firms Recover in Japan?

Shin-ichi Fukuda and Jun-Ichi Nakamura

cf223: Asset Bubbles, Endogenous Growth, and Financial Frictions

Tomohiro Hirano and Noriyuki Yanagawa

cf222: Exclusive Dealing and the Market Power of Buyers

Ryoko Oki and Noriyuki Yanagawa

cf221: Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors

Tsunehiro Ishihara and Yasuhiro Omori

cf220: Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance

Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong

cf219: Ranking Multivariate GARCH Models by Problem Dimension

Massimiliano Caporin and Michael McAleer

cf218: Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies

Shawkat Hammoudeh, Yuan Yuan and Michael McAleer

cf217: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Massimiliano Caporin and Michael McAleer

cf216: Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management-

Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi

cf215: Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution

Jouchi Nakajima and Yasuhiro Omori

cf214: Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models

Kenichiro Shiraya, Akihiko Takahashi and Akira Yamazaki

cf213: Role of Relative and Absolute Performance Evaluations in Intergroup Competition

Hitoshi Matsushima

cf212: 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

cf211: A New Hedge Fund Replication Method With The Dynamic Optimal Portfolio

Akihiko Takahashi and Kyo Yamamoto

cf210: Pricing Discrete Barrier Options under Stochastic Volatility

Kenichiro Shiraya, Akihiko Takahashi and Toshihiro Yamada

cf209: Role of Linking Mechanisms in Multitask Agency with Hidden Information

Hitoshi Matsushima, Koichi Miyazaki and Nobuyuki Yagi