CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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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

cf208: Finitely Repeated Prisoners' Dilemma with Small Fines: Penance Contract

Hitoshi Matsushima

cf207: The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective

Junko Koeda and Ryo Kato

cf205: Incentives in Hedge Funds

Hitoshi Matsushima

cf204: Convertible Subordinated Debt Financing and Optimal Investment Timing

Kyoko Yagi and Ryuta Takashima

cf203: THE TOKYO FINANCIAL MARKETS RESEARCH DATA SERVICES: I. FACTORS DATA FOR EQUITY MARKETS

Eiichiro Kazumori

cf202: Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns

Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer

cf201: Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach

Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong

cf200: The Structure of Japan's Financial Regulation and Supervision and the Role Played by the Bank of Japan

Kazuo Ueda

cf199: Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution

Jouchi Nakajima and Yasuhiro Omori

cf198: Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors

Tsunehiro Ishihara and Yasuhiro Omori

cf197: Realized Volatility Risk

David Allen, Michael McAleer and Marcel Scharth

cf196: 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

cf195: A Survey on Modeling and Analysis of Basis Spreads

Masaaki Fujii and Akihiko Takahashi

cf194: An Asymptotic Expansion with Push-Down of Malliavin Weights

Akihiko Takahashi and Toshihiro Yamada

cf193: An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options

Akihiko Takahashi and Toshihiro Yamada

cf192: Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

Chia-Lin Chang and Michael McAleer

cf191: Multivariate Stochastic Volatility with Cross Leverage

Tsunehiro Ishihara and Yasuhiro Omori

cf190: Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations

Chia-Ling Chang, Thanchanok Khamkaew, Michael McAleer and Roengchai Tansuchat

cf189: Forecasting Realized Volatility with Linear and Nonlinear Models

Michael McAleer and Marcelo Medeiros

cf188: A Panel Threshold Model of Tourism Specialization and Economic Development

Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer

cf187: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

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

cf186: It Pays to Violate: How Effective are the Basel Accord Penalties?

Bernardo da Veiga, Felix Chan and Michael McAleer

cf183: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer

cf182: Uninsured countercyclical risk: an aggregation result and application to optimal monetary policy

R. Braun and Tomoyuki Nakajima

cf181: Computing Densities: A Conditional Monte Carlo Estimator

R. Braun, Huiyu Li and John Stachurski

cf180: Non-Traditional Monetary Polices: G7 Central Banks during 2007-2009 and the Bank of Japan during 1998-2006

Kazuo Ueda

cf179: Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence

Abdul Hakim and Michael McAleer

cf178: VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds

Abdul Hakim and Michael McAleer

cf177: Pricing Average Options on Commodities

Kenichiro Shiraya and Akihiko Takahashi

cf176: Pricing Barrier and Average Options under Stochastic Volatility Environment

Kenichiro Shiraya, Akihiko Takahashi and Masashi Toda

cf175: Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns

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

cf174: Implementation and Mind Control

Hitoshi Matsushima

cf173: Simple Expected Volatility (SEV) Index: Application to SET50 Index Options

Chatayan Wiphatthanananthakul and Michael McAleer

cf172: Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies

Shawkat Hammoudeh, Yuan Yuan and Michael McAleer

cf171: Optimal Risk Management Before, During and After the 2008-09 Financial Crisis

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

cf170: Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets

Abdul Hakim and Michael McAleer

cf169: Value-at-Risk for Country Risk Ratings

Michael McAleer, Bernardo da Veiga and Suhejla Hoti

cf168: Dynamic Conditional Correlations for Asymmetric Processes

Manabu Asai and Michael McAleer