CARF F-Series

From Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
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cf167: Asymmetry and Leverage in Realized Volatility

Manabu Asai, Michael McAleer and Marcelo Medeiros

cf166: Alternative Asymmetric Stochastic Volatility Models

Manabu Asai and Michael McAleer

cf165: Asymptotic Expansion Approaches in Finance: Applications to Currency Options

Akihiko Takahashi and Kohta Takehara

cf164: The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

Michael McAleer

cf163: Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

cf162: Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

cf161: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments

Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki

cf160: The Second End of Laissez-Faire -- Bootstrapping Nature of Money and Inherent Instability of Capitalism

Katsuhito Iwai

cf159: A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk

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

cf158: Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

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

cf157: Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

cf156: Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Massimiliano Caporin and Michael McAleer

cf155: What Happened to Risk Management During the 2008-09 Financial Crisis?

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

cf154: A Note on Construction of Multiple Swap Curves with and without Collateral

Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi

cf153: Investment Frictions versus Financing Frictions

Takao Kobayashi and Risa Sai

cf152: Exclusive Dealing and Large Distributors

Ryoko Oki and Noriyuki Yanagawa

cf151: Business Cycle Implications of Internal Consumption Habit for New Keynesian Model

Takashi Kano and James Nason

cf150: Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: an Application to Hedge Fund Replication

Akihiko Takahashi and Kyo Yamamoto

cf149: Computation in an Asymptotic Expansion Method

Akihiko Takahashi, Kohta Takehara and Masashi Toda

cf148: IMF Bank-Restructuring Efficiency Outcomes: Evidence from East Asia

Mohamed Ariff and Luc Can

cf147: The Determinants of Bank Capital Ratios in a Developing Economy

Michael J. Skully, Rubi Ahmad and Mohamed Ariff

cf146: The Activities of a Japanese Bank in the Interwar Financial Centers: A Case of the Yokohama Specie Bank

Makoto Kasuya

cf145: Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model

Isao Ishida and Toshiaki Watanabe

cf144: Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes

Hitoshi Matsushima

cf143: A Strategic Theory of Markets

Eiichiro Kazumori

cf142: Interbank Networks in Pre-war Japan:Structure and Implications

Tetsuji Okazaki and Michiru Sawada

cf141: 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

cf140: Implementation and Social Influence

Hitoshi Matsushima

cf139: 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

cf138: 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

cf137: Hedge Fund Replication ?Revised in November 2008, forthcoming in The Recent Trend of Hedge Fund Strategies)

Akihiko Takahashi and Kyo Yamamoto

cf136: On productivity performance gains of Indonesian firms

Mohamed Ariff and Viverita

cf135: The Rise of China and Sustained Recovery of Japan

Shin-ichi Fukuda

cf134: Financial Imperfection and Outsourcing Decision

Noriyuki Yanagawa

cf133: Biased Motivation of Experts: Should They be Aggressive or Conservative?

Noriyuki Yanagawa

cf132: Exclusive Dealing Contract and Inefficient Entry Threat

Noriyuki Yanagawa and Ryoko Oki

cf131: Timing of Convertible Debt Financing and Investment

Kyoko Yagi, Ryuta Takashima, Hiroshi Takamori and Katsushige Sawaki

cf130: How Capital Structure Adjusts Dynamically during Financial Crisis

Shamsher M., Mohamed Ariff and Taufiq H

cf129: Factors Correlated with Equity Market Risk Premiums in Developed and Emerging Markets

Vijaya B. Marisetty and Mohamed Ariff

cf128: IMF BANK-RESTRUCTURING EFFICIENCY OUTCOMES:EVIDENCE FROM EAST ASIA

Mohamed Ariff and Luc Can

cf127: DO ACCOUNTING AND FINANCE TOOLS SERVE GOVERNANCE?

Mohamed Ariff and J. Ratnatunga

cf126: DO ACCOUNTING DISCLOSURES OF FEE INCOME AFFECT COMMERCIAL BANK SHARE PRICES?

F.F. Cheng and Mohamed Ariff

cf125: The Role of Non-Parity Fundamentals in Exchange Rate Determination: Australia and the Asia Pacific Region

Catherine S. F. Ho and Mohamed Ariff

cf124: 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

cf123: Human Capital as an Asset Mix and Optimal Life-Cycle Portfolio: An Analytical Solution

Takao Kobayashi, Risa Sai and Kazuya Shibata

cf122: Impaired Bank Health and Default Risk ( Forthcoming in "Pacific-Basin Finance Journal". )

Shin-ichi Fukuda, Munehisa Kasuya and Kentaro Akashi

cf121: Effects of Reputation in Bubbles and Crashes ( Revised in April 2008 )

Hitoshi Matsushima

cf120: 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

cf119: Technology Shocks and Asset Price Dynamics:The Role of Housing in General Equilibrium

Jiro Yoshida

cf118: 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