CARF F-Series

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

cf117: The saving rate in Japan: Why it has fallen and why it will remain low

R. Braun, Daisuke Ikeda and Douglas H. Joines

cf116: 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

cf115: Strategic Default Jump as Impulse Control in Continuous Time ( Revised in February 2008 )

Hisashi Nakamura

cf114: Trying to Make Sense of the Bank of Japan's Monetary Policy sinse the Exit from Quantitative Easing ( Published in "International Finance", Winter 2007, Vol. 10, No.3, 301-16. )

Kazuo Ueda

cf113: Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model ( Revised in December 2007; Subsequently published in "Quantitative Finance". )

Kenichiro Shiraya and Akihiko Takahashi

cf112: Behavioral Aspects of Implementation Theory ( The further revision was subsequently published in "Economics Letters". )

Hitoshi Matsushima

cf111: Bank distress and the borrowers' productivity

Keiichiro Kobayashi and Noriyuki Yanagawa

cf110: Detail-Free Mechanism Design in Twice Iterative Dominance: Large Economies ( Revised version of CARF-F-007(2004) and CARF-F-062(2005); The further revision was subsequently published in "Journal of Economic Theory" as a regular article. )

Hitoshi Matsushima

cf109: Role of Honesty in Full Implementation ( Revised version of CARF-F-062(2006); The further revision was subsequently published in "Journal of Economic Theory" as a short article. )

Hitoshi Matsushima

cf108: Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously ( Revised in March 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2404-2426. April 2009. )

Makoto Takahashi, Yasuhiro Omori and Toshiaki Watanabe

cf107: Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2335-2353. April 2009. )

Jouchi Nakajima and Yasuhiro Omori

cf106: Consumption Insurance and Risk-Coping Strategies under Non-Separable Utility: Evidence from the Kobe Earthquake

Yasuyuki Sawada and Satoshi Shimizutani

cf105: Efficient Static Replication of European Options for Exponential Levy Models (Revised in January 2008, Published in "Journal of Futures Markets", Vol.29-1, 1-15, 2009. )

Akihiko Takahashi and Akira Yamazaki

cf104: Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors

Yasuhiro Omori and Toshiaki Watanabe

cf103: Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (Published in "Computational Statistics and Data Analysis", 52-6, 2892-2910. February 2008. )

Yasuhiro Omori and Toshiaki Watanabe

cf102: An Asymptotic Expansion Approach in Finance (Revised in April 2009; subsequently published as "On an Asymptotic Expansion Approach to Numerical Problems in Finance," in Selected Papers on Probability and Statistics, pp. 199-217, 2009, American Mathematical Society)

Akihiko Takahashi

cf101: Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect (Revised as CARF-F-124 (2008) )

Takashi Kano

cf100: Why some Distressed Firms Have Low Expected Returns. ( Revised in September. 2007 )

Takao Kobayashi and Ryoichi Ikeda

cf099: Did the Credit Crunch in Japan Affect Household Welfare? An Augmented Euler Equation Approach Using Type 5 Tobit Model

Yasuyuki Sawada, Kazumitsu Nawata, Masako Ii and Mark Lee

cf098: Listing Policy and Development of the Tokyo Stock Exchange in the Pre-War Period?(Published in Takatoshi Ito and Andrew Rose eds. "Financial Sector Development in the Pacific Rim". Chicago, IL: University of Chicago Press, pp.51-87, 2009. )

Yasushi Hamao, Takeo Hoshi and Tetsuji Okazaki

cf097: Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options ( Revised in December 2008; subsequently published in "International Journal of Theoretical and Applied Finance", Vol.11-4,pp.381-401. )

Akihiko Takahashi and Kohta Takehara

cf096: Tit-For-Tat Equilibria in Discounted Repeated Games with Private Monitoring

Hitoshi Matsushima

cf095: Liquidity Risk Aversion, Debt Maturity, and Current Account Surpluses: A Theory and Evidence from East Asia (Forthcoming in T. Ito and A. Rose eds., International Financial Issues in Pacific Rim, University of Chicago Press)

Shin-ichi Fukuda and Yoshifumi Kon

cf094: Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. )

Siddhartha Chib, Yasuhiro Omori and Manabu Asai

cf093: Pioneering Modern Corporate Governance: a View from London in 1900 (Subsequently published in "Enterprise and Society", vol. 8, no. 3, September 2007, pp. 642-86. )

Leslie Hannah