KIER Working Papers

From Kyoto University, Institute of Economic Research
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862: Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs　

Chiaki Hara

861: Irreversible Investment under Competition with a Markov Switching Regime

Makoto Goto, Katsumasa Nishide and Ryuta Takashima

860: Competition and the Bad News Principle in a Real Options Framework

Katsumasa Nishide and Kyoko Yagi

859: Pricing of Discount Bonds with a Markov Switching Regime　

Robert Elliott and Katsumasa Nishide

858: Investment and capital structure decisions under time-inconsistent preferences　

Masaaki Kijima and Yuan Tian

857: An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options　

Hideharu Funahashi and Masaaki Kijima

856: The Effects of Foreign Direct Investment on Industrial Growth: Evidence from a Regulation Change in China

Mitsuo Inada

855: Generalized Least Squares Model Averaging

Qingfeng Liu, Ryo Okui and Arihiro Yoshimura

854: Ten Things You Should Know About DCC

Massimiliano Caporin and Michael McAleer

853: Taxing capital is a good idea: the role of idiosyncratic risk in an OLG model

Ryoji Hiraguchi and Akihisa Shibata

852: Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence

Chia-Lin Chang, Michael McAleer and Les Oxley

851: What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance

Chia-Lin Chang and Michael McAleer

850: Interest in Private Assets and the Voracity Effect

Yohei Tenryu

849: Financial shocks in Japan: A case for a small open economy

Yue Zhao

848: A Fractionally Integrated Wishart Stochastic Volatility Model

Manabu Asai and Michael McAleer

847: Inequalities and Patience for Tomorrow

Kazumichi Iwasa and Laixun Zhao

846: Increased Regressivity of the Optimal Capital Tax under a Welfare Constraint for Newborn Children

Yosuke Furukawa

845: Procurement Auctions with General Price-Quality Evaluation

Makoto Hanazono, Jun Nakabayashi and Masanori Tsuruoka

844: Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

Ping-Yu Chen, Chia-Lin Chang, Chi-Chung Chen and Michael McAleer

843: Financial Dependence Analysis: Applications of Vine Copulae

David Allen, Mohammad Ashraf, Michael McAleer, Robert Powell and Abhay Singh

842: Recent Developments in Financial Economics and Econometrics:An Overview

Chia-Lin Chang, David Allen and Michael McAleer

841: Trade Structure and Belief-Driven Fluctuations in a Global Economy

Yunfang Hu and Kazuo Mino

840: Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Manabu Asai and Michael McAleer

839: Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism

Chia-Lin Chang, Hui-Kuang Hsu and Michael McAleer

838: Volatility spillovers from the US to Australia and China across the GFC

David Allen, Michael McAleer, Robert Powell and Abhay Singha

837: Statistical Modelling of Recent Changes in Extreme Rainfall in Taiwan

Lan-Fen Chu, Michael McAleer and Szu-Hua Wang

836: Estimating implied recovery rates from the term structure of CDS spreads

Marcin Jaskowski and Michael McAleer

835: Statistical Modelling of Extreme Rainfall in Taiwan

Lan-Fen Chu, Michael McAleer and Ching-Chung Chang

834: Public Policy and the Income-Fertility Relationship in Economic Development

Masako Kimura and Daishin Yasui

833: Wage growth through job hopping in China

Kenn Ariga, Fumio Ohtake, Masaru Sasaki and Zheren Wu

832: Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

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

831: The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions

David Allen, Abhay Singh, Robert Powell, Michael McAleer, James Taylor and Lyn Thomas

830: Foreign activity of Russian banks:reconsidering multinational banking theory

Victor Gorshkov

829: How Volatile is ENSO for Global Greenhouse Gas Emissions and the Global Economy?

Lan-Fen Chu, Michael McAleer and Chi-Chung Chen

828: Coase meets Tarski: New Insights from Coase's Theory of the Firm

Tomoo Kikuch, Kazuo Nishimura and John Stachurski

827: A non-parametric and entropy based analysis of the relationship between the VIX and S&P500

David Allen, A. Kramadibrata, Michael McAleer, Robert Powell and A. Singh

826: Composition of Public Education Expenditures and Human Capital Accumulation

Katsuyuki Naito and Keigo Nishida

825: Conformism and Structural Change

Takeo Hori, Masako Ikefuji and Kazuo Mino

824: Welfare Implications and Equilibrium Indeterminacy in a Two-sector Growth Model with Consumption Externalities

Been-Lon Chen, Yu-Shan Hsu and Kazuo Mino

823: A Numerical Evaluation on a Sustainable Size of Primary Deficit in Japan

Real Arai and Junji Ueda

822: Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence

Chia-Lin Chang, Michael McAleer and Les Oxley

821: Evaluating Macroeconomic Forecasts:A Concise Review of Some Recent Developments

Philip Hans Franses, Michael McAleer and Rianne Legerstee

820: Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China

Zhidong Bai, Hua Li, Michael McAleer and Wing-Keung Wong

819: Ranking Journal Quality by Harmonic Mean of Ranks:An Application to ISI Statistics & Probability

Michael McAleer and Chia-Lin Chang

818: On Continuity of Robust Equilibria

Ori Haimanko and Atsushi Kajii

817: Modelling Long Memory Volatility in Agricultural Commodity Futures Return

Michael McAleer, Chia-Lin Chang and Roengchai Tansuchat

816: Risk Management and Financial Derivatives:An Overview

Michael McAleer and Shawkat Hammoudeh

815: Robust Ranking of Multivariate GARCH Models by Problem Dimension

Michael McAleer and Massimiliano Caporin

814: Investment for Patience in an Endogenous Growth Model

Taketo Kawagishi

813: Robust Ranking of Journal Quality:An Application to Economics

Michael McAleer, Chia-Lin Chang and Esfandiar Maasoumi