CIRJE F-Series

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CIRJE-F-749: Non-minimaxity of Linear Combinations of Restricted Location Estimators and Related Problems

Tatsuya Kubokawa and William E. Strawderman

CIRJE-F-748: Exclusive Dealing and the Market Power of Buyers

Ryoko Oki and Noriyuki Yanagawa

CIRJE-F-747: Pricing Average Options on Commodities

Kenichiro Shiraya and Akihiko Takahashi

CIRJE-F-746: Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors

Tsunehiro Ishihara and Yasuhiro Omori

CIRJE-F-745: Pricing Barrier and Average Options under Stochastic Volatility Environment

Kenichiro Shiraya, Akihiko Takahashi and Masashi Toda

CIRJE-F-744: Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance

Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong

CIRJE-F-743: Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management-

Masaaki Fujii, Yasufumi Shimada and Akihiko Takahashi

CIRJE-F-742: Ranking Multivariate GARCH Models by Problem Dimension

Massimiliano Caporin and Michael McAleer

CIRJE-F-741: Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies

Shawkat Hammoudeh, Yuan Yuan and Michael McAleer

CIRJE-F-740: Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Massimiliano Caporin and Michael McAleer

CIRJE-F-739: Multiproduct Duopoly with Vertical Differentiation

Yi-Ling Cheng, Shin-Kun Peng and Takatoshi Tabuchi

CIRJE-F-738: Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models

Jouchi Nakajima and Yasuhiro Omori

CIRJE-F-737: Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models

Kenichiro Shiraya, Akihiko Takahashi and Akira Yamazaki

CIRJE-F-736: Are Forecast Updates Progressive?

Chia-Lin Chang, Philip Hans Franses and Michael McAleer

CIRJE-F-735: Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia

Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer

CIRJE-F-734: A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options

Akihiko Takahashi and Kohta Takehara

CIRJE-F-733: Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise

Naoto Kunitomo and Seisho Sato

CIRJE-F-732: IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development

Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer

CIRJE-F-731: Ownership Changes and Economic Efficiency: Plant-Level Evidence from the Japanese Cotton Spinning Industry, 1900-1911

Tetsuji Okazaki

CIRJE-F-729: Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments

Philip Hans Franses, Michael McAleer and Rianne Legerstee

CIRJE-F-728: New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme

Kohta Takehara, Akihiko Takahashi and Masashi Toda

CIRJE-F-727: Role of Relative and Absolute Performance Evaluations in Intergroup Competition

Hitoshi Matsushima

CIRJE-F-726: A New Hedge Fund Replication Method with the Dynamic Optimal Portfolio

Akihiko Takahashi and Kyo Yamamoto

CIRJE-F-725: On Pricing Barrier Options with Discrete Monitoring

Kenichiro Shiraya, Akihiko Takahashi and Toshihiro Yamada

CIRJE-F-724: The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective

Junko Koeda and Ryo Kato

CIRJE-F-723: Minimax Estimation of Linear Combinations of Restricted Location Parameters

Tatsuya Kubokawa

CIRJE-F-722: Time Series Modelling of Tourism Demand from the USA, Japan and Malaysia to Thailand

Yaovarate Chaovanapoonphol, Christine Lim, Michael McAleer and Aree Wiboonpongse

CIRJE-F-721: Role of Linking Mechanisms in Multitask Agency with Hidden Information

Hitoshi Matsushima, Koichi Miyazaki and Nobuyuki Yagi

CIRJE-F-720: Finitely Repeated Prisoners' Dilemma with Small Fines: Penance Contract

Hitoshi Matsushima

CIRJE-F-718: Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets

Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat

CIRJE-F-717: Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach

Koji Miyawaki, Yasuhiro Omori and Akira Hibiki

CIRJE-F-716: Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chia-Lin Chang and Michael McAleer

CIRJE-F-715: Voluntarily Separable Repeated Games with Social Norms

Takako Fujiwara-Greve, Masahiro Okuno-Fujiwara and Nobue Suzuki

CIRJE-F-714: Incentives in Hedge Funds

Hitoshi Matsushima

CIRJE-F-713: Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Massimiliano Caporin and Michael McAleer

CIRJE-F-712: Bayesian Estimation of Demand Functions under Block-Rate Pricing

Koji Miyawaki, Yasuhiro Omori and Akira Hibiki

CIRJE-F-711: Board's Monitoring and Retention of Sub-standard and Powerless CEOs

Meg Sato

CIRJE-F-710: Insular Decision Making in the Board Room: Why Boards Retain and Hire Substandard CEOs

Meg Adachi-Sato

CIRJE-F-709: Selection of Variables in Multivariate Regression Models for Large Dimensions

Muni S. Srivastava and Tatsuya Kubokawa

CIRJE-F-708: The Limited Information Maximum Likelihood Approach to Dynamic Panel Structural Equations

Kentaro Akashi and Naoto Kunitomo

CIRJE-F-707: Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation

Kentaro Akashi and Naoto Kunitomo

CIRJE-F-706: Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns

Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer

CIRJE-F-705: Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach

Hooi Hooi Lean, Michael McAleer and Wing-Keung Wong

CIRJE-F-704: Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer

CIRJE-F-703: The Structure of Japan's Financial Regulation and Supervision and the Role Played by the Bank of Japan

Kazuo Ueda

CIRJE-F-702: A Review of Linear Mixed Models and Small Area Estimation

Tatsuya Kubokawa

CIRJE-F-701: Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution

Jouchi Nakajima and Yasuhiro Omori

CIRJE-F-700: Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors

Tsunehiro Ishihara and Yasuhiro Omori

CIRJE-F-699: Block Structure Multivariate Stochastic Volatility Models

Manabu Asai, Massimiliano Caporin and Michael McAleer

CIRJE-F-698: 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