CIRJE F-Series

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CIRJE-F-697: A Survey on Modeling and Analysis of Basis Spreads

Masaaki Fujii and Akihiko Takahashi

CIRJE-F-696: An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options

Akihiko Takahashi and Toshihiro Yamada

CIRJE-F-695: An Asymptotic Expansion with Push-Down of Malliavin Weights

Akihiko Takahashi and Toshihiro Yamada

CIRJE-F-694: Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity

Kiyotaka Sato, Zhaoyong Zhang and Michael McAleer

CIRJE-F-693: Realized Volatility Risk

David Allen, Michael McAleer and Marcel Scharth

CIRJE-F-692: Non-Traditional Monetary Polices: G7 Central Banks during 2007-2009 and the Bank of Japan during 1998-2006

Kazuo Ueda

CIRJE-F-691: Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

Chia-Lin Chang and Michael McAleer

CIRJE-F-690: Multivariate Stochastic Volatility with Cross Leverage

Tsunehiro Ishihara and Yasuhiro Omori

CIRJE-F-689: Generalized extreme value distribution with time-dependence using the AR and MA models in state space form

Jouchi Nakajima, Tsuyoshi Kunihama, Yasuhiro Omori and Sylvia Fruhwirth-Schnatter

CIRJE-F-688: Conditional and Unconditional Methods for Selecting Variables in Linear Mixed Models

Tatsuya Kubokawa

CIRJE-F-687: Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations

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

CIRJE-F-686: Forecasting Realized Volatility with Linear and Nonlinear Models

Michael McAleer and Marcelo Medeiros

CIRJE-F-685: A Panel Threshold Model of Tourism Specialization and Economic Development

Chia-Lin Chang, Thanchanok Khamkaew and Michael McAleer

CIRJE-F-684: Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

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

CIRJE-F-683: It Pays to Violate: How Effective are the Basel Accord Penalties?

Bernardo da Veiga, Felix Chan and Michael McAleer

CIRJE-F-682: Pricing Barrier and Average Options under Stochastic Volatility Environment

Kenichiro Shiraya, Akihiko Takahashi and Masashi Toda

CIRJE-F-681: Pricing Average Options on Commodities

Kenichiro Shiraya and Akihiko Takahashi

CIRJE-F-680: Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer

CIRJE-F-679: Optimal monetary policy when asset markets are incomplete

R. Braun and Tomoyuki Nakajima

CIRJE-F-678: Computing Densities: A Conditional Monte Carlo Estimator

R. Braun, Huiyu Li and John Stachurski

CIRJE-F-677: Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence

Abdul Hakim and Michael McAleer

CIRJE-F-676: VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds

Abdul Hakim and Michael McAleer

CIRJE-F-675: Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns

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

CIRJE-F-674: Hotelling's Spatial Competition Reconsidered

Takatoshi Tabuchi

CIRJE-F-673: Implementation and Mind Control

Hitoshi Matsushima

CIRJE-F-672: A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options

Chatayan Wiphatthanananthakul and Michael McAleer

CIRJE-F-671: Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables

Waldyr Areosa, Michael McAleer and Marcelo Medeiros

CIRJE-F-670: A General Asymptotic Theory for Time Series Models

Shiqing Ling and Michael McAleer

CIRJE-F-669: Modelling and Forecasting Noisy Realized Volatility

Manabu Asai, Michael McAleer and Marcelo Medeiros

CIRJE-F-668: Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies

Shawkat Hammoudeh, Yuan Yuan and Michael McAleer

CIRJE-F-667: Optimal Risk Management Before, During and After the 2008-09 Financial Crisis

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

CIRJE-F-666: Higher Order Corrections in MSE Estimation and Confidence Intervals in Linear Mixed Models

Tatsuya Kubokawa

CIRJE-F-665: Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain

Ana Bartolome, Michael McAleer, Vicente Ramos and Javier Rey-Maquieira

CIRJE-F-664: Cruising is Risky Business

Ana Bartolome, Michael McAleer, Vicente Ramos and Javier Rey-Maquieira

CIRJE-F-663: Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets

Abdul Hakim and Michael McAleer

CIRJE-F-662: A Trinomial Test for Paired Data When There are Many Ties

Guorui Bian, Michael McAleer and Wing-Keung Wong

CIRJE-F-661: Testing the Box-Cox Parameter in an Integrated Process

Jian Huang, Masahito Kobayashi and Michael McAleer

CIRJE-F-660: On the Robustness of Alternative Rankings Methodologies For Australian and New Zealand Economics Departments

Joseph Macri, Michael McAleer and Dipendra Sinha

CIRJE-F-659: Value-at-Risk for Country Risk Ratings

Michael McAleer, Bernardo da Veiga and Suhejla Hoti

CIRJE-F-658: Non-Classical Measurement Error in Long-Term Retrospective Recall Surveys

John Gibson and Bonggeun Kim

CIRJE-F-657: Dynamic Conditional Correlations for Asymmetric Processes

Manabu Asai and Michael McAleer

CIRJE-F-656: Asymmetry and Leverage in Realized Volatility

Manabu Asai, Michael McAleer and Marcelo Medeiros

CIRJE-F-655: Alternative Asymmetric Stochastic Volatility Models

Manabu Asai and Michael McAleer

CIRJE-F-654: Asymptotic Expansion Approaches in Finance: Applications to Currency Options

Akihiko Takahashi and Kohta Takehara

CIRJE-F-653: Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments

Akihiko Takahashi, Yukihiro Tsuzuki and Akira Yamazaki

CIRJE-F-652: The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

Michael McAleer

CIRJE-F-651: Modelling and Forecasting Daily International Mass Tourism to Peru

Jose Angelo Divino and Michael McAleer

CIRJE-F-650: Modelling Sustainable International Tourism Demand to the Brazilian Amazon

Jose Angelo Divino and Michael McAleer

CIRJE-F-649: An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia

Michael McAleer, Bing-Wen Huang, Hsiao-I Kuo, Chi-Chung Chen and Chia-Lin Chang

CIRJE-F-648: Does the FOMC Have Expertise, and Can It Forecast?

Philip Hans Franses, Michael McAleer and Rianne Legerstee