CIRJE F-Series

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CIRJE-F-999: Reputational Effects in Sovereign Default

Konstantin Egorov and Michal Fabinger

CIRJE-F-998: An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models

Kenichiro Shiraya and Akihiko Takahashi

CIRJE-F-997: Quadratic-exponential Growth BSDEs with Jumps and their Malliavin's Differentiability

Masaaki Fujii and Akihiko Takahashi

CIRJE-F-996: On Effects of Jump and Noise in High-Frequency Financial Econometrics

Naoto Kunitomo and Daisuke Kurisu

CIRJE-F-995: Linear Ridge Estimator of High-Dimensional Precision Matrix Using Random Matrix Theory

Tsubasa Ito and Tatsuya Kubokawa

CIRJE-F-994: Rethinking Corporate Finance Fables: Did the US Lag Europe before 1914?

Leslie Hannah

CIRJE-F-993: Asymptotic Expansion for Forward-Backward SDEs with Jumps

Masaaki Fujii and Akihiko Takahashi

CIRJE-F-992: Assessing the Effects of Japanese Industrial Policy Change during the 1960s

Kozo Kiyota and Tetsuji Okazaki

CIRJE-F-991: Implementation, Verification, and Detection

Hitoshi Matsushima

CIRJE-F-990: Optimal Bandwidth Selection for the Fuzzy Regression Discontinuity Estimator

Yoichi Arai and Hidehiko Ichimura

CIRJE-F-989: Inefficiency and Self-Determination: Simulation-based Evidence from Meiji Japan

Eric Weese, Masayoshi Hayashi and Masashi Nishikawa

CIRJE-F-988: Choice of Collateral Currency Updated--A market model for the benchmark pricing--

Masaaki Fujii and Akihiko Takahashi

CIRJE-F-987: Happiness in Life Domains: Evidence from Bangladesh Based on Parametric and Non-Parametric Models

Minhaj Mahmud and Yasuyuki Sawada

CIRJE-F-986: Infrastructure and Well-being: Employment Effects of Jamuna Bridge in Bangladesh

Minhaj Mahmud and Yasuyuki Sawada

CIRJE-F-985: The Influence Function of Semiparametric Estimators

Hidehiko Ichimura and Whitney Newey

CIRJE-F-984: Simultaneous Selection of Optimal Bandwidths for the Sharp Regression Discontinuity Estimator

Yoichi Arai and Hidehiko Ichimura

CIRJE-F-983: Psychic vs. Economic Barriers to Vaccine Take-up: Evidence from a Field Experiment in Nigeria

Ryoko Sato and Yoshito Takasaki

CIRJE-F-982: Small Area Predictors with Dual Shrinkage of Means and Variances

Hiromasa Tamae and Tatsuya Kubokawa

CIRJE-F-981: What Did Corporate Executives, Outside Directors, and Large Shareholders Really Do? Corporate Governance of Tokyo Marine Insurance and Taisho Marine and Fire Insurance

Tetsuji Okazaki

CIRJE-F-980: Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models

Kenichiro Shiraya and Akihiko Takahashi

CIRJE-F-979: Cholesky Realized Stochastic Volatility Model

Shinichiro Shirota, Yasuhiro Omori, Hedibert. F. Lopes and Haixiang Piao

CIRJE-F-978: Heteroscedastic Nested Error Regression Models with Variance Functions

Shonosuke Sugasawa and Tatsuya Kubokawa

CIRJE-F-977: Trend, Seasonality and Economic Time Series:the Nonstationary Errors-in-variables Models

Naoto Kunitomo and Seisho Sato

CIRJE-F-976: An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver

Akihiko Takahashi and Toshiaki Watanabe

CIRJE-F-975: Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution

Makoto Takahashi, Toshiaki Watanabe and Yasuhiro Omori

CIRJE-F-974: The Effects of Domestic Mergers on Exports: A Case Study of the 1998 Korean Automobile Industry

Hiroshi Ohashi and Yuta Toyama

CIRJE-F-973: An Approximation Formula for Basket Option Prices under Local Stochastic Volatility with Jumps: an Application to Commodity Markets

Kenichiro Shiraya and Akihiko Takahashi

CIRJE-F-972: Bank Behavior in Regional Finance and the Development of Regional Industries: The Case of Prewar Fukushima, Japan

Tetsuji Okazaki

CIRJE-F-971: A Variant of AIC Using Bayesian Marginal Likelihood

Yuki Kawakubo, Tatsuya Kubokawa and Muni S. Srivastava

CIRJE-F-970: Comparison of Linear Shrinkage Estimators of a Large Covariance Matrix in Normal and Non-normal Distributions

Yuki Ikeda, Tatsuya Kubokawa and Muni S. Srivastava

CIRJE-F-969: Abenomics: Why Was It So Successful in Changing Market Expectations?

Shin-ichi Fukuda

CIRJE-F-968: The Expanding Empire and Spatial Distribution of Economic Activities: The Case of the Colonization of Korea by Japan in the Prewar Period

Kentaro Nakajima and Tetsuji Okazaki

CIRJE-F-967: Unconventional Monetary Policy and its External Effects: Evidence from Japan’s Exports

Shin-ichi Fukuda and Tsutomu Doita

CIRJE-F-966: Twentieth Century Enterprise Forms: Japan in Comparative Perspective

Leslie Hannah and Makoto Kasuya

CIRJE-F-965: The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling

Naoto Kunitomo, Hiroumi Misaki and Seisho Sato

CIRJE-F-964: A Robust Estimation of Integrated Volatility under Round-off Errors, Micro-market Price Adjustments and Noises

Seisho Sato and Naoto Kunitomo

CIRJE-F-963: Optimal Position Management for a Market Maker with Stochastic Price Impacts

Masaaki Fujii

CIRJE-F-962: Deriving Customer Lifetime Value from RFM Measures:Insights into Customer Retention and Acquisition

Makoto Abe

CIRJE-F-961: Incentives and Social Preferences: Experimental Evidence from a Seemingly Inefficient Traditional Labor Contract

Jun Goto, Yasuyuki Sawada, Takeshi Aida and Keitaro Aoyagi

CIRJE-F-960: Connected Price Dynamics with Revealed Preferences and Auctioneer's Discretion in VCG Combinatorial Auction

Hitoshi Matsushima

CIRJE-F-959: Deflation/Inflation Dynamics: Analysis based on Micro Prices

Hiroshi Yoshikawa, Hideaki Aoyama, Yoshi Fujiwara and Hiroshi Iyetomi

CIRJE-F-958: Linear Shrinkage Estimation of Large Covariance Matrices with Use of Factor Models

Yuki Ikeda and Tatsuya Kubokawa

CIRJE-F-957: Box-Cox Transformed Linear Mixed Models for Positive-Valued and Clustered Data

Shonosuke Sugasawa and Tatsuya Kubokawa

CIRJE-F-956: Innovation Height and Firm Performance:Using Innovation Survey from Japan

Daiya Isogawa, Kohei Nishikawa and Hiroshi Ohashi

CIRJE-F-955: Optimal Mechanism Design: Type-Independent Preference Orderings

Hitoshi Matsushima

CIRJE-F-954: Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method

Masaaki Fujii and Akihiko Takahshi

CIRJE-F-953: Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes

Jouchi Nakajima, Tsuyoshi Kunihama and Yasuhiro Omori

CIRJE-F-952: Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes

Jouchi Nakajima, Tsuyoshi Kunihama and Yasuhiro Omori

CIRJE-F-952: Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes

Jouchi Nakajima, Tsuyoshi Kunihama and Yasuhiro Omori

CIRJE-F-951: Information Sharing, Neighborhood Demarcation, and Yardstick Competition: An Empirical Analysis of Intergovernmental Expenditure Interaction in Japan

Masayoshi Hayashi and Wataru Yamamoto