Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
CARF F-Series
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2013
- CARF-F-318 Dark Sides of Patent Pools with Compulsory Independent Licensing
by Akifumi Ishihara & Noriyuki Yanagawa - CARF-F-317 On the Lebesgue Property of Monotone Convex Functions
by Keita Owari - CARF-F-316 International Trade and Capital Movement under Financial Imperfection
by Taiji Furusawa & Taiji Furusawa, Noriyuki Yanagawa - CARF-F-315 Maximum Lebesgue Extension of Monotone Convex Functions
by Keita Owari - CARF-F-314 Why are product prices in online markets not converging?
by Takayuki Mizuno & Tsutomu Watanabe - CARF-F-313 Detecting Real Estate Bubbles: A New Approach Based on the Cross-Sectional Dispersion of Property Prices
by Takaaki Ohnishi & Takayuki Mizuno & Chihiro Shimizu & Tsutomu Watanabe - CARF-F-312 Note on an Extension of an Asymptotic Expansion Scheme
by Akihiko Takahashi & Masashi Toda - CARF-F-310 Abenomics and Asset Prices: Is It Case of Self-Fulfilling Expectations?
by Kazuo Ueda - CARF-F-309 Behavioral Approach to Repeated Games with Private Monitoring
by Hitoshi Matsushima & Tomomi Tanaka & Tomohisa Toyama - CARF-F-306 Impact of Financial Regulation and Innovation on Bubbles and Crashes due to Limited Arbitrage: Awareness Heterogeneity
by Hitoshi Matsushima - CARF-F-305 A New Improvement Scheme for Approximation Methods of Probability Density Functions
by Akihiko Takahashi & Yukihiro Tsuzuki
2012
- CARF-F-311 Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering
by Masaaki Fujii - CARF-F-307 Estimating Quality Adjusted Commercial Property Price Indexes Using Japanese REIT Data
by C. Shimizu & W. E. Diewert & K. G. Nishimura & T. Watanabe - CARF-F-304 An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model
by Takashi Kato & Akihiko Takahashi & Toshihiro Yamada - CARF-F-303 Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields
by Junko Koeda - CARF-F-302 An FBSDE Approach to American Option Pricing with an Interacting Particle Method
by Masaaki Fujii & Seisho Sato & Akihiko Takahashi - CARF-F-300 On the Optimal Super- and Sub-Hedging Strategies
by Yukihiro Tsuzuki - CARF-F-299 High quality topic extraction from business news explains abnormal financial market volatility
by Ryohei Hisano & Didier Sornette & Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-298 How Fast Are Prices in Japan Falling?
by Satoshi Imai & Chihiro Shimizu & Tsutomu Watanabe - CARF-F-297 The Emergence of Different Tail Exponents in the Distributions of Firm Size Variables
by Atushi Ishikawa & Shouji Fujimotoa & Tsutomu Watanabe & Takayuki Mizuno - CARF-F-296 An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-295 Infrequent Changes of the Policy Target: Robust Optimal Monetary Policy under Ambiguity
by Shin-ichi Fukuda - CARF-F-292 Optimal Multiunit Exchange Design with Single-Dimensionality
by Hitoshi Matsushima - CARF-F-291 How Strongly Do "Financing Constraints" Affect Firm Behavior?: Japanese Corporate Investment since the Mid-1980s
by Yoshiro Miwa - CARF-F-290 Pricing Multi-Asset Cross Currency Options
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-289 Momentum-Space Approach to Asymptotic Expansion for Stochastic Filtering and other Problems
by Masaaki Fujii - CARF-F-288 Role of Leverage in Bubbles and Crashes
by Hitoshi Matsushima - CARF-F-287 Maximum Lebesgue Extension Of Convex Risk Measures
by Keita Owari - CARF-F-286 Note on an Extension of an Asymptotic Expansion Scheme
by Akihiko Takahashi & Masashi Toda - CARF-F-285 Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes
by Hitoshi Matsushima - CARF-F-284 Inequalities in Japanese Economy during the Lost Decades
by Nao Sudo & Michio Suzuki & Tomoaki Yamadai - CARF-F-283 Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007
by Kazuo Ueda - CARF-F-282 The Boy Who Cried Bubble: Public Warnings Against Riding Bubbles
by Yasushi Asako & Kozo Ueda - CARF-F-281 Collateralized CDS and Default Dependence -Implications for the Central Clearing
by Masaaki Fujii & Akihiko Takahashi - CARF-F-280 Channels of Stabilization in a System of Local Public Health Insurance: The Case of the National Health Insurance in Japan
by Masayoshi Hayashi - CARF-F-279 Optimal Multiunit Exchange Design
by Hitoshi Matsushima - CARF-F-278 Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method
by Masaaki Fujii & Akihiko Takahashi - CARF-F-277 Application Of The Kusuoka Approximation To Barrier Options
by Shigeto Kusuoka & Mariko Ninomiya & Syoiti Ninomiya - CARF-F-276 Pricing Multi-Asset Cross Currency Options
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-275 Does an R&D Tax Credit Affect R&D Expenditure? The Japanese Tax Credit Reform in 2003
by Hiroyuki Kasahara, & Katsumi Shimotsu & Michio Suzuki - CARF-F-273 A Remark on Approximation of the Solutions to Partial Differential Equations in Finance
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-272 A General Computation Scheme for a High-Order Asymptotic Expansion Method
by Akihiko Takahashi & Kohta Takehara & Masashi Toda - CARF-F-271 An Asymptotic Expansion for Solutions of Cauchy-Dirichlet Problem for Second Order Parabolic PDEs and its Application to Pricing Barrier Options
by Takashi Kato & Akihiko Takahashi & Toshihiro Yamada - CARF-F-270 Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility
by Masaaki Fujii & Akihiko Takahashi - CARF-F-269 Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme
by Masaaki Fujii, Akihiko Takahashi - CARF-F-268 Asset Bubbles and Bailouts
by Tomohiro Hirano & Masaru Inaba & Noriyuki Yanagawa - CARF-F-249 On Approximation of the Solutions to Partial Differential Equations in Finance
by Akihiko Takahashi & Toshihiro Yamada
2011
- CARF-F-294 Efficient Combinatorial Exchanges with Opt-Out Types
by Hitoshi Matsushima - CARF-F-274 Sde Weak Approximation Library (Sde Wa) (Version 1.0)
by Mariko Ninomiya - CARF-F-267 Speculative Attacks with Multiple Targets
by Junichi Fujimoto - CARF-F-266 The Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004
by Tsutomu Watanabe & Tomoyoshi Yabu - CARF-F-265 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii & Akihiko Takahashi - CARF-F-264 Currency intervention and the global portfolio balance effect: Japanese and Swiss lessons, 2003-2004 and 2009-2010
by Petra Gerlach & Robert N McCauley & Kazuo Ueda - CARF-F-263 Power Laws In Real Estate Prices During Bubble Periods
by Takaaki Ohnishi & Takayuki Mizuno & Chihiro Shimizu & Tsutomu Watanabe - CARF-F-262 Temporal and Cross Correlations in Business News
by Takayuki Mizuno & Kazumasa Takei & Takaaki Ohnishi & Tsutomu Watanabe - CARF-F-261 Price-Based Combinatorial Auction: Connectedness and Representative Valuations
by Hitoshi Matsushima - CARF-F-260 Clean Valuation Framework for the USD Silo -An implication for the forthcoming Standard Credit Support Annex (SCSA)-
by Masaaki Fujii, Akihiko Takahashi - CARF-F-259 Japanfs Deleveraging since the 1990s and the Bank of Japanfs Monetary Policy: Some Comparisons with the U.S. Experience since 2007
by Kazuo Ueda - CARF-F-258 Efficient Combinatorial Exchanges
by Hitoshi Matsushima - CARF-F-257 ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION (Forthcoming in "Mathematics and Financial Economics")
by Keita Owari - CARF-F-256 An Asymptotic Expansion with Push-Down of Malliavin Weights
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-255 Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
by Kenichiro Shiraya & Akihiko Takahashi & Akira Yamazaki - CARF-F-254 Japanese Yield Curves In and Out of a Zero Rate Environmnet: A Macro-Finance Perspective
by Junko Koeda - CARF-F-253 Bubbles, Banks, and Financial Stability
by Kosuke Aoki & Kalin Nikolov - CARF-F-252 The Effectiveness of Non-traditional Monetary Policy Measures: The Case of the Bank of Japan
by Kazuo Ueda - CARF-F-251 Are Japanese Firms Becoming More Independent from Their Banks?: Evidence from the Firm-Level Data of the "Corporate Enterprise Quarterly Statistics," 1994-2009
by Yoshiro Miwa - CARF-F-250 Interbank Networks in Prewar Japan: Structure and Implications
by Tetsuji Okazaki & Michiru Sawada - CARF-F-248 Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme
by Masaaki Fujii & Akihiko Takahashi - CARF-F-247 Democracy and Reforms: Evidence from a New Dataset
by Paola Giuliano & Prachi Mishra & Antonio Spilimbergo - CARF-F-246 Collateralized CDS and Default Dependence -Implications for the Central Clearing-
by Masaaki Fujii & Akihiko Takahashi - CARF-F-245 Rebalancing Static Super-Replications
by Akihiko Takahashi & Yukihiro Tsuzuki - CARF-F-244 Investment and Ultimatum Games: Experiments
by Hitoshi Matsushima & Toshihiko Shima - CARF-F-243 Exclusive Dealing Contracts by Distributors
by Ryoko Oki & Noriyuki Yanagawa - CARF-F-242 A General Computation Scheme for a High-Order Asymptotic Expansion Method
by Akihiko Takahashi & Kohta Takehara & Masashi Toda - CARF-F-241 A Study of Financing Behavior of Japanese Firms with Firm-Level Data from Corporate Enterprise Quarterly Statistics - 1994~2009: Introduction and Summary
by Yoshiro Miwa
2010
- CARF-F-293 Auctioneer's Discretion in Combinatorial Auctions
by Hitoshi Matsushima - CARF-F-240 Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
by Masaaki Fujii & Akihiko Takahashi - CARF-F-239 Choice of Collateral Currency
by Masaaki Fujii & Akihiko Takahashi - CARF-F-238 Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments
by Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki - CARF-F-237 How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited
by Junko Koeda - CARF-F-236 Japan's Bubble, America's Bubble and China's Bubble
by Kazuo Ueda - CARF-F-235 Japan's Deflation and the Bank of Japan's Experience with Non-traditional Monetary Policy
by Kazuo Ueda - CARF-F-234 Financial Institution, Asset Bubbles and Economic Performance
by Tomohiro Hirano & Noriyuki Yanagawa - CARF-F-233 Firm Heterogeneity under Financial Imperfection: Impacts of Trade and Capital Movement
by Taiji Furusawa & Noriyuki Yanagawa - CARF-F-232 Hysteresis in Dynamic General Equilibrium Models with Cash-in-Advance Constraints
by Kazuya Kamiya & Takashi Shimizu - CARF-F-231 Exaggerated Death of Distance: Revisiting Distance Effects on Regional Price Dispersions
by Kazuko Kano & Takashi Kano & Kazutaka Takechi - CARF-F-230 Modeling of Interest Rate Term Structures under Collateralization and its Implications
by Masaaki Fujii & Akihiko Takahashi - CARF-F-229 Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London
by Shin-ichi Fukuda - CARF-F-228 On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise
by Naoto Kunitomo & Seisho Sato - CARF-F-227 Financing Harmful Bubbles
by Hitoshi Matsushima - CARF-F-226 Core-Selecting Auctions: An Experimental Study
by Eiichiro Kazumori - CARF-F-225 Application Of A High-Order Asymptotic Expansion Scheme To Long-Term Currency Options
by Kohta Takehara & Masashi Toda & Akihiko Takahashi - CARF-F-224 Why Did ?Zombie? Firms Recover in Japan?
by Shin-ichi Fukuda & Jun-ichi Nakamura - CARF-F-223 Asset Bubbles, Endogenous Growth, and Financial Frictions
by Tomohiro Hirano & Noriyuki Yanagawa - CARF-F-222 Exclusive Dealing and the Market Power of Buyers
by Ryoko Oki & Noriyuki Yanagawa - CARF-F-221 Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors
by Tsunehiro Ishihara & Yasuhiro Omori - CARF-F-220 Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance
by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong - CARF-F-219 Ranking Multivariate GARCH Models by Problem Dimension
by Massimiliano Caporin & Michael McAleer - CARF-F-218 Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies
by Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer - CARF-F-217 Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
by Massimiliano Caporin & Michael McAleer - CARF-F-216 Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management-
by Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi - CARF-F-215 Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution
by Jouchi Nakajima & Yasuhiro Omori - CARF-F-214 Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models
by Kenichiro Shiraya & Akihiko Takahashi & Akira Yamazaki - CARF-F-213 Role of Relative and Absolute Performance Evaluations in Intergroup Competition
by Hitoshi Matsushima - CARF-F-212 New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme ( Forthcoming in "The Proceedings of KIER-TMU International Workshop on Financial Engineering 2009".)
by Kohta Takehara & Akihiko Takahashi & Masashi Toda - CARF-F-211 A New Hedge Fund Replication Method With The Dynamic Optimal Portfolio
by Akihiko Takahashi & Kyo Yamamoto - CARF-F-210 Pricing Discrete Barrier Options under Stochastic Volatility
by Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada - CARF-F-209 Role of Linking Mechanisms in Multitask Agency with Hidden Information
by Hitoshi Matsushima & Koichi Miyazaki & Nobuyuki Yagi - CARF-F-208 Finitely Repeated Prisoners' Dilemma with Small Fines: Penance Contract
by Hitoshi Matsushima - CARF-F-207 The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective
by Junko Koeda & Ryo Kato - CARF-F-205 Incentives in Hedge Funds
by Hitoshi Matsushima - CARF-F-204 Convertible Subordinated Debt Financing and Optimal Investment Timing
by Kyoko Yagi & Ryuta Takashima - CARF-F-203 The Tokyo Financial Markets Research Data Services: I. Factors Data For Equity Markets
by Eiichiro Kazumori - CARF-F-202 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
by Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer - CARF-F-201 Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach
by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong
2009
- CARF-F-308 Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication
by Akihiko Takahashi & Kyo Yamamoto - CARF-F-200 The Structure of Japan's Financial Regulation and Supervision and the Role Played by the Bank of Japan
by Kazuo Ueda - CARF-F-199 Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution
by Jouchi Nakajima & Yasuhiro Omori - CARF-F-198 Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
by Tsunehiro Ishihara & Yasuhiro Omori - CARF-F-197 Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth - CARF-F-196 A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies
by Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi - CARF-F-195 A Survey on Modeling and Analysis of Basis Spreads
by Masaaki Fujii & Akihiko Takahashi - CARF-F-194 An Asymptotic Expansion with Push-Down of Malliavin Weights
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-193 An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options
by Akihiko Takahashi & Toshihiro Yamada - CARF-F-192 Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
by Chia-Lin Chang & Michael McAleer - CARF-F-191 Multivariate Stochastic Volatility with Cross Leverage
by Tsunehiro Ishihara & Yasuhiro Omori - CARF-F-190 Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
by Chia-Ling Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat - CARF-F-189 Forecasting Realized Volatility with Linear and Nonlinear Models
by Michael McAleer & Marcelo C. Medeiros - CARF-F-188 A Panel Threshold Model of Tourism Specialization and Economic Development
by Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer - CARF-F-187 Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies
by Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson - CARF-F-186 It Pays to Violate: How Effective are the Basel Accord Penalties?
by Bernardo da Veiga & Felix Chan & Michael McAleer - CARF-F-183 Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
by Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer - CARF-F-182 Uninsured countercyclical risk: an aggregation result and@application to optimal monetary policy
by Richard Anton Braun & Tomoyuki Nakajima - CARF-F-181 Computing Densities: A Conditional Monte Carlo Estimator
by Richard Anton Braun & Huiyu Li & John Stachurski - CARF-F-180 Non-Traditional Monetary Polices: G7 Central Banks during 2007-2009 and the Bank of Japan during 1998-2006
by Kazuo Ueda - CARF-F-179 Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence
by Abdul Hakim & Michael McAleer - CARF-F-178 VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds
by Abdul Hakim & Michael McAleer - CARF-F-177 Pricing Average Options on Commodities
by Kenichiro Shiraya & Akihiko Takahashi - CARF-F-176 Pricing Barrier and Average Options under Stochastic Volatility Environment
by Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda - CARF-F-175 Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
by Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer - CARF-F-174 Implementation and Mind Control
by Hitoshi Matsushima - CARF-F-173 Simple Expected Volatility (SEV) Index: Application to SET50 Index Options
by Chatayan Wiphatthanananthakul & Michael McAleer - CARF-F-172 Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies
by Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer - CARF-F-171 Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
by Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral - CARF-F-170 Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets
by Abdul Hakim & Michael McAleer - CARF-F-169 Value-at-Risk for Country Risk Ratings
by Michael McAleer & Bernardo da Veiga & Suhejla Hoti - CARF-F-168 Dynamic Conditional Correlations for Asymmetric Processes
by Manabu Asai & Michael McAleer - CARF-F-167 Asymmetry and Leverage in Realized Volatility
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros - CARF-F-166 Alternative Asymmetric Stochastic Volatility Models
by Manabu Asai & Michael McAleer - CARF-F-165 Asymptotic Expansion Approaches in Finance: Applications to Currency Options
by Akihiko Takahashi & Kohta Takehara - CARF-F-164 The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges
by Michael McAleer - CARF-F-163 Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat - CARF-F-162 Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat - CARF-F-161 Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments
by Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki - CARF-F-160 The Second End of Laissez-Faire -- Bootstrapping Nature of Money and Inherent Instability of Capitalism
by Katsuhito Iwai - CARF-F-159 A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
by Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral - CARF-F-158 Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
by Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral - CARF-F-157 Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return
by Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat - CARF-F-156 Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
by Massimiliano Caporin & Michael McAleer - CARF-F-155 What Happened to Risk Management During the 2008-09 Financial Crisis?
by Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral - CARF-F-154 A Note on Construction of Multiple Swap Curves with and without Collateral
by Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi - CARF-F-153 Investment Frictions versus Financing Frictions
by Takao Kobayashi & Risa Sai - CARF-F-152 Exclusive Dealing and Large Distributors
by Ryoko Oki & Noriyuki Yanagawa - CARF-F-151 Business Cycle Implications of Internal Consumption Habit for New Keynesian Model
by Takashi Kano & James M. Nason - CARF-F-150 Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: an Application to Hedge Fund Replication
by Akihiko Takahashi & Kyo Yamamoto - CARF-F-149 Computation in an Asymptotic Expansion Method
by Akihiko Takahashi & Kohta Takehara & Masashi Toda - CARF-F-148 IMF Bank-Restructuring Efficiency Outcomes: Evidence from East Asia
by Mohamed Ariff & Luc Can - CARF-F-147 The Determinants of Bank Capital Ratios in a Developing Economy
by Michael J. Skully & Rubi Ahmad & M. Ariff - CARF-F-146 The Activities of a Japanese Bank in the Interwar Financial Centers: A Case of the Yokohama Specie Bank
by Makoto Kasuya - CARF-F-145 Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model
by Isao Ishida & Toshiaki Watanabe - CARF-F-144 Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes
by Hitoshi Matsushima
2008
- CARF-F-301 Process Manipulation in Unique Implementation
by Hitoshi Matsushima - CARF-F-143 A Strategic Theory of Markets
by Eiichiro Kazumori - CARF-F-142 Interbank Networks in Pre-war Japan:Structure and Implications
by Tetsuji Okazaki & Michiru Sawada - CARF-F-141 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 )
by Hisasi Nakamura & Wataru Nozawa & Akihiko Takahashi - CARF-F-140 Implementation and Social Influence
by Hitoshi Matsushima - CARF-F-139 A Remark on a Singular Perturbation Method for Option Pricing under a Stochastic Volatility Model ( Forthcoming in "Asia-Pacific Financial Markets". )
by Kyo Yamamoto & Akihiko Takahashi - CARF-F-138 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/] )
by Kyo Yamamoto & Seisho Sato & Akihiko Takahashi - CARF-F-137 Hedge Fund Replication ?Revised in November 2008, forthcoming in The Recent Trend of Hedge Fund Strategies)
by Akihiko Takahashi & Kyo Yamamoto - CARF-F-136 On productivity performance gains of Indonesian firms
by M. Ariff & Viverita - CARF-F-135 The Rise of China and Sustained Recovery of Japan
by Shin-ichi Fukuda - CARF-F-134 Financial Imperfection and Outsourcing Decision
by Noriyuki Yanagawa - CARF-F-133 Biased Motivation of Experts: Should They be Aggressive or Conservative?
by Noriyuki Yanagawa - CARF-F-132 Exclusive Dealing Contract and Inefficient Entry Threat
by Noriyuki Yanagawa & Ryoko Oki - CARF-F-131 Timing of Convertible Debt Financing and Investment
by Kyoko Yagi & Ryuta Takashima & Hiroshi Takamori & Katsushige Sawaki - CARF-F-130 How Capital Structure Adjusts Dynamically during Financial Crisis
by Shamsher M. & M. Ariff & Taufiq H - CARF-F-129 Factors Correlated with Equity Market Risk Premiums in Developed and Emerging Markets
by Vijaya B. Marisetty & M. Ariff - CARF-F-128 Imf Bank-Restructuring Efficiency Outcomes:Evidence From East Asia
by Mohamed Ariff & Luc Can - CARF-F-127 Do Accounting And Finance Tools Serve Governance?
by Mohamed Ariff & J. Ratnatunga - CARF-F-126 Do Accounting Disclosures Of Fee Income Affect Commercial Bank Share Prices?
by F.F. Cheng & M. Ariff - CARF-F-125 The Role of Non-Parity Fundamentals in Exchange Rate Determination: Australia and the Asia Pacific Region
by Catherine S. F. Ho & M. Ariff - CARF-F-124 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. )
by Takashi Kano - CARF-F-123 Human Capital as an Asset Mix and Optimal Life-Cycle Portfolio: An Analytical Solution
by Takao Kobayashi & Risa Sai & Kazuya Shibata - CARF-F-122 Impaired Bank Health and Default Risk ( Forthcoming in "Pacific-Basin Finance Journal". )
by Shin-ichi Fukuda & Munehisa Kasuya & Kentaro Akashi - CARF-F-121 Effects of Reputation in Bubbles and Crashes ( Revised in April 2008 )
by Hitoshi Matsushima - CARF-F-120 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. )
by Akihiko Takahashi & Akira Yamazaki - CARF-F-119 Technology Shocks and Asset Price Dynamics:The Role of Housing in General Equilibrium
by Jiro Yoshida - CARF-F-118 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. )
by Hisashi Nakamura & Keita Nakayama & Akihiko Takahashi - CARF-F-117 The saving rate in Japan: Why it has fallen and why it will remain low
by Douglas H. Joines & R.Anton Braun & Daisuke Ikeda - CARF-F-116 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". )
by Akihiko Takahashi & Kohta Takehara