# Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

# CARF F-Series

Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033

Phone: +81-3-5841-0682

Web page: http://www.carf.e.u-tokyo.ac.jp/english/

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Phone: +81-3-5841-0682

Web page: http://www.carf.e.u-tokyo.ac.jp/english/

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### 2015

**CARF-F-360 Optimal Position Management for a Market Maker with Stochastic Price Impacts in VCG Combinatorial Auction***by*Masaaki Fujii**CARF-F-359 Connected Price Dynamics with Revealed Preferences and Auctioneer's Discretion in VCG Combinatorial Auction***by*Hitoshi Matsushima**CARF-F-358 A weak approximation with asymptotic expansion and multidimensional Malliavin weights***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-357 Optimal Mechanism Design: Type-Independent Preference Orderings***by*Hitoshi Matsushima**CARF-F-356 Asymptotic Expansion Approach in Finance***by*Akihiko Takahashi

### 2014

**CARF-F-355 Price Impacts of Imperfect Collateralization***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-354 Multi-Belief Rational-Expectations Equilibria: Indeterminacy, Complexity And Sustained Deflation***by*Kiyohiko G. Nishimura & Hiroyuki Ozaki S**CARF-F-353 Buyer-Supplier Networks and Aggregate Volatility***by*Takayuki Mizuno & Wataru Souma & Tsutomu Watanabe**CARF-F-352 An FBSDE Approach to American Option Pricing with an Interacting Particle Method***by*Masaaki Fujii & Seisho Sato & Akihiko Takahashi**CARF-F-351 Working Less and Bargain Hunting More:Macro Implications of Sales during Japan's Lost Decades***by*Nao Sudo & Kozo Ueda & Kota Watanabe & Tsutomu Watanabe**CARF-F-350 A New Improvement Scheme for Approximation Methods of Probability Density Functions***by*Akihiko Takahashi & Yukihiro Tsuzuki**CARF-F-349 A Semi-group Expansion for Pricing Barrier Options***by*Takashi Kato & Akihiko Takahashi & Toshihiro Yamada**CARF-F-348 Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-347 This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More generally, we also derive an error estimate for an asymptotic expansion around a general partially elliptic diffusion and a more general Wiener functional, which is applicable to various important valuation and risk management tasks in the financial business such as the ones for multi-dimensional diffusion and non-diffusion models. In particular, we take the Malliavin calculus approach, and estimate the error bounds for the Malliavin weights of both the coefficient and the residual terms in the expansions by effectively applying the properties of Kusuoka-Stroock functions. Moreover, a numerical experiment under the Heston-type model confirms the effectiveness of our method***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-346 Beauty Contests and Fat Tails in Financial Markets***by*Makoto Nirei & Tsutomu Watanabe**CARF-F-345 Complexity of Payment Network***by*Hitoshi Hayakawa**CARF-F-344 Safe Asset Shortages and Asset Price Bubbles***by*Kosuke Aoki & Tomoyuki Nakajima & Kalin Nikolov**CARF-F-343 A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing***by*Masaaki Fujii**CARF-F-342 We construct a TÃ¶rnqvist daily price index using Japanese point of sale (POS) scannerdata spanning from 1988 to 2013. We find the following. First, the POS based inflation rate tends to be about 0.5 percentage points lower than the CPI inflation rate, although the difference between the two varies over time. Second, the difference between the two measures is greatest from 1992 to 1994, when, following the burst of bubble economy in 1991, the POS inflation rate drops rapidly and turns negative in June 1992, while the CPI inflation rate remains positive until summer 1994. Third, the standard deviation of daily POS inflation is 1.1 percent compared to a standard deviation for the monthly change in the CPI of 0.2 percent, indicating that daily POS inflation is much more volatile, mainly due to frequent switching between regular and sale prices. We show that the volatility in daily inflation can be reduced by more than 2daily inflation rate 0 percent by trimming the tails of product-level price change distributions. Finally, if we measure price changes from one day to the next and construct a chained TÃ¶rnqvist index, a strong chain drift arises so that the chained price index falls to 10-10 of the base value over the 25-year sample period, which is equivalent to an annual deflation rate of 60 percent. We provide evidence suggesting that one source of the chain drift is fluctuations in sales quantity before, during, and after a sale period***by*Kota Watanabe & Tsutomu Watanabe**CARF-F-341 A New Improvement Scheme for Approximation Methods of Probability Density Functions***by*Akihiko Takahashi & Yukihiro Tsuzuki**CARF-F-340 Speculative Attacks with Multiple Targets***by*Junichi Fujimoto**CARF-F-339 The Structure and Evolution of Buyer-Supplier Networks***by*Takayuki Mizuno & Wataru Souma & Tsutomu Watanabe**CARF-F-338 Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-337 Liquidity Preference And Knightian Uncertainty***by*Kiyohiko G. Nishimura & Hiroyuki Ozaki

### 2013

**CARF-F-336 Pricing Basket Options under Local Stochastic Volatility with Jumps***by*Kenichiro Shiraya & Akihiko Takahashi**CARF-F-335 A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-334 Aging and Real Estate Prices: Evidence from Japanese and US Regional Data***by*Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe**CARF-F-333 Strong Convergence for Euler-Maruyama and Milstein Schemes with Asymptotic Method***by*Hideyuki Tanaka & Toshihiro Yamada**CARF-F-332 Making Mean-Variance Hedging Implementable in a Partially Observable Market -with supplementary contents for stochastic interest rates-***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-331 Role of Credit Default Swap in Bubbles and Crashes***by*Hitoshi Matsushima**CARF-F-330 Auction Platform Design and the Linkage Principle***by*Wataru Tamura**CARF-F-329 Optimal Monetary Policy and Transparency under Informational Friction***by*Wataru Tamura**CARF-F-328 How Much Do Official Price Indexes Tell Us About Inflation?***by*Jessie Handbury & Tsutomu Watanabe & David E. Weinstein**CARF-F-327 Do Wild Fluctuations in Quarterly Inventory Investment Data Matter?: A Study of Japanese GDP Statistics, 1994-2010***by*Yoshiro Miwa**CARF-F-326 On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-325 Pricing Bounds on Barrier Options (forthcoming in "Journal of Futures Markets")***by*Yukihiro Tsuzuki**CARF-F-324 On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-***by*Akihiko Takahashi & Toshihiro Yamada**CARF-F-323 Bankâ€™s regulation, asset portfolio choice of banks, and macroeconomic dynamics***by*Kosuke Aoki & Nao Sudo**CARF-F-322 A Regime-Switching SVAR Analysis of Quantitative Easing***by*Fumio Hayashi & Junko Koeda**CARF-F-321 Making Mean-Variance Hedging Implementable in a Partially Observable Market***by*Masaaki Fujii & Akihiko Takahashi**CARF-F-320 Product Downsizing and Hidden Price Increases: Evidence from Japan's Deflationary Period***by*Satoshi Imai & Tsutomu Watanabe**CARF-F-319 A Robust Version of Convex Integral Functionals***by*Keita Owari**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 Semi-group Expansion for 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 Japan's Deleveraging since the 1990s and the Bank of Japan's 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