# CIRJE, Faculty of Economics, University of Tokyo

# CIRJE F-Series

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

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Phone: +81-3-5841-5644

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Web page: http://www.cirje.e.u-tokyo.ac.jp/index.html

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### 2012

**CIRJE-F-866 Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures***by*Hiroyuki Kasahara & Katsumi Shimotsu**CIRJE-F-865 An Asymptotic Expansion for Forward-Backward SDEs; A Malliavin Calculus Aproach***by*Akihiko Takahashi & Toshihiro Yamada**CIRJE-F-864 Some Consequences of the Early Twentieth Century Divorce of Ownership from Control***by*James Foreman-Peck & Leslie Hannah**CIRJE-F-863 Infrequent Changes of the Policy Target: Robust Optimal Monetary Policy under Ambiguity***by*Shin-ichi Fukuda**CIRJE-F-862 How Strongly Do "Financing Constraints" Affect Firm Behavior?: Japanese Corporate Investment since the Mid-1980s***by*Yoshiro Miwa**CIRJE-F-861 On Measuring Uncertainty of Benchmarked Predictors with Application to Disease Risk Estimatee***by*Tatsuya Kubokawa & Mana Hasukawa & Kunihiko Takahashi**CIRJE-F-860 Note on an Extension of an Asymptotic Expansion Scheme***by*Akihiko Takahashi & Masashi Toda**CIRJE-F-859 Role of Leverage in Bubbles and Crashes***by*Hitoshi Matsushima**CIRJE-F-858 Minimaxity in Estimation of Restricted and Non-restricted Scale Parameter Matrices***by*Hisayuki Tsukuma & Tatsuya Kubokawa**CIRJE-F-857 Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes***by*Hitoshi Matsushima**CIRJE-F-856 Inequalities in Japanese Economy during the Lost Decades***by*Nao Sudo & Michio Suzuki & Tomoaki Yamada**CIRJE-F-855 Estimation of Covariance and Precision Matrices in High Dimension***by*Tatsuya Kubokawa & Akira Inoue**CIRJE-F-854 Are NEG Models Capable of Simulating Agglomeration in the Real World?***by*Takatoshi Tabuchi**CIRJE-F-853 Optimal Multiunit Exchange Design***by*Hitoshi Matsushima**CIRJE-F-852 Congestion, Technical Returns, and the Minimum Efficient Scales of Local Public Expenditures: An Empirical Analysis for Japanese Cities***by*Masayoshi Hayashi**CIRJE-F-851 Productivity Change and Mine Dynamics: The Coal Industry in Japan during World War II***by*Tetsuji Okazaki**CIRJE-F-850 Estimating a Search and Matching Model of the Aggregate Labor Market in Japan***by*Ching-Yang Lin & Hiroaki Miyamoto**CIRJE-F-849 An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems***by*Shinya Sugawara & Yasuhiro Omori**CIRJE-F-848 Should the Japanese Tax System Be More Progressive? An Evaluation Using Simulated SMCFs Based on the Discrete Choice Model of Labor Supply***by*Shun-ichiro Bessho & Masayoshi Hayashi**CIRJE-F-847 Channels of Stabilization in a System of Local Public Health Insurance: The Case of the National Health Insurance in Japan***by*Masayoshi Hayashi**CIRJE-F-846 Forecasting Welfare Caseloads: The Case of the Japanese Public Assistance Program***by*Masayoshi Hayashi**CIRJE-F-845 Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline***by*Yuta Kurose & Yasuhiro Omori**CIRJE-F-844 Pricing Multi-Asset Cross Currency Optionss***by*Kenichiro Shiraya & Akihiko Takahashi**CIRJE-F-843 Minimaxity in Predictive Density Estimation with Parametric Constraints***by*Tatsuya Kubokawa & Éric Marchand & William E. Strawderman & Jean-Philippe Turcotte**CIRJE-F-842 A Remark on Approximation of the Solutions to Partial Differential Equations in Finance***by*Akihiko Takahashi & Toshihiro Yamada**CIRJE-F-841 A Semi-group Expansion for Pricing Barrier Options***by*Takashi Kato & Akihiko Takahashi & Toshihiro Yamada**CIRJE-F-840 Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility***by*Masaaki Fujii & Akihiko Takahashi**CIRJE-F-839 Analyzing the Kuznets Relationship using Nonparametric and Semiparametric Methods***by*Kui-Wai Li**CIRJE-F-838 Asset Bubbles and Bailout***by*Tomohiro Hirano & Noriyuki Yanagawa**CIRJE-F-837 Combinatorial Bootstrap Inference IN in Prtially Identified Incomplete Structural Models***by*Marc Henry & Romuald Méango & Maurice Queyranne**CIRJE-F-836 Local Utility and Multivariate Risk Aversion***by*Arthur Charpentier & Alfred Galichon & Marc Henry**CIRJE-F-835 Sharp Bounds in the Binary Roy Model***by*Marc Henry & Ismael Mourifié**CIRJE-F-834 Empirical Analysis of the National Treatment Obligation Under the WTO: The Case of Japanese Shochu***by*Naoshi Doi & Hiroshi Ohashi**CIRJE-F-833 A Characterization of the Plurality Rule***by*Yohei Sekiguchi**CIRJE-F-832 Mixed Effects Prediction under Benchmarking and Applications to Small Area Estimation***by*Tatsuya Kubokawa

### 2011

**CIRJE-F-831 Tests for Multivariate Analysis of Variance in High Dimension Under Non-Normality***by*Muni S. Srivastava & Tatsuya Kubokawa**CIRJE-F-830 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**CIRJE-F-829 Clean Valuation Framework for the USD Silo -An implication for the forthcoming Standard Credit Support Annex (SCSA)-***by*Masaaki Fujii & Akihiko Takahashi**CIRJE-F-828 Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007***by*Kazuo Ueda**CIRJE-F-827 Stochastic Macro-equilibrium and A Microfoundation for the Keynesian Economics***by*Hiroshi Yoshikawa**CIRJE-F-826 Efficient Combinatorial Exchanges***by*Hitoshi Matsushima**CIRJE-F-825 A Dynamic Multitask Model: Fixed Wages, No Externalities, and Holdup Problems***by*Meg Adachi-Sato & Kazuya Kamiya**CIRJE-F-824 An Asymptotic Expansion with Push-Down of Malliavin Weights***by*Akihiko Takahashi & Yoshihiro Yajima**CIRJE-F-823 Covariance Tapering for Prediction of Large Spatial Data Sets in Transformed Random Fields***by*Toshihiro Hirano & Yoshihiro Yajima**CIRJE-F-822 Euclidean Revealed Preferences: Testing the Spatial Voting Model***by*Marc Henry & Ismael Mourifie**CIRJE-F-821 Set Coverage and Robust Policy***by*Marc Henry & Alexei Onatski**CIRJE-F-820 Set Inference in Latent Variables Models***by*Isabel Mourifie & Marc Henry**CIRJE-F-819 Stock Price Targeting and Fiscal Deficit in Japan: Why Did the Fiscal Deficit Increase . during Japan's Lost Decades?***by*Shin-ichi Fukuda & Junji Yamada**CIRJE-F-818 Asymptotic Expansion and Estimation of EPMC for Linear Classification Rules in High Dimension***by*Tatsuya Kubokawa & Masashi Hyodo & Muni S. Srivastava**CIRJE-F-817 Estimating the Social Marginal Cost of Public Funds: A Micro-data Approach***by*Shun-ichiro Bessho & Masayoshi Hayashi**CIRJE-F-816 The Effects of Medical Factors on Transfer Deficits in Public Assistance in Japan: A Quantile Regression Analysis***by*Masayoshi Hayashi**CIRJE-F-815 On Approximation of the Solutions to Partial Differential Equations in Finance***by*Akihiko Takahashi & Toshihiro Yamada**CIRJE-F-814 The Effectiveness of Non-traditional Monetary Policy Measures: The Case of the Bank of Japan***by*Kazuo Ueda**CIRJE-F-813 Matrix Exponential Stochastic Volatility with Cross Leverage***by*Tsuyoshi Nakamura & Hiroshi Ohashi**CIRJE-F-812 Matrix Exponential Stochastic Volatility with Cross Leverage***by*Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai**CIRJE-F-811 A Note on the Decomposition Technique of Economic Indices***by*Pascal Mossay & Takatoshi Tabuchi**CIRJE-F-810 A Note on the Decomposition Technique of Economic Indices***by*Kohta Mori & Saki Sugano & Joe Chen & Yun Jeong Choi & Yasuyuki Sawada**CIRJE-F-809 Admissibility and Minimaxity of Benchmarked Shrinkage Estimators***by*Tatsuya Kubokawa & William E. Strawderman**CIRJE-F-808 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**CIRJE-F-806 Price-Based Combinatorial Auction: Connectedness and Representative Valuations***by*Hitoshi Matsushima**CIRJE-F-805 Interbank Networks in Prewar Japan: Structure and Implications***by*Tetsuji Okazaki & Michiru Sawada**CIRJE-F-804 Does the Employment of Fewer Caseworkers Lead to the Rationing of Caseloads? Evidence from Public Assistance in Japan***by*Masayoshi Hayashi**CIRJE-F-803 A Robust Estimation of Realized Volatility and Covariance with Micro-market Adjustments and Round-off Errors***by*Seisho Sato & Naoto Kunitomo**CIRJE-F-802 Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme***by*Masaaki Fujii & Akihiko Takahashi**CIRJE-F-801 Parametric Bootstrap Methods for Bias Correction in Linear Mixed Models***by*Tatsuya Kubokawa & Bui Nagashima**CIRJE-F-800 Multi-period Contract Problems with Verifiable and Unverifiable Outputs***by*Kazuya Kamiya & Meg Sato**CIRJE-F-799 Collateralized CDS and Default Dependence -Implications for the Central Clearing-***by*Masaaki Fujii & Akihiko Takahashi**CIRJE-F-798 Bayesian Analysis of Stochastic Quantiles Using a Smoothing Spline***by*Yuta Kurose & Yasuhiro Omori**CIRJE-F-797 Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game***by*Shinya Sugawara & Yasuhiro Omori**CIRJE-F-796 Rebalancing Static Super-Replications***by*Masaaki Fujii & Yukihiro Tsuzuki**CIRJE-F-795 Monitoring Accuracy and Retaliation in Infinitely Repeated Games with Imperfect Private Monitoring: Theory and Experiments***by*Hitoshi Matsushima & Tomohisa Toyama**CIRJE-F-794 Strategic Voting on Environmental Policy Making: The Case for "Political Race to the Top"***by*Yukihiro Nishimura & Kimiko Terai**CIRJE-F-793 Hotelling Meets Weber***by*Fu-Chuan Lai & So Kubota**CIRJE-F-792 Efficient estimation and particle filter for max-stable processes***by*Kazuya Kamiya & So Kubota & Kayuna Nakajima**CIRJE-F-791 Efficient estimation and particle filter for max-stable processes***by*Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang**CIRJE-F-790 Investment and Ultimatum Games: Experiments***by*Hitoshi Matsushima & Toshihiko Shima**CIRJE-F-789 Exclusive Dealing Contracts by Distributors***by*Ryoko Oki & Noriyuki Yanagawa**CIRJE-F-788 Evaluation and Formation of Human Capital in Prewar Japan: The Case of White-Collar Workers in Mitsubishi Zaibatsu***by*Tetsuji Okazaki**CIRJE-F-787 A General Computation Scheme for a High-Order Asymptotic Expansion Method***by*Akihiko Takahashi & Kohta Takehara & Masashi Toda**CIRJE-F-786 A Unified Approach to Non-minimaxity of Sets of Linear Combinations of Restricted Location Estimators***by*Tatsuya Kubokawa & William E. Strawderman**CIRJE-F-785 A Study of Financing Behavior of Japanese Firms with Firm-Level Data from Corporate Enterprise Quarterly Statistics â€“ 1994~2009: Introduction and Summary***by*Yoshiro Miwa**CIRJE-F-784 How Does Yield Curve Predict GDP Growth? A Macro-Finance Approach Revisited***by*Junko Koeda**CIRJE-F-783 Life-Cycle Labor Search with Stochastic Match Quality***by*Julen Esteban-Pretel & Junichi Fujimoto**CIRJE-F-782 Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form***by*Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter

### 2010

**CIRJE-F-781 Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA***by*Masaaki Fujii & Akihiko Takahashi**CIRJE-F-780 An Aysmptotically Optimal Modification of the Panel LIML Estimation for Individual Heteroscedasticity***by*Naoto Kunitomo & Kentaro Akashi**CIRJE-F-779 Housework and the Consumption History in pre-war Japan***by*Masayuki Tanimoto**CIRJE-F-778 Choice of Collateral Currency***by*Masaaki Fujii & Akihiko Takahashi**CIRJE-F-777 Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments***by*Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki**CIRJE-F-776 Price-Based Combinatorial Auction Design: Representative Valuations***by*Hitoshi Matsushima**CIRJE-F-775 Japan's Deflation and the Bank of Japan's Experience with Non-traditional Monetary Policy***by*Kazuo Ueda**CIRJE-F-774 Japan's Bubble, America's Bubble and China's Bubble***by*Kazuo Ueda**CIRJE-F-773 The Henry George Theorem in A Second-Best World***by*Kristian Behrens & Yoshitsugu Kanemoto & Yasusada Murata**CIRJE-F-772 Globalised sports in a historical perspective***by*Christer Ericsson & Bjorn Horgby**CIRJE-F-771 Company Strategies and Sport Models***by*Christer Ericsson**CIRJE-F-770 Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set***by*Koji Miyawaki & Yasuhiro Omori & Akira Hibiki**CIRJE-F-769 Laffer paradox, Leviathan, and Political Contest***by*Toshihiro Ihori & C.C. Yang**CIRJE-F-768 Firm Heterogeneity under Financial Imperfection: Impacts of Trade and Capital Movement***by*Taiji Furusawa & Noriyuki Yanagawa**CIRJE-F-767 Financial Institution, Asset Bubbles and Economic Performance***by*Tomohiro Hirano & Noriyuki Yanagawa**CIRJE-F-766 A Theory of Fiduciary Relationships: Non-Contractual Foundation of the Duty of Loyalty, Disgorgement Damages, and Strict Liability***by*Katsuhito Iwai**CIRJE-F-765 Hysteresis in Dynamic General Equilibrium Models with Cash-in-Advance Constraints***by*Kazuya Kamiya & Takashi Shimizu**CIRJE-F-764 Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach***by*Koji Miyawaki & Yasuhiro Omori & Akira Hibiki**CIRJE-F-763 Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game***by*Shinya Sugawara & Yasuhiro Omori**CIRJE-F-762 Modeling of Interest Rate Term Structures under Collateralization and its Implications***by*Masaaki Fujii & Akihiko Takahashi**CIRJE-F-761 Non-Self-Averaging in Macroeconomic Models: A Criticism of Modern Micro-founded Macroeconomics***by*Masanao Aoki & Hiroshi Yoshikawa**CIRJE-F-760 Exaggerated Death of Distance: Revisiting Distance Effects on Regional Price Dispersions***by*Kazuko Kano & Takashi Kano & Kazutaka Takechi**CIRJE-F-759 Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London***by*Shin-ichi Fukuda**CIRJE-F-758 On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise***by*Naoto Kunitomo & Seisho Sato**CIRJE-F-757 Bayesian Estimation and Particle Filter for Max-Stable Processes***by*Tsuyoshi Kunihama & Yasuhiro Omori & Zhengjun Zhang**CIRJE-F-756 Financing Harmful Bubbles***by*Hitoshi Matsushima**CIRJE-F-755 Supplier Networks and Aircraft Production in Wartime Japan***by*Tetsuji Okazaki**CIRJE-F-754 On Measuring Uncertainty of Small Area Estimators with Higher Order Accuracy***by*Tatsuya Kubokawa**CIRJE-F-753 Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options***by*Kohta Takehara & Masashi Toda & Akihiko Takahashi**CIRJE-F-752 Asset Bubbles, Endogenous Growth, and Financial Frictions***by*Tomohiro Hirano & Noriyuki Yanagawa**CIRJE-F-751 Why Did "Zombie" Firms Recover in Japan?***by*Shin-ichi Fukuda & Jun-ichi Nakamura**CIRJE-F-750 Overlapping Tax Revenue, Soft Budget, and Rent Seeking***by*Toshihiro Ihori**CIRJE-F-749 Non-minimaxity of Linear Combinations of Restricted Location Estimators and Related Problems***by*Tatsuya Kubokawa & William E. Strawderman**CIRJE-F-748 Exclusive Dealing and the Market Power of Buyers***by*Ryoko Oki & Noriyuki Yanagawa**CIRJE-F-747 Pricing Average Options on Commodities***by*Kenichiro Shiraya & Akihiko Takahashi**CIRJE-F-746 Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors***by*Tsunehiro Ishihara & Yasuhiro Omori**CIRJE-F-745 Pricing Barrier and Average Options under Stochastic Volatility Environment***by*Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda**CIRJE-F-744 Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance***by*Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong**CIRJE-F-743 Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management-***by*Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi**CIRJE-F-742 Ranking Multivariate GARCH Models by Problem Dimension***by*Massimiliano Caporin & Michael McAleer**CIRJE-F-741 Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies***by*Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer**CIRJE-F-740 Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH***by*Massimiliano Caporin & Michael McAleer**CIRJE-F-739 Multiproduct Duopoly with Vertical Differentiation***by*Yi-Ling Cheng & Shin-Kun Peng & Takatoshi Tabuchi**CIRJE-F-738 Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models***by*Jouchi Nakajima & Yasuhiro Omori**CIRJE-F-737 Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models***by*Kenichiro Shiraya & Akihiko Takahashi & Akira Yamazaki**CIRJE-F-736 Are Forecast Updates Progressive?***by*Chia-Lin Chang & Philip Hans Franses & Michael McAleer**CIRJE-F-735 Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia***by*Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer**CIRJE-F-734 A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options***by*Akihiko Takahashi & Kohta Takehara**CIRJE-F-733 Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise***by*Naoto Kunitomo & Seisho Sato**CIRJE-F-732 IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development***by*Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer**CIRJE-F-731 Ownership Changes and Economic Efficiency: Plant-Level Evidence from the Japanese Cotton Spinning Industry, 1900-1911***by*Tetsuji Okazaki**CIRJE-F-729 Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments***by*Philip Hans Franses & Michael McAleer & Rianne Legerstee**CIRJE-F-728 New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme***by*Kohta Takehara & Akihiko Takahashi & Masashi Toda**CIRJE-F-727 Role of Relative and Absolute Performance Evaluations in Intergroup Competition***by*Hitoshi Matsushima**CIRJE-F-726 A New Hedge Fund Replication Method with the Dynamic Optimal Portfolio***by*Akihiko Takahashi & Kyo Yamamoto**CIRJE-F-725 On Pricing Barrier Options with Discrete Monitoring***by*Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada**CIRJE-F-724 The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective***by*Junko Koeda & Ryo Kato**CIRJE-F-723 Minimax Estimation of Linear Combinations of Restricted Location Parameters***by*Tatsuya Kubokawa**CIRJE-F-722 Time Series Modelling of Tourism Demand from the USA, Japan and Malaysia to Thailand***by*Yaovarate Chaovanapoonphol & Christine Lim & Michael McAleer & Aree Wiboonpongse**CIRJE-F-721 Role of Linking Mechanisms in Multitask Agency with Hidden Information***by*Hitoshi Matsushima & Koichi Miyazaki & Nobuyuki Yagi**CIRJE-F-720 Finitely Repeated Prisoners' Dilemma with Small Fines: Penance Contract***by*Hitoshi Matsushima**CIRJE-F-718 Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets***by*Chialin Chang & Michael McAleer & Roengchai Tansuchat**CIRJE-F-717 Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach***by*Koji Miyawaki & Yasuhiro Omori & Akira Hibiki**CIRJE-F-716 Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates***by*Chia-Lin Chang & Michael McAleer**CIRJE-F-715 Voluntarily Separable Repeated Games with Social Norms***by*Takako Fujiwara-Greve & Masahiro Okuno-Fujiwara & Nobue Suzuki**CIRJE-F-714 Incentives in Hedge Funds***by*Hitoshi Matsushima**CIRJE-F-713 Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models***by*Massimiliano Caporin & Michael McAleer**CIRJE-F-712 Bayesian Estimation of Demand Functions under Block-Rate Pricing***by*Koji, Miyawaki & Yasuhiro Omori & Akira Hibiki**CIRJE-F-711 Board's Monitoring and Retention of Sub-standard and Powerless CEOs***by*Meg Sato**CIRJE-F-710 Insular Decision Making in the Board Room: Why Boards Retain and Hire Substandard CEOs***by*Meg Adachi-Sato**CIRJE-F-709 Selection of Variables in Multivariate Regression Models for Large Dimensions***by*Muni S. Srivastava & Tatsuya Kubokawa**CIRJE-F-708 The Limited Information Maximum Likelihood Approach to Dynamic Panel Structural Equations***by*Kentaro Akashi & Naoto Kunitomo**CIRJE-F-707 Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation***by*Kentaro Akashi & Naoto Kunitomo**CIRJE-F-706 Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns***by*Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer**CIRJE-F-705 Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach***by*Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong**CIRJE-F-704 Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH***by*Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer

### 2009

**CIRJE-F-703 The Structure of Japan's Financial Regulation and Supervision and the Role Played by the Bank of Japan***by*Kazuo Ueda**CIRJE-F-702 A Review of Linear Mixed Models and Small Area Estimation***by*Tatsuya Kubokawa**CIRJE-F-701 Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution***by*Jouchi Nakajima & Yasuhiro Omori**CIRJE-F-700 Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors***by*Tsunehiro Ishihara & Yasuhiro Omori**CIRJE-F-699 Block Structure Multivariate Stochastic Volatility Models***by*Manabu Asai & Massimiliano Caporin & Michael McAleer**CIRJE-F-698 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**CIRJE-F-697 A Survey on Modeling and Analysis of Basis Spreads***by*Masaaki Fujii & Akihiko Takahashi**CIRJE-F-696 An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options***by*Akihiko Takahashi & Toshihiro Yamada**CIRJE-F-695 An Asymptotic Expansion with Push-Down of Malliavin Weights***by*Akihiko Takahashi & Toshihiro Yamada**CIRJE-F-694 Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity***by*Kiyotaka Sato & Zhaoyong Zhang & Michael McAleer**CIRJE-F-693 Realized Volatility Risk***by*David E. Allen & Michael McAleer & Marcel Scharth**CIRJE-F-692 Non-Traditional Monetary Polices: G7 Central Banks during 2007-2009 and the Bank of Japan during 1998-2006***by*Kazuo Ueda**CIRJE-F-691 Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan***by*Chia-Lin Chang & Michael McAleer**CIRJE-F-690 Multivariate Stochastic Volatility with Cross Leverage***by*Tsunehiro Ishihara & Yasuhiro Omori**CIRJE-F-689 Generalized extreme value distribution with time-dependence using the AR and MA models in state space form***by*Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter**CIRJE-F-688 Conditional and Unconditional Methods for Selecting Variables in Linear Mixed Models***by*Tatsuya Kubokawa**CIRJE-F-687 Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations***by*Chia-Ling Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat**CIRJE-F-686 Forecasting Realized Volatility with Linear and Nonlinear Models***by*Michael McAleer & Marcelo C. Medeiros**CIRJE-F-685 A Panel Threshold Model of Tourism Specialization and Economic Development***by*Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer**CIRJE-F-684 Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies***by*Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson**CIRJE-F-683 It Pays to Violate: How Effective are the Basel Accord Penalties?***by*Bernardo da Veiga & Felix Chan & Michael McAleer**CIRJE-F-682 Pricing Barrier and Average Options under Stochastic Volatility Environment***by*Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda**CIRJE-F-681 Pricing Average Options on Commodities***by*Kenichiro Shiraya & Akihiko Takahashi**CIRJE-F-680 Modelling Long Memory Volatility in Agricultural Commodity Futures Returns***by*Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer**CIRJE-F-679 Optimal monetary policy when asset markets are incomplete***by*Richard Anton Braun & Tomoyuki Nakajima**CIRJE-F-678 Computing Densities: A Conditional Monte Carlo Estimator***by*Richard Anton Braun & Huiyu Li & John Stachurski**CIRJE-F-677 Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence***by*Abdul Hakim & Michael McAleer**CIRJE-F-676 VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds***by*Abdul Hakim & Michael McAleer**CIRJE-F-675 Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns***by*Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer**CIRJE-F-674 Hotelling's Spatial Competition Reconsidered***by*Takatoshi Tabuchi**CIRJE-F-673 Implementation and Mind Control***by*Hitoshi Matsushima**CIRJE-F-672 A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options***by*Chatayan Wiphatthanananthakul & Michael McAleer**CIRJE-F-671 Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables***by*Waldyr Dutra Areosa & Michael McAleer & Marcelo C. Medeiros**CIRJE-F-670 A General Asymptotic Theory for Time Series Models***by*Shiqing Ling & Michael McAleer**CIRJE-F-669 Modelling and Forecasting Noisy Realized Volatility***by*Manabu Asai & Michael McAleer & Marcelo C. Medeiros**CIRJE-F-668 Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies***by*Shawkat M. Hammoudeh & Yuan Yuan & Michael McAleer**CIRJE-F-667 Optimal Risk Management Before, During and After the 2008-09 Financial Crisis***by*Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral**CIRJE-F-666 Higher Order Corrections in MSE Estimation and Confidence Intervals in Linear Mixed Models***by*Tatsuya Kubokawa**CIRJE-F-665 Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain***by*Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira**CIRJE-F-664 Cruising is Risky Business***by*Ana Bartolome & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira