# 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

Fax: +81-3-5841-8294

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

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### 2010

**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**CIRJE-F-663 Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets***by*Abdul Hakim & Michael McAleer**CIRJE-F-662 A Trinomial Test for Paired Data When There are Many Ties***by*Guorui Bian & Michael McAleer & Wing-Keung Wong**CIRJE-F-661 Testing the Box-Cox Parameter in an Integrated Process***by*Jian Huang & Masahito Kobayashi & Michael McAleer**CIRJE-F-660 On the Robustness of Alternative Rankings Methodologies For Australian and New Zealand Economics Departments***by*Joseph Macri & Michael McAleer & Dipendra Sinha**CIRJE-F-659 Value-at-Risk for Country Risk Ratings***by*Michael McAleer & Bernardo da Veiga & Suhejla Hoti**CIRJE-F-658 Non-Classical Measurement Error in Long-Term Retrospective Recall Surveys***by*John Gibson & Bonggeun Kim**CIRJE-F-657 Dynamic Conditional Correlations for Asymmetric Processes***by*Manabu Asai & Michael McAleer**CIRJE-F-656 Asymmetry and Leverage in Realized Volatility***by*Manabu Asai & Michael McAleer & Marcelo C. Medeiros**CIRJE-F-655 Alternative Asymmetric Stochastic Volatility Models***by*Manabu Asai & Michael McAleer**CIRJE-F-654 Asymptotic Expansion Approaches in Finance: Applications to Currency Options***by*Akihiko Takahashi & Kohta Takehara**CIRJE-F-653 Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments***by*Akihiko Takahashi & Yukihiro Tsuzuki & Akira Yamazaki**CIRJE-F-652 The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges***by*Michael McAleer**CIRJE-F-651 Modelling and Forecasting Daily International Mass Tourism to Peru***by*Jose Angelo Divino & Michael McAleer**CIRJE-F-650 Modelling Sustainable International Tourism Demand to the Brazilian Amazon***by*Jose Angelo Divino & Michael McAleer**CIRJE-F-649 An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia***by*Michael McAleer & Bing-Wen Huang & Hsiao-I Kuo & Chi-Chung Chen & Chia-Lin Chang**CIRJE-F-648 Does the FOMC Have Expertise, and Can It Forecast?***by*Philip Hans Franses & Michael McAleer & Rianne Legerstee**CIRJE-F-647 Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan***by*Chia-Lin Chang & Michael McAleer & Christine Lim**CIRJE-F-646 The Second End of Laissez-Faire: The Bootstrapping Nature of Money and the Inherent Instability of Capitalism***by*Katsuhito Iwai**CIRJE-F-645 Disability and Returns to Education in a Developing Country***by*Kamal Lamichhane & Yasuyuki Sawada**CIRJE-F-644 A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk***by*Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral**CIRJE-F-643 Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?***by*Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral**CIRJE-F-642 Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO***by*Chia-Lin Chang & Biing-Wen Huang & Meng-Gu Chen & Michael McAleer**CIRJE-F-641 Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets***by*Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat**CIRJE-F-640 Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets***by*Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat**CIRJE-F-639 Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return***by*Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat**CIRJE-F-638 Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models***by*Massimiliano Caporin & Michael McAleer**CIRJE-F-637 How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan***by*Chia-Lin Chang & Philip Hans Franses & Michael McAleer**CIRJE-F-636 What Happened to Risk Management During the 2008-09 Financial Crisis?***by*Michael McAleer & Juan-Angel Jimenez-Martin & Teodosio Perez-Amaral**CIRJE-F-635 How Volatile is ENSO?***by*LanFen Chu & Michael McAleer & Chi-Chung Chen**CIRJE-F-634 Estimating the Impact of Whaling on Global Whale Watching***by*Hsiao-I Kuo & Chi-Chung Chen & Michael McAleer**CIRJE-F-633 Estimation of mean squared error of model-based small area estimators***by*Gauri Sankar Datta & Tatsuya Kubokawa & J. N. K. Rao & Isabel Molina**CIRJE-F-632 Corrected Empirical Bayes Confidence Intervals in Nested Error Regression Models***by*Tatsuya Kubokawa**CIRJE-F-631 Bayesian Estimation of Demand Functions under Block Rate Pricing***by*Koji Miyawaki & Yasuhiro Omori & Akira Hibiki**CIRJE-F-630 A Note on Construction of Multiple Swap Curves with and without Collateral***by*Masaaki Fujii & Yasufumi Shimada & Akihiko Takahashi**CIRJE-F-629 Socio-Economic Studies on Suicide: A Survey***by*Joe Chen & Yun Jeong Choi & Kohta Mori & Yasuyuki Sawada & Saki Sugano**CIRJE-F-628 The Jump, Inertia, and Juvenization of Suicides in Japan***by*Joe Chen & Yun Jeong Choi & Kohta Mori & Yasuyuki Sawada & Saki Sugano**CIRJE-F-627 Investment Frictions versus Financing Frictions***by*Takao Kobayashi & Risa Sai**CIRJE-F-626 Exclusive Dealing and Large Distributors***by*Ryoko Oki & Noriyuki Yanagawa**CIRJE-F-625 Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment***by*Kyo Yamamoto & Seisho Sato & Akihiko Takahashi**CIRJE-F-624 Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication***by*Akihiko Takahashi & Kyo Yamamoto**CIRJE-F-623 Business Cycle Implications of Internal Consumption Habit for New Keynesian Models***by*Takashi Kano & James M. Nason**CIRJE-F-622 The Role of the Government in Facilitating TFP Growth during Japan's Rapid Growth Era***by*Shuhei Aoki & Julen Esteban-Pretel & Tetsuji Okazaki & Yasuyuki Sawada**CIRJE-F-621 Computation in an Asymptotic Expansion Method***by*Akihiko Takahashi & Kohta Takehara & Masashi Toda**CIRJE-F-620 Computing Densities and Expectations in Stochastic Recursive Economies: Generalized Look-Ahead Techniques***by*Richard Anton Braun & Huiyu Li & John Stachurski**CIRJE-F-619 The Limited Information Maximum Likelihood Estimator as an Angle***by*T. W. Anderson & Naoto Kunitomo & Yukitoshi Matsushita**CIRJE-F-618 Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model***by*Kenichiro Shiraya & Akihiko Takahashi**CIRJE-F-617 Pareto Optimal Pro-cyclical Research and Development***by*R. Anton Braun & Tomoyuki Nakajima**CIRJE-F-616 Customer Lifetime Value and RFM Data: Accounting Your Customers: One by One***by*Makoto Abe**CIRJE-F-615 Stationary Monetary Equilibria with Strictly Increasing Value Functions and Non-Discrete Money Holdings Distributions: An Indeterminacy Result***by*Kazuya Kamiya & Takashi Shimizu**CIRJE-F-614 Consistency of the Empirical Bayes Information Criterion for Selecting Variables in Linear Mixed Models***by*Tatsuya Kubokawa & Muni S. Srivastava**CIRJE-F-613 Cyclical Informality and Unemployment***by*Mariano Bosch & Julen Esteban-Pretel**CIRJE-F-612 Did US Safeguards Resuscitate Harley-Davidson in the 1980s?***by*Taiju Kitano & Hiroshi Ohashi**CIRJE-F-611 Asymptotic Expansions and Higher Order Properties of Semi-Parametric Estimators in a System of Simultaneous Equations***by*Naoto Kunitomo & Yukitoshi Matsushita**CIRJE-F-610 The Activities of a Japanese Bank in the Interwar Financial Centers: A Case of the Yokohama Specie Bank***by*Makoto Kasuya**CIRJE-F-609 Assessing the Consequences of a Horizontal Merger and its Remedies in a Dynamic Environment***by*Satoshi Myojo & Hiroshi Ohashi**CIRJE-F-608 Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model***by*Isao Ishida & Toshiaki Watanabe**CIRJE-F-607 Self-organizing Marketplaces***by*Takatoshi Tabuchi**CIRJE-F-606 Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes***by*Hitoshi Matsushima

### 2008

**CIRJE-F-605 Interbank Networks in Pre-war Japan: Structure and Implications***by*Tetsuji Okazaki & Michiru Sawada**CIRJE-F-604 Those Who Are Left Behind: An Estimate of the Number of Family Members of Suicide Victims in Japan***by*Joe Chen & Yun Jeong Choi & Kohta Mori & Yasayuki Sawada & Saki Sugano**CIRJE-F-603 Macroeconomic Implications of Term Structures of Interest Rates under Stochastic Differential Utility with Non-Unitary EIS***by*Hisasi Nakamura & Wataru Nozawa & Akihiko Takahashi**CIRJE-F-602 Impact of Natural Disasters on Industrial Agglomeration: A Case of the 1923 Great Kanto Earthquake***by*Asuka Imaizumi & Kaori Ito & Tetsuji Okazaki**CIRJE-F-601 Realized Volatility, Covariance and Hedging Coefficient of the Nikkei-225 Futures with Micro-Market Noise***by*Naoto Kunitomo & Seisho Sato**CIRJE-F-600 Cotton and the Peasant Economy: A Response to 'Superior' Foreign Fibre in Early Modern Japan***by*Masayuki Tanimoto**CIRJE-F-599 Voluntarily Separable Repeated Prisoner's Dilemma***by*Takako Fujiwara-Greve & Masahiro Okuno-Fujiwara**CIRJE-F-598 Implementation and Social Influence***by*Hitoshi Matsushima**CIRJE-F-597 A Remark on a Singular Perturbation Method for Option Pricing under a Stochastic Volatility***by*Kyo Yamamoto & Akihiko Takahashi**CIRJE-F-596 Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment***by*Kyo Yamamoto & Seisho Sato & Akihiko Takahashi**CIRJE-F-595 Tax Competition, Public Good Provision, and Income Redistribution: The Case of Linear Capital Income Tax***by*Toshihiro Ihori & C.C. Yang**CIRJE-F-594 Tobit Model with Covariate Dependent Thresholds***by*Yasuhiro Omori & Koji Miyawaki**CIRJE-F-593 Auction Price Formation with Costly Occupants: Evidence Using Data from the Osaka District Court***by*Takako Idee & Shinichiro Iwata & Teruyuki Taguchi**CIRJE-F-592 Hedge Fund Replication***by*Akihiko Takahashi & Kyo Yamamoto**CIRJE-F-591 Trade and Location with Land as a Productive Factor***by*Pfluger, Michael & Takatoshi Tabuchi**CIRJE-F-590 Bartlett-type Correction of the Generalized Least Squares Test in the Fay-Herriot Model***by*Tatsuya Kubokawa**CIRJE-F-589 The Rise of China and Sustained Recovery of Japan***by*Shin-ichi Fukuda**CIRJE-F-588 Improving the Rank-Adjusted Anderson-Rubin Test with Many Instruments and Persistent Heteroscedasticity***by*Naoto Kunitomo & Yukitoshi Matsushita**CIRJE-F-587 Asymptotic Properties of the LSE of a Spatial Regression in both Weakly and Strongly Dependent Stationary Random Fields***by*Yoshihiro Yajima & Yasumasa Matsuda**CIRJE-F-586 Financial Imperfection and Outsourcing Decision***by*Noriyuki Yanagawa**CIRJE-F-585 Biased Motivation of Experts: Should They be Aggressive or Conservative?***by*Noriyuki Yanagawa**CIRJE-F-584 Modified Bayesian Information Criterion in Linear Mixed Models***by*Tatsuya Kubokawa & Muni S. Srivastava**CIRJE-F-583 Exclusive Dealing Contract and Inefficient Entry Threat***by*Noriyuki Yanagawa & Ryoko Oki**CIRJE-F-582 The Backward-bending Commute times of Married Women with Household Responsibility***by*Shinichiro Iwata & Keiko Tamada**CIRJE-F-581 Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise***by*Naoto Kunitomo & Seisho Sato**CIRJE-F-580 Company Strategies and Sport Models***by*Christer Ericsson**CIRJE-F-579 Industrial Paternalistic Corporate Company Strategies in Theory and Practice in Nordic Countries and Japan from 1900s to 1960s***by*Christer Ericsson**CIRJE-F-578 Minimaxity of the Stein Risk-Minimization Estimator for a Normal Mean Matrix***by*Tatsuya Kubokawa & Hisayuki Tsukuma**CIRJE-F-577 On Finite Sample Properties of Alternative Estimators of Coefficients in a Structural Equation with Many Instruments***by*T. W. Anderson & Naoto Kunitomo & Yukitoshi Matsushita**CIRJE-F-576 An Optimal Modification of the LIML Estimation for Many Instruments and Persistent Heteroscedasticity***by*Naoto Kunitomo**CIRJE-F-575 Conditional Information Criteria for Selecting Variables in Linear Mixed Models***by*Muni S. Srivastava & Tatsuya Kubokawa**CIRJE-F-574 Estimating Derivatives in Nonseparable Models with Limited Dependent Variables***by*Joseph G. Altonji & Hidehiko Ichimura & Taisuke Otsu**CIRJE-F-573 Time Series Nonparametric Regression Using Asymmetric Kernels with an Application to Estimation of Scalar Diffusion Processes***by*Nikolay Gospodinov & Masayuki Hirukawa