Quantitative Finance
F-series
Date：
Number：CARF-F-108
Working Papers
Detailed Search
Items 551 to 600 of 700
Quantitative Finance
F-series
Date：
Number：CARF-F-107
Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2335-2353. April 2009. )
F-series
Date：
Number：CARF-F-106
Consumption Insurance and Risk-Coping Strategies under Non-Separable Utility: Evidence from the Kobe Earthquake
Quantitative Finance
F-series
Date：
Number：CARF-F-105
Efficient Static Replication of European Options for Exponential Levy Models (Revised in January 2008, Published in "Journal of Futures Markets", Vol.29-1, 1-15, 2009. )
The Financial System
J-series
Date：
Number：CARF-J-041
Information Revealing Effects of Anti-takeover Amendments : A case of Japan in 2005
Accounting
J-series
Date：
Number：CARF-J-040
The Usefulness of Accounting Information and the Valuation of the Firm– A Reexamination of the Efficient Market Hypothesis —
Quantitative Finance
F-series
Date：
Number：CARF-F-104
Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors
Quantitative Finance
F-series
Date：
Number：CARF-F-103
Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (Published in "Computational Statistics and Data Analysis", 52-6, 2892-2910. February 2008. )
Quantitative Finance
F-series
Date：
Number：CARF-F-102
An Asymptotic Expansion Approach in Finance (Revised in April 2009; subsequently published as "On an Asymptotic Expansion Approach to Numerical Problems in Finance," in Selected Papers on Probability and Statistics, pp. 199-217, 2009, American Mathematical Society)
F-series
Date：
Number：CARF-F-101
Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect (Revised as CARF-F-124 (2008) )
Quantitative Finance
J-series
Date：
Number：CARF-J-039
Closed-form Solution of Bond Prices with Postponement of Redemption
Quantitative Finance
F-series
Date：
Number：CARF-F-100
Why some Distressed Firms Have Low Expected Returns. ( Revised in September. 2007 )
Quantitative Finance
J-series
Date：
Number：CARF-J-038
A Structural Approach without Path Dependency
F-series
Date：
Number：CARF-F-099
Did the Credit Crunch in Japan Affect Household Welfare? An Augmented Euler Equation Approach Using Type 5 Tobit Model
The Financial System
F-series
Date：
Number：CARF-F-098
Listing Policy and Development of the Tokyo Stock Exchange in the Pre-War Period (Published in Takatoshi Ito and Andrew Rose eds. "Financial Sector Development in the Pacific Rim". Chicago, IL: University of Chicago Press, pp.51-87, 2009. )
Accounting
J-series
Date：
Number：CARF-J-037
Value Relevance of Earnings Information in Japan — A Survey: The Empirical Findings by Foreign Researchers —
Quantitative Finance
F-series
Date：
Number：CARF-F-097
Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options ( Revised in December 2008; subsequently published in "International Journal of Theoretical and Applied Finance", Vol.11-4,pp.381-401. )
The Financial System
F-series
Date：
Number：CARF-F-096
Tit-For-Tat Equilibria in Discounted Repeated Games with Private Monitoring
Macrofinance
F-series
Date：
Number：CARF-F-095
Liquidity Risk Aversion, Debt Maturity, and Current Account Surpluses: A Theory and Evidence from East Asia (Forthcoming in T. Ito and A. Rose eds., International Financial Issues in Pacific Rim, University of Chicago Press)
Quantitative Finance
J-series
Date：
Number：CARF-J-036
Global Risk Sharing: Toward a stronger Financial System
Quantitative Finance
F-series
Date：
Number：CARF-F-094
Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. )
Quantitative Finance
J-series
Date：
Number：CARF-J-035
Markov chain Monte Carlo method and its application to the stochastic volatility model
F-series
Date：
Number：CARF-F-093
Pioneering Modern Corporate Governance: a View from London in 1900 (Subsequently published in "Enterprise and Society", vol. 8, no. 3, September 2007, pp. 642-86. )
Quantitative Finance
F-series
Date：
Number：CARF-F-092
An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates (Revised in August 2007 and January 2009; subsequently published in "Asia-Pacific Financial Markets", vol.14, pp.69-121, 2007. )
J-series
Date：
Number：CARF-J-034
Do Wild Fluctuations in Quarterly Inventory Investment Data Matter?: A Study of Japanese GDP Statistics, 1994-2010
F-series
Date：
Number：CARF-F-091
RETHINKING PENSION REFORM – SIMPLE APPLICATION TO THE JAPANESE SITUATION
F-series
Date：
Number：CARF-F-090
HEDGING CURRENCY RISK IN INTERNATIONAL INVESTMENT AND TRADE
J-series
Date：
Number：CARF-J-034
The Case for View Based Dynamic ALM for Japanese Pension Funds: A New Approach to Liability Driven Investing
F-series
Date：
Number：CARF-F-089
The Case for View Based Dynamic ALM for Japanese Pension Funds: A New Approach to Liability Driven Investing
F-series
Date：
Number：CARF-F-088
Democracy, Finance and Development
Accounting
J-series
Date：
Number：CARF-J-033
Portfolio Management and Profitability of Mitsubishi Zaibatsu during the War: 1935-1944
Quantitative Finance
J-series
Date：
Number：CARF-J-032
“On an Asymptotic Expansion Approach to Numerical Problems in Finance” (forthcoming in “Sugaku,” Vol. 59-1, (2007))
F-series
Date：
Number：CARF-F-087
Quote Competition in Limit Order Markets
F-series
Date：
Number：CARF-F-086
Group Provision Against Adversity: Security By Insurance vs. Protection
F-series
Date：
Number：CARF-F-085
Patterns of Non-exponential Growth of Macroeconomic Models: Two-parameter Poisson-Dirichlet Models (Forthcoming in "Rivista Internazionale di Scienze Sociali", cxv No.1, pp. 109-125, 2007. )
Macrofinance
F-series
Date：
Number：CARF-F-084
Micro-aspects of Monetary Policy: Lender of Last Resort and Selection of Banks in Pre-war Japan (Published in "Explorations in Economic History", October 2007, v. 44, iss. 4, pp. 657-79. )
F-series
Date：
Number：CARF-F-083
Thermodynamic Limits of Macroeconomic or Financial Models: One-and Two-Parameter Poisson-Dirichlet Models (Forthcoming in "Journal of Economic Dynamics and Control", 2007. )
Quantitative Finance
F-series
Date：
Number：CARF-F-082
Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic Volatility Processes of Spot Exchange Rates
Macrofinance
F-series
Date：
Number：CARF-F-081
On the Consumption Insurance Effects of Long-term Care Insurance In Japan: Evidence from Micro Household Data
Macrofinance
F-series
Date：
Number：CARF-F-080
On the Determinants of Exporters’ Currency Pricing: History vs. Expectations (Subsequently published in "Journal of the Japanese and International Economies", Vol.18, No.4, December 2006, pp.548-568. )
Macrofinance
F-series
Date：
Number：CARF-F-079
Post-crisis Exchange Rate Regimes in ASEAN:A New Empirical Test Based on Intra-daily Data (Forthcoming in "Singapore Economic Review". )
Macrofinance
F-series
Date：
Number：CARF-F-078
The Role of Trade Credit for Small Firms: An Implication from Japan’s Banking Crisis
Macrofinance
F-series
Date：
Number：CARF-F-077
The Impacts of "Shock Therapy" on Large and Small Clients:Experiences from Two Large Bank Failures in Japan (Forthcoming in "Pacific-Basin Finance Journal". )
Quantitative Finance
J-series
Date：
Number：CARF-J-031
The Critical Weakness of the Japanese Financial System and Its Remedy
Quantitative Finance
F-series
Date：
Number：CARF-F-076
A Factor Allocation Approach to Optimal Bond Portfolio (Revised in March 2008, Published in "Asia-Pacific Financial Markets", Vol.14-4, 299-324, 2007. )
F-series
Date：
Number：CARF-F-075
Convertible Bond Underpricing: Renegotiable Covenants, Seasoning and Convergence (Published in "Management Science", Vol. 53, No. 11, November 2007, pp. 1793.1814. )
F-series
Date：
Number：CARF-F-074
The Welfare Enhancing Effects of a Selfish Government in the Presence of Uninsuarable, Idiosyncratic Risk
Quantitative Finance
J-series
Date：
Number：CARF-J-030
The Market Efficiency – 35 years after Fama
Quantitative Finance
F-series
Date：
Number：CARF-F-073
Selection and Performance Analysis of Asia-Pacific Hedge Funds (Revised in November 2007, Published in "The Journal of Alternative Investments", Vol.10-3, 7-29, Winter 2007. )
Quantitative Finance
J-series
Date：
Number：CARF-J-029