| Number
|
Authors
|
Title
| Date
|
| CIRJE-F-703
|
Ueda, Kazuo
|
"The Structure of Japan's Financial Regulation and Supervision and the Role Played by the Bank of Japan"
| December 2009
|
| CIRJE-F-702
|
Kubokawa, Tatsuya
|
"A Review of Linear Mixed Models and Small Area
Estimation"
| December 2009
|
| CIRJE-F-701
|
Nakajima, Jouchi and Yasuhiro Omori
|
"Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution"
| December 2009
|
| CIRJE-F-700
|
Ishihara, Tsunehiro and Yasuhiro Omori
|
"Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors"
| December 2009
|
| CIRJE-F-699
|
Asai, Manabu, Massimiliano Caporin and Michael McAleer
|
"Block Structure Multivariate Stochastic Volatility Models"
| December 2009
|
| CIRJE-F-698
|
Fujii, Masaaki, Yasufumi Shimada and Akihiko Takahashi
|
"A Market Model of Interest Rates
with Dynamic Basis Spreads
in the presence of Collateral and Multiple Currencies"
|
December 2009;
Revised in April 2011 |
| CIRJE-F-697
|
Fujii, Masaaki and Akihiko Takahashi
|
"A Survey on Modeling and Analysis of Basis Spreads"
|
December 2009; Revised in February 2012
|
| CIRJE-F-696
|
Takahashi, Akihiko and Toshihiro Yamada
|
"An Asymptotic Expansion with Malliavin Weights:
An Application to Pricing Discrete Barrier Options"
|
December 2009;
Revised in January 2010 |
| CIRJE-F-695
|
Takahashi, Akihiko and Toshihiro Yamada
|
"An Asymptotic Expansion with Push-Down of Malliavin Weights"
|
December 2009; Revised in January 2010
|
| CIRJE-F-694
|
Sato, Kiyotaka, Zhaoyong Zhang and Michael McAleer
|
"Identifying Shocks in Regionally Integrated East Asian Economies
with Structural VAR and Block Exogeneity"
| December 2009
|
| CIRJE-F-693
|
Allen, David E., Michael McAleer and Marcel Scharth
|
"Realized Volatility Risk"
|
December 2009; Revised in January 2010
|
| CIRJE-F-692
|
Ueda, Kazuo
|
"Non-Traditional Monetary Polices: G7 Central Banks
during 2007-2009 and the Bank of Japan during 1998-2006"
| November 2009
|
| CIRJE-F-691
|
Chang, Chia-Lin and Michael McAleer
|
"Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan"
| November 2009
|
| CIRJE-F-690
|
Ishihara, Tsunehiro and Yasuhiro Omori
|
"Multivariate Stochastic Volatility with Cross Leverage"
| November 2009
|
| CIRJE-F-689
|
Nakajima, Jouchi, Tsuyoshi Kunihama, Yasuhiro Omori and Sylvia Frühwirth-Schnatter
|
"Generalized Extreme Value Distribution with
Time-Dependence Using the AR and MA Models in
State Space Form"
| November 2009
|
| CIRJE-F-688
|
Kubokawa, Tatsuya
|
"Conditional and Unconditional Methods for Selecting Variables in Linear Mixed Models"
| November 2009
|
| CIRJE-F-687
|
Chang, Chia-Ling, Thanchanok Khamkaew, Michael McAleer and Roengchai Tansuchat
|
"Interdependence of International Tourism Demand
and Volatility in Leading ASEAN Destinations"
| November 2009
|
| CIRJE-F-686
|
McAleer, Michael and Marcelo C. Medeiros
|
"Forecasting Realized Volatility with Linear and Nonlinear Models"
| October 2009
|
| CIRJE-F-685
|
Chang, Chia-Lin, Thanchanok Khamkaew and Michael McAleer
|
"A Panel Threshold Model of Tourism Specialization
and Economic Development"
| October 2009
|
| CIRJE-F-684
|
Hammoudeh, Shawkat, Yuan Yuan, Michael McAleer and Mark A. Thompson
|
"Precious Metals-Exchange Rate Volatility
Transmissions and Hedging Strategies"
| October 2009
|
| CIRJE-F-683
|
da Veiga, Bernardo, Felix Chan and Michael McAleer
|
"It Pays to Violate: How Effective are the Basel Accord Penalties?" | October 2009
|
| CIRJE-F-682
|
Shiraya, Kenichiro, Akihiko Takahashi and Masashi Toda
|
"Pricing Barrier and Average Options under Stochastic Volatility Environment"
|
October 2009; Revised in March 2010
|
| CIRJE-F-681
|
Shiraya, Kenichiro and Akihiko Takahashi
|
"Pricing Average Options on Commodities"
|
October 2009; Revised in May 2010
|
| CIRJE-F-680
|
Tansuchat, Roengchai, Chia-Lin Chang and Michael McAleer
|
"Modelling Long Memory Volatility in Agricultural Commodity Futures Returns"
| October 2009
|
| CIRJE-F-679
|
Braun, Richard Anton and Tomoyuki Nakajima
|
"Uninsured Countercyclical Risk: An Aggregation Result and Application to Optimal Monetary Policy"
|
October 2009;
Revised in February 2011 |
| CIRJE-F-678
|
Braun, Richard Anton, Huiyu Li and John Stachurski
|
"Computing Densities: A Conditional Monte Carlo Estimator"
| October 2009
|
| CIRJE-F-677
|
Hakim, Abdul and Michael McAleer
|
"Dynamic Conditional Correlations in International Stock, Bond and Foreign Exchange Markets: Emerging Markets Evidence"
| October 2009
|
| CIRJE-F-676
|
Hakim, Abdul and Michael McAleer
|
"VaR Forecasts and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds"
| October 2009
|
| CIRJE-F-675
|
Khamkaew, Tanchanok, Roengchai Tansuchat, Chia-Lin Chang and Michael McAleer
|
"Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns"
|
October 2009; Revised in November 2009
|
| CIRJE-F-674
|
Tabuchi, Takatoshi
|
"Hotelling's Spatial Competition Reconsidered"
| September 2009
|
| CIRJE-F-673
|
Matsushima, Hitoshi
|
"Implementation and Mind Control"
| September 2009
|
| CIRJE-F-672
|
Wiphatthanananthakul, Chatayan and Michael McAleer
|
"Simple Expected Volatility (SEV) Index: Application to SET50 Index Options"
| September 2009
|
| CIRJE-F-671
|
Areosa, Waldyr Dutra, Michael McAleer and Marcelo C. Medeiros
|
"Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables"
| September 2009
|
| CIRJE-F-670
|
Ling, Shiqing and Michael McAleer
|
"A General Asymptotic Theory for Time Series Models"
| September 2009
|
| CIRJE-F-669
|
Asai, Manabu, Michael McAleer and Marcelo C. Medeiros
|
"Modelling and Forecasting Noisy Realized Volatility"
| September 2009
|
| CIRJE-F-668
|
Hammoudeh, Shawkat M., Yuan Yuan and Michael McAleer
|
"Exchange Rate and Industrial Commodity Volatility Transmissions and Hedging Strategies"
| September 2009
|
| CIRJE-F-667
|
McAleer, Michael, Juan-Angel Jimenez-Martin and Teodosio Pérez-Amaral
|
"Optimal Risk Management Before, During and After the 2008-09 Financial Crisis"
| September 2009
|
| CIRJE-F-666
|
Kubokawa, Tatsuya
|
"Higher Order Corrections in MSE Estimation and
Confidence Intervals in Linear Mixed Models"
| September 2009
|
| CIRJE-F-665
|
Bartolomé, Ana, Michael McAleer Vicente Ramos and Javier Rey-Maquieira
|
"Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain"
| September 2009
|
| CIRJE-F-664
|
Bartolomé, Ana, Michael McAleer Vicente Ramos and Javier Rey-Maquieira
|
"Cruising is Risky Business"
| September 2009
|
| CIRJE-F-663
|
Hakim, Abdul and Michael McAleer
|
"Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets"
| September 2009
|
| CIRJE-F-662
|
Bian, Guorui, Michael McAleer and Wing-Keung Wong
|
"A Trinomial Test for Paired Data When There are Many Ties"
| September 2009
|
| CIRJE-F-661
|
Huang, Jian, Masahito Kobayashi and Michael McAleer
|
"Testing the Box-Cox Parameter in an Integrated Process"
| September 2009
|
| CIRJE-F-660
|
Macri, Joseph, Michael McAleer and Dipendra Sinha
|
"On the Robustness of Alternative Rankings Methodologies For Australian and New Zealand Economics Departments"
| September 2009
|
| CIRJE-F-659
|
McAleer, Michael, Bernardo da Veiga and Suhejla Hoti
|
"Value-at-Risk for Country Risk Ratings"
| September 2009
|
| CIRJE-F-658
|
Gibson, John and Bonggeun Kim
|
"Non-Classical Measurement Error in Long-Term Retrospective Recall Surveys"
| September 2009
|
| CIRJE-F-657
|
Asai, Manabu and Michael McAleer
|
"Dynamic Conditional Correlations for Asymmetric Processes"
| August 2009
|
| CIRJE-F-656
|
Asai, Manabu, Michael McAleer and Marcelo C. Medeiros
|
"Asymmetry and Leverage in Realized Volatility"
| August 2009
|
| CIRJE-F-655
|
Asai, Manabu and Michael McAleer
|
"Alternative Asymmetric Stochastic Volatility Models"
| August 2009
|
| CIRJE-F-654
|
Takahashi, Akihiko and Kohta Takehara
|
"Asymptotic Expansion Approaches in Finance:
Applications to Currency Options"
| August 2009
|
| CIRJE-F-653
|
Takahashi, Akihiko, Yukihiro Tsuzuki and Akira Yamazaki
|
"Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments"
| August 2009
|
| CIRJE-F-652
|
McAleer, Michael
|
"The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges"
| August 2009
|
| CIRJE-F-651
|
Divino, Jose Angelo and Michael McAleer
|
"Modelling and Forecasting Daily International
Mass Tourism to Peru"
| August 2009
|
| CIRJE-F-650
|
Divino, Jose Angelo and Michael McAleer
|
"Modelling Sustainable International Tourism Demand to the Brazilian Amazon"
| August 2009
|
| CIRJE-F-649
|
McAleer, Michael, Bing-Wen Huang, Hsiao-I Kuo, Chi-Chung Chen and Chia-Lin Chang
|
"An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia"
| August 2009
|
| CIRJE-F-648
|
Franses, Philip Hans, Michael McAleer and Rianne Legerstee
|
"Does the FOMC Have Expertise, and Can It Forecast?"
| August 2009
|
| CIRJE-F-647
|
Chang, Chia-Lin, Michael McAleer and Christine Lim
|
"Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan"
| August 2009
|
| CIRJE-F-646
|
Iwai, Katsuhito
|
"The Second End of Laissez-Faire:
The Bootstrapping Nature of Money and the Inherent
Instability of Capitalism"
|
August 2009;
Revised in October 2009 |
| CIRJE-F-645
|
Lamichhane, Kamal and Yasuyuki Sawada
|
"Disability and Returns to Education
in a Developing Country"
| August 2009
|
| CIRJE-F-644
|
McAleer, Michael, Juan-Angel Jimenez-Martin and Teodosio Pérez-Amaral
|
"A Decision Rule to Minimize Daily Capital Charges
in Forecasting Value-at-Risk"
| August 2009
|
| CIRJE-F-643
|
McAleer, Michael, Juan-Angel Jimenez-Martin and Teodosio Pérez-Amaral
|
"Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?"
| August 2009
|
| CIRJE-F-642
|
Chang, Chia-Lin, Biing-Wen Huang, Meng-Gu Chen and Michael McAleer
|
"Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO"
| August 2009
|
| CIRJE-F-641
|
Chang, Chia-Lin, Michael McAleer and Roengchai Tansuchat
|
"Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets"
| August 2009
|
| CIRJE-F-640
|
Chang, Chia-Lin, Michael McAleer and Roengchai Tansuchat
|
"Modelling Conditional Correlations for Risk Diversification
in Crude Oil Markets"
| August 2009
|
| CIRJE-F-639
|
Chang, Chia-Lin, Michael McAleer and Roengchai Tansuchat
|
"Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return"
| August 2009
|
| CIRJE-F-638
|
Caporin, Massimiliano and Michael McAleer
|
"Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models"
| August 2009
|
| CIRJE-F-637
|
Chang, Chia-Lin, Philip Hans Franses and Michael McAleer
|
"How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan"
| August 2009
|
| CIRJE-F-636
|
McAleer, Michael, Juan-Angel Jimenez-Martin and Teodosio Pérez-Amaral
|
"What Happened to Risk Management During the 2008-09 Financial Crisis?"
| August 2009
|
| CIRJE-F-635
|
Chu, LanFen, Michael McAleer and Chi-Chung Chen
|
"How Volatile is ENSO?"
| August 2009
|
| CIRJE-F-634
|
Kuo, Hsiao-I, Chi-Chung Chen and Michael McAleer
|
"Estimating the Impact of Whaling on Global Whale Watching"
| August 2009
|
| CIRJE-F-633
|
Datta, Gauri Sankar, Tatsuya Kubokawa, J. N. K. Rao and Isabel Molina
|
"Estimation of Mean Squared Error of Model-based Small Area Estimators"
| August 2009
|
| CIRJE-F-632
|
Kubokawa, Tatsuya
|
"Corrected Empirical Bayes Confidence Intervals in
Nested Error Regression Models"
|
August 2009;
revised in June 2009 |
| CIRJE-F-631
|
Miyawaki, Koji, Yasuhiro Omori and Akira Hibiki
|
"Bayesian Estimation of Demand Functions under Block Rate Pricing"
| August 2009
|
| CIRJE-F-630
|
Fujii, Masaaki, Yasufumi Shimada and Akihiko Takahashi
|
"A Note on Construction of Multiple Swap Curves
with and without Collateral"
|
July 2009;
Revised in January 2010 |
| CIRJE-F-629
|
Chen, Joe, Yun Jeong Choi, Kohta Mori, Yasuyuki Sawada and Saki Sugano
|
"The Jump, Inertia, and Juvenization of Suicides in Japan"
| July 2009
|
| CIRJE-F-628
|
Chen, Joe, Yun Jeong Choi, Kohta Mori, Yasuyuki Sawada and Saki Sugano
|
"Socio-Economic Studies on Suicide: A Survey"
| July 2009
|
| CIRJE-F-627
|
Kobayashi, Takao and Risa Sai
|
"Investment Frictions versus Financing
Frictions"
| July 2009
|
| CIRJE-F-626
|
Oki, Ryoko and Noriyuki Yanagawa
|
"Exclusive Dealing and Large Distributors"
| July 2009
|
| CIRJE-F-625
|
Yamamoto, Kyo, Seisho Sato and Akihiko Takahashi
|
"Probability Distribution and Option Pricing for
Drawdown in a Stochastic Volatility Environment"
| June 2009
|
| CIRJE-F-624
|
Takahashi, Akihiko and Kyo Yamamoto
|
"Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: an Application to Hedge Fund Replication"
|
June 2009;
Revised in March 2010 and February 2013 |
| CIRJE-F-623
|
Kano, Takashi and James M. Nason
|
"Business Cycle Implications
of Internal Consumption Habit
for New Keynesian Models"
|
June 2009;
Revised in August 2010 and December 2012 |
| CIRJE-F-622
|
Aoki, Shuhei, Julen Esteban-Pretel, Tetsuji Okazaki and Yasuyuki Sawada
|
"The Role of the Government in Facilitating TFP Growth during Japan's Rapid Growth Era"
| June 2009
|
| CIRJE-F-621
|
Takahashi, Akihiko, Kohta Takehara and Masashi Toda
|
"Computation in an Asymptotic Expansion Method"
| May 2009
|
| CIRJE-F-620
|
Braun, Richard Anton, Huiyu Li and John Stachurski
|
"Computing Densities and Expectations in Stochastic Recursive Economies: Generalized Look-Ahead Techniques"
| May 2009
|
| CIRJE-F-619
|
Anderson, T. W., Naoto Kunitomo and Yukitoshi Matsushita
|
"The Limited Information Maximum Likelihood Estimator as an Angle"
| May 2009
|
| CIRJE-F-618
|
Shiraya, Kenichiro and Akihiko Takahashi
|
"Pricing and Hedging of Long-term Futures and
Forward Contracts by a Three-Factor Model"
| April 2009
|
| CIRJE-F-617
|
Braun, R. Anton and Tomoyuki Nakajima
|
"Pareto Optimal Pro-cyclical Research and Development"
| March 2009
|
| CIRJE-F-616
|
Abe, Makoto
|
"Customer Lifetime Value and RFM Data: Accounting Your Customers: One by One"
| March 2009
|
| CIRJE-F-615
|
Kamiya, Kazuya and Takashi Shimizu
|
"Stationary Monetary Equilibria with Strictly Increasing Value Functions and Non-Discrete Money Holdings Distributions: An Indeterminacy Result"
| March 2009
|
| CIRJE-F-614
|
Kubokawa, Tatsuya and Muni S. Srivastava
|
"Consistency of the Empirical Bayes Information Criterion for Selecting Variables in Linear Mixed Models"
| February 2009
|
| CIRJE-F-613
|
Bosch, Mariano and Julen Esteban-Pretel
|
"Cyclical Informality and Unemployment"
| February 2009
|
| CIRJE-F-612
|
Kitano, Taiju and Hiroshi Ohashi
|
"Did US Safeguards Resuscitate Harley-Davidson in the 1980s?"
| February 2009
|
| CIRJE-F-611
|
Kunitomo, Naoto and Yukitoshi Matsushita
|
"Asymptotic Expansions and Higher Order Properties of Semi-Parametric Estimators in a System of Simultaneous Equations"
| February 2009
|
| CIRJE-F-610
|
Kasuya, Makoto
|
"The Activities of a Japanese Bank in
the Interwar Financial Centers:
A Case of the Yokohama Specie Bank"
| January 2009
|
| CIRJE-F-609
|
Myojo, Satoshi and Hiroshi Ohashi
|
"Assessing the Consequences of
a Horizontal Merger and its Remedies
in a Dynamic Environment"
| January 2009
|
| CIRJE-F-608
|
Ishida, Isao and Toshiaki Watanabe
|
"Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model"
| January 2009
|
| CIRJE-F-607
|
Tabuchi, Takatoshi
|
"Self-organizing Marketplaces"
| January 2009
|
| CIRJE-F-606
|
Matsushima, Hitoshi
|
"Behavioral Aspects of Arbitrageurs in
Timing Games of Bubbles and Crashes"
| January 2009
|