Discussion Papers 2010


    You can see the details of each paper by clicking the underlined number of the discussion paper.

F-Series
J-Series


Number Authors Title Date
CIRJE-F-781 Fujii, Masaaki and Akihiko Takahashi "Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA"

December 2010; Revised in April and December 2011

CIRJE-F-780 Kunitomo, Naoto and Kentaro Akashi "An Aysmptotically Optimal Modification of the Panel LIML Estimation for Individual Heteroscedasticity"

December 2010

CIRJE-F-779 Tanimoto, Masayuki "Housework and the Consumption History in pre-war Japan, Another Aspect of Consumption in Modern Japan"

December 2010; Revised in June 2011.

CIRJE-F-778 Fujii, Masaaki and Akihiko Takahashi "Choice of Collateral Currency"

December 2010

CIRJE-F-777 Takahashi, Akihiko, Yukihiro Tsuzuki and Akira Yamazaki "Hedging European Derivatives with the Polynomial Variance Swap under Uncertain Volatility Environments"

December 2010

CIRJE-F-776 Matsushima, Hitoshi "Price-Based Combinatorial Auction Design: Representative Valuations"

November 2010

CIRJE-F-775 Ueda, Kazuo "Japan's Deflation and the Bank of Japan's Experience with Non-traditional Monetary Policy"

November 2010

CIRJE-F-774 Ueda, Kazuo "Japan's Bubble, America's Bubble and China's Bubble"

November 2010

CIRJE-F-773 Behrens, Kristian, Yoshitsugu Kanemoto and Yasusada Murata "The Henry George Theorem in A Second-Best World" November 2010
CIRJE-F-772 Ericsson, Christer and Björn Horgby "Globalised Sports in a Historical Perspective" October 2010
CIRJE-F-771 Ericsson, Christer "Company Strategies and Sport Models" October 2010
CIRJE-F-770 Miyawaki, Koji, Yasuhiro Omori and Akira Hibiki "Discrete/Continuous Choice Model of the Residential Gas Demand on the Nonconvex Budget Set" October 2010
CIRJE-F-769 Ihori, Toshihiro and C.C. Yang "Laffer paradox, Leviathan, and Political Contest" October 2010
CIRJE-F-768 Furusawa, Taiji and Noriyuki Yanagawa "Firm Heterogeneity under Financial Imperfection: Impacts of Trade and Capital Movement" October 2010
CIRJE-F-767 Hirano, Tomohiro and Noriyuki Yanagawa "Financial Institution, Asset Bubbles and Economic Performance" October 2010
CIRJE-F-766 Iwai, Katsuhito "A Theory of Fiduciary Relationships: Non-Contractual Foundation of the Duty of Loyalty, Disgorgement Damages, and Strict Liability" October 2010
CIRJE-F-765 Kamiya, Kazuya and Takashi Shimizu "Hysteresis in Dynamic General Equilibrium Models with Cash-in-Advance Constraints" October 2010
CIRJE-F-764 Miyawaki, Koji, Yasuhiro Omori and Akira Hibiki "Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach" October 2010
CIRJE-F-763 Sugawara, Shinya and Yasuhiro Omori "Duopoly in the Japanese Airline Market: Bayesian Estimation for the Entry Game" October 2010
CIRJE-F-762 Fujii, Masaaki and Akihiko Takahashi "Modeling of Interest Rate Term Structures under Collateralization and its Implications" September 2010
CIRJE-F-761 Aoki, Masanao and Hiroshi Yoshikawa "Non-Self-Averaging in Macroeconomic Models: A Criticism of Modern Micro-founded Macroeconomics" September 2010
CIRJE-F-760 Kano, Kazuko, Takashi Kano and Kazutaka Takechi "Exaggerated Death of Distance Revisiting Distance: Effects on Regional Price Dispersions" September 2010; Revised in May 2012
CIRJE-F-759 Fukuda, Shin-ichi "Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London" September 2010
CIRJE-F-758 Kunitomo, Naoto and Seisho Sato "On Properties of Separating Information Maximum Likelihood Estimation of Realized Volatility and Covariance with Micro-Market Noise" Autust 2010
CIRJE-F-757 Kunihama, Tsuyoshi, Yasuhiro Omori and Zhengjun Zhang "Bayesian Estimation and Particle Filter for Max-Stable Processes" Autust 2010
CIRJE-F-756 Matsushima, Hitoshi "Financing Harmful Bubbles" Autust 2010
CIRJE-F-755 Okazaki, Tetsuji "Supplier Networks and Aircraft Production in Wartime Japan" Autust 2010
CIRJE-F-754 Kubokawa, Tatsuya "On Measuring Uncertainty of Small Area Estimators with Higher Order Accuracy" July 2010
CIRJE-F-753 Takehara, Kohta, Masashi Toda and Akihiko Takahashi "Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options" July 2010
CIRJE-F-752 Hirano, Tomohiro and Noriyuki Yanagawa "Asset Bubbles, Endogenous Growth, and Financial Frictions " July 2010; Revised in October 2010
CIRJE-F-751 Fukuda, Shin-ichi and Jun-ichi Nakamura "Why Did "Zombie" Firms Recover in Japan?" " July 2010
CIRJE-F-750 Ihori, Toshihiro "Overlapping Tax Revenue, Soft Budget, and Rent Seeking" July 2010
CIRJE-F-749 Kubokawa, Tatsuya and William E. Strawderman "Non-minimaxity of Linear Combinations of Restricted Location Estimators and Related Problems" July 2010
CIRJE-F-748 Oki, Ryoko and Noriyuki Yanagawa "Exclusive Dealing and the Market Power of Buyers" July 2010
CIRJE-F-747 Shiraya, Kenichiro and Akihiko Takahashi "Pricing Average Options on Commodities" July 2010; Revised in February 2012
CIRJE-F-746 Ishihara, Tsunehiro and Yasuhiro Omori "Efficient Bayesian Estimation of a Multivariate Stochastic Volatility Model with Cross Leverage and Heavy-Tailed Errors" May 2010
CIRJE-F-745 Shiraya, Kenichiro, Akihiko Takahashi and Masashi Toda "Pricing Barrier and Average Options under Stochastic Volatility Environment" May 2010
CIRJE-F-744 Lean, Hooi Hooi, Michael McAleer and Wing-Keung Wong "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance" May 2010
CIRJE-F-743 Fujii, Masaaki, Yasufumi Shimada and Akihiko Takahashi "Collateral Posting and Choice of Collateral Currency" May 2010
CIRJE-F-742 Caporin, Massimiliano and Michael McAleer "Ranking Multivariate GARCH Models by Problem Dimension" May 2010
CIRJE-F-741 Hammoudeh, Shawkat M., Yuan Yuan and Michael McAleer "Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies" May 2010
CIRJE-F-740 Caporin, Massimiliano and Michael McAleer "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH" May 2010
CIRJE-F-739 Cheng, Yi-Ling, Shin-Kun Peng and Takatoshi Tabuchi "Multiproduct Duopoly with Vertical Differentiation" April 2010
CIRJE-F-738 Nakajima, Jouchi and Yasuhiro Omori "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution" April 2010
CIRJE-F-737 Shiraya, Kenichiro, Akihiko Takahashi and Akira Yamazaki "Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models" April 2010; Revised in October 2011, February 2012
CIRJE-F-736 Chang, Chia-Lin, Philip Hans Franses and Michael McAleer "Are Forecast Updates Progressive?" April 2010
CIRJE-F-735 Chang, Chia-Lin, Thanchanok Khamkaew and Michael McAleer "Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia" April 2010
CIRJE-F-734 Takahashi, Akihiko and Kohta Takehara "A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options" April 2010
CIRJE-F-733 Kunitomo, Naoto and Seisho Sato "Robustness of the Separating Information Maximum Likelihood Estimation of Realized Volatility with Micro-Market Noise" April 2010
CIRJE-F-732 Chang, Chia-Lin, Thanchanok Khamkaew and Michael McAleer "IV Estimation of a Panel Threshold Model of Tourism Specialization and Economic Development" April 2010
CIRJE-F-731 Okazaki, Tetsuji "Ownership Changes and Economic Efficiency: Plant-Level Evidence from the Japanese Cotton Spinning Industry, 1900-1911" March 2010
CIRJE-F-729 Franses, Philip Hans, Michael McAleer and Rianne Legerstee "Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments" March 2010
CIRJE-F-728 Takehara, Kohta, Akihiko Takahashi and Masashi Toda "New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme" March 2010
CIRJE-F-727 Matsushima, Hitoshi "Role of Relative and Absolute Performance Evaluations in Intergroup Competition" March 2010
CIRJE-F-726 Takahashi, Akihiko and Kyo Yamamoto "A New Hedge Fund Replication Method with the Dynamic Optimal Portfolio" March 2010
CIRJE-F-725 Shiraya, Kenichiro, Akihiko Takahashi and Toshihiro Yamada "Pricing Discrete Barrier Options under Stochastic Volatility" March 2010; Revised in April 2010, February 2011, August 2011
CIRJE-F-724 Koeda, Junko and Ryo Kato "The Role of Uncertainty in the Term Structure of Interest Rates: A Macro-Finance Perspective" March 2010
CIRJE-F-723 Kubokawa, Tatsuya "Minimax Estimation of Linear Combinations of Restricted Location Parameters" March 2010
CIRJE-F-722 Chaovanapoonphol, Yaovarate, Christine Lim, Michael McAleer and Aree Wiboonpongse "Time Series Modelling of Tourism Demand from the USA, Japan and Malaysia to Thailand" March 2010
CIRJE-F-721 Matsushima, Hitoshi, Koichi Miyazaki and Nobuyuki Yagi "Role of Linking Mechanisms in Multitask Agency with Hidden Information" March 2010
CIRJE-F-720 Matsushima, Hitoshi "Finitely Repeated Prisoners' Dilemma with Small Fines: Penance Contract" March 2010
CIRJE-F-718 Chang, Chialin, Michael McAleer and Roengchai Tansuchat "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets" February 2010
CIRJE-F-717 Miyawaki, Koji Yasuhiro Omori and Akira Hibiki "Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach" February 2010
CIRJE-F-716 Chang, Chia-Lin and Michael McAleer "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates" February 2010
CIRJE-F-715 Fujiwara-Greve, Takako, Masahiro Okuno-Fujiwara and Nobue Suzuki "Voluntarily Separable Repeated Games with Social Norms" February 2010
CIRJE-F-714 Matsushima, Hitoshi "Incentives in Hedge Funds" February 2010
CIRJE-F-713 Caporin, Massimiliano and Michael McAleer "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models" February 2010
CIRJE-F-712 Miyawaki, Koji, Yasuhiro Omori and Akira Hibiki "Bayesian Estimation of Demand Functions under Block-Rate Pricing" January 2010
CIRJE-F-711 Sato, Meg "Board's Monitoring and Retention of Sub-standard and Powerless CEOs" January 2010
CIRJE-F-710 Adachi-Sato, Meg "Insular Decision Making in the Board Room: Why Boards Retain and Hire Substandard CEOs" January 2010; Revised in December 2013
CIRJE-F-709 Srivastava, Muni S. and Tatsuya Kubokawa "Selection of Variables in Multivariate Regression Models for Large Dimensions" January 2010
CIRJE-F-708 Akashi, Kentaro and Naoto Kunitomo "The Limited Information Maximum Likelihood Approach to Dynamic Panel Structural Equations" January 2010
CIRJE-F-707 Akashi, Kentaro and Naoto Kunitomo "Some Properties of the LIML Estimator in a Dynamic Panel Structural Equation" January 2010
CIRJE-F-706 Tansuchat, Roengchai, Chia-Lin Chang and Michael McAleer "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns" January 2010
CIRJE-F-705 Lean, Hooi Hooi, Michael McAleer and Wing-Keung Wong "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach" January 2010
CIRJE-F-704 Tansuchat, Roengchai, Chia-Lin Chang and Michael McAleer "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH" January 2010


Number Authors Title Date
CIRJE-J-231 Okazaki, Tetsuji "Branch Network and Internal Flow of Funds of Mitsubishi Bank during the Second World War" December 2010
CIRJE-J-230 Kunitomo, Naoto and Seisho Sato "On some issues of macro-economic statistics in Japan : seasonality, structural change and statistical smoothing" December 2010
CIRJE-J-229 Matsushima, Hitoshi "Note on Combinatorial Auction Design: Efficient Slot Allocation for Domestic Airline Regular Services in Haneda Airport" November 2010
CIRJE-J-228 Nakajima, Jouchi and Yasuhiro Omori "GH skew Student's t-distribution in stochastic volatility model with application to stock returns" November 2010
CIRJE-J-227 Obinata, Takashi "The Economic Recession in 2008 and Corporate Accounting Behavior" October 2010
CIRJE-J-226 Miwa, Yoshiro "The Reality of Trade Credit and its Link to Bank Borrowing and Inventory: (2) Correlation Coefficients and Multiple Regressions" October 2010
CIRJE-J-225 Miwa, Yoshiro "The Reality of Trade Credit and its Link to Bank Borrowing and Inventory: (1) Overall Discussion and Preliminary Investigation" October 2010
CIRJE-J-224 Miwa, Yoshiro "The Reality of Short-term Shocks like the 'Credit Crunch' of 1997-1999 and the 'Financial Crisis' of 2007, and the Effectiveness of 'Emergency' Economic Measures - A Follow-up to Miwa [2008]" October 2010
CIRJE-J-223 Miwa, Yoshiro "The Low 'Bank-Dependence Ratio' and Recent Further Increase in the 'Independence of Firms from Banks'"October 2010
CIRJE-J-222 Miwa, Yoshiro "A Study of Financing Behavior of Japanese Firms with Firm-Level Data from Corporate Enterprise Quarterly Statistics - 1994~2009: Introduction and Summary" October 2010; Revised in March 2011
CIRJE-J-221 Okazaki, Tetsuji "Ownership Changes and Economic Efficiency: Plant-Level Evidence from the Japanese Cotton Spinning Industry, 1900-1911" August 2010
CIRJE-J-220 Mochida, Nobuki "Perspective on the Subnational VAT" May 2010
CIRJE-J-219 Takaoka, Makoto and Naoto Kunitomo "On Recent Macro-fluctuations and Seasonal Adjustment Problem : A Case of Japanese Import and Export Data" April 2010
CIRJE-J-218 Sato, Seisho and Naoto Kunitomo "Measuring Business Conditions and A Smoothing Problem : A Case of Japanese GDP" April 2010
CIRJE-J-217 Miwa, Yoshiro ""Credit Guarantee" Policy [shin'yo hosho seido] for Small Businesses in Japan, with Reference to "the Special Credit Guarantee Policy" during 1998.10〜2001.3" March 2010


   
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