Discussion Papers 2015


    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-998 Shiraya, Kenichiro and Akihiko Takahashi "An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models" December 2015
CIRJE-F-997 Fujii, Masaaki and Akihiko Takahashi "Quadratic-exponential Growth BSDEs with Jumps and Their Malliavin’s Differentiabilityy" December 2015; Revised in October 2016, March and September 2017
CIRJE-F-996 Kunitomo, Naoto and Daisuke Kurisu "Effects of Jumps and Small Noise in High-Frequency Financial Econometrics" November 2015; Revised in October 2016.
CIRJE-F-995 Ito, Tsubasa and Tatsuya Kubokawa "Linear Ridge Estimator of High-Dimensional Precision Matrix Using Random Matrix Theory" November 2015
CIRJE-F-994 Hannah, Leslie "Rethinking Corporate Finance Fables: Did the US Lag Europe before 1914?" October 2015
CIRJE-F-993 Fujii, Masaaki and Akihiko Takahashi "Asymptotic Expansion for Forward-Backward SDEs with Jumps" October 2015
CIRJE-F-992 Kiyota, Kozo and Tetsuji Okazaki "Assessing the Effects of Japanese Industrial Policy Change during the 1960s" October 2015
CIRJE-F-991 Matsushima, Hitoshi "Implementation, Verification, and Detection" September 2015
CIRJE-F-990 Arai, Yoichi and Hidehiko Ichimura "Optimal Bandwidth Selection for the Fuzzy Regression Discontinuity Estimator" September 2015
CIRJE-F-989 Weese, Eric, Masayoshi Hayashi and Masashi Nishikawa "Inefficiency and Self-Determination: Simulation-based Evidence from Meiji Japan" August 2015; Revised in March 2017
CIRJE-F-988 Fujii, Masaaki and Akihiko Takahashi "Choice of Collateral Currency Updated--A market model for the benchmark pricing--" August 2015

CIRJE-F-987

Mahmud, Minhaj and Yasuyuki Sawada "Happiness in Life Domains: Evidence from Bangladesh Based on Parametric and Non-Parametric Models" August 2015
CIRJE-F-986 Mahmud, Minhaj and Yasuyuki Sawada "Infrastructure and Well-being: Employment Effects of Jamuna Bridge in Bangladesh" August 2015
CIRJE-F-985 Ichimura, Hidehiko and Whitney K. Newey "The Influence Function of Semiparametric Estimators" August 2015
CIRJE-F-984 Arai, Yoichi and Hidehiko Ichimiura "Simultaneous Selection of Optimal Bandwidths for the Sharp Regression Discontinuity Estimator" July 2015
CIRJE-F-983 Sato, Ryoko and Yoshito Takasaki "Psychic vs. Economic Barriers to Vaccine Take-up: Evidence from a Field Experiment in Nigeria" July 2015
CIRJE-F-982 Tamae, Hiromasa and Tatsuya Kubokawa "Small Area Predictors with Dual Shrinkage of Means and Variances" July 2015
CIRJE-F-981 Okazaki, Tetsuji "What Did Corporate Executives, Outside Directors, and Large Shareholders Really Do? Corporate Governance of Tokyo Marine Insurance and Taisho Marine and Fire Insurance" July 2015
CIRJE-F-980 Shiraya, Kenichiro and Akihiko Takahashi "Pricing Average and Spread Options under Local-Stochastic Volatility Jump-Diffusion Models" July 2015; Revised in September 2016 and July 2017, December 2017
CIRJE-F-979 Shirota, Shinichiro, Yasuhiro Omori,Hedibert. F. Lopes and Haixiang Piao "Cholesky Realized Stochastic Volatility Model" July 2015
CIRJE-F-978 Sugasawa, Shonosuke and Tatsuya Kubokawa "Heteroscedastic Nested Error Regression Models with Variance Functions" June 2015
CIRJE-F-977 Kunitomo, Naoto and Seisho Sato "Trend, Seasonality and Economic Time Series:the Nonstationary Errors-in-variables Models" June 2015
CIRJE-F-976 Takahashi, Akihiko and Toshihiro Yamada "An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver" May 2015
CIRJE-F-975 Takahashi, Makoto, Toshiaki Watanabe, and Yasuhiro Omori "Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution" May 2015
CIRJE-F-974 Ohashi, Hiroshi and Yuta Toyama "The Effects of Domestic Mergers on Exports: A Case Study of the 1998 Korean Automobile Industry" May 2015
CIRJE-F-973 Shiraya, Kenichiro and Akihiko Takahashi "An Approximation Formula for Basket Option Prices under Local Stochastic Volatility with Jumps: an Application to Commodity Markets" May 2015; Revised in June 2015, July 2015 August 2015 and june 2016.
CIRJE-F-972 Okazaki, Tetsuji "Bank Behavior in Regional Finance and the Development of Regional Industries: The Case of Prewar Fukushima, Japan" May 2015
CIRJE-F-971 Kawakubo, Yuki, Tatsuya Kubokawa and Muni S. Srivastava "A Variant of AIC Using Bayesian Marginal Likelihood" April 2015
CIRJE-F-970 Ikeda, Yuki, Tatsuya Kubokawa and Muni S. Srivastava "Comparison of Linear Shrinkage Estimators of a Large Covariance Matrix in Normal and Non-normal Distributions" March 2015
CIRJE-F-969 Fukuda, Shin-ichi "Abenomics: Why Was It So Successful in Changing Market Expectations?" March 2015
CIRJE-F-968 Nakajima, Kentaro and Tetsuji Okazaki "The Expanding Empire and Spatial Distribution of Economic Activities: The Case of the Colonization of Korea by Japan in the Prewar Period" March 2015; Revised in July 2015
CIRJE-F-967 Fukuda, Shin-ichi and Tsutomu Doita "Unconventional Monetary Policy and its External Effects: Evidence from Japan’s Exports" March 2015
CIRJE-F-966 Hannah, Leslie and Makoto Kasuya "Twentieth Century Enterprise Forms: Japan in Comparative Perspective" March 2015
CIRJE-F-965 Kunitomo, Naoto, Hiroumi Misaki and Seisho Sato "The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Samplings" March 2015
CIRJE-F-964 Sato, Seisho and Naoto Kunitomo "A Robust Estimation of Integrated Volatility under Round-off Errors, Micro-market Price Adjustments and Noises" March 2015
CIRJE-F-963 Fujii, Masaaki "Optimal Position Management for a Market Maker with Stochastic Price Impacts" March 2015; Revised in September 2015
CIRJE-F-962 Abe, Makoto "Deriving Customer Lifetime Value from RFM Measures:Insights into Customer Retention and Acquisition" March 2015
CIRJE-F-961 Goto, Jun, Yasuyuki Sawada, Takeshi Aida and Keitaro Aoyagi "Incentives and Social Preferences: Experimental Evidence from a Seemingly Inefficient Traditional Labor Contract" March 2015
CIRJE-F-960 Matsushima, Hitoshi "Connected Price Dynamics with Revealed Preferences and Auctioneer's Discretion in VCG Combinatorial Auction" February 2015
CIRJE-F-959 Yoshikawa, Hiroshi, Hideaki Aoyama, Yoshi Fujiwara and Hiroshi Iyetomi "Deflation/Inflation Dynamics: Analysis based on Micro Prices" February 2015
CIRJE-F-958 Ikeda, Yuki and Tatsuya Kubokawa "Linear Shrinkage Estimation of Large Covariance Matrices with Use of Factor Models" February 2015
CIRJE-F-957 Sugasawa, Shonosuke and Tatsuya Kubokoawa "Box-Cox Transformed Linear Mixed Models for Positive-Valued and Clustered Data" February 2015
CIRJE-F-956 Isogawa, Daiya, Kohei Nishikawa and Hiroshi Ohashi "Innovation Height and Firm Performance:Using Innovation Survey from Japan" February 2015
CIRJE-F-955 Matsushima, Hitoshi "Optimal Mechanism Design: Type-Independent Preference Orderings" February 2015
CIRJE-F-954 Fujii, Masaaki and Akihiko Takahashi "Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method" January 2015
CIRJE-F-953 Kurose, Yuta and Yasuhiro Omori "Dynamic Equicorrelation Stochastic Volatility" January 2015
CIRJE-F-952 Nakajima, Jouchi, Tsuyoshi Kunihama and Yasuhiro Omori "Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes" January 2015


Number Authors Title Date
CIRJE-J-272 Nishikawa, Kohei and Hiroshi Ohashi "Economic Analysis of Condominium Management: Market Competition and Human Resource Management" October 2015
CIRJE-J-271 Miwa, Yoshiro and J. Mark Ramseyer "2014 Amendments to the Corporate Code, "Corporate Governance Code", and "Outside Directors"" October 2015
CIRJE-J-270 Abe, Makoto, Takeshi Moriguchi and Akira Yashima Preference Reversal: Analysis by Construal Level Theory that incorporates Discounting March 2015
CIRJE-J-269 Saito, Keiji and Hiroshi Ohashi Economic Evaluation of Power Source Mix: Simulation toward 2023 March 2015
CIRJE-J-268 Miwa, Yoshiro Improving Economic Statistics in order to Improve Economic Policy and Research: (5)Diagnosis and Treatment--5W1H, the statistical system, Rokumeikan after half a century, The Emperor in New Clothes January 2015
CIRJE-J-267 Miwa, Yoshiro Improving Economic Statistics in order to Improve Economic Policy and Research: (4)An International Comparison with respect to 93SNA, supply-use tables, productivity index, deflators, and the public sector "output" January 2015



   
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