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 and May 2021. |
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. |
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 |