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CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo


0.64

Impact Factor

0.58

5-Years IF

12

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.06
19910.09000 (%)0.05
19920.11000 (%)0.06
19930.14000 (%)0.07
19940.12000 (%)0.06
19950.16000 (%)0.1
19960.2000 (%)0.09
19970.21000 (%)0.09
19980.22000 (%)0.13
19990.28000 (%)0.16
20000.37000 (%)0.14
20010.36000 (%)0.17
20020.37000 (%)0.18
20030.4000 (%)0.19
20040.42181820.119002 (22.2%)20.110.19
20050.280.430.28375550.09421851852 (4.8%)0.21
20060.180.450.183287130.1514551055102 (14.3%)20.060.2
20070.130.390.12811590.083699879 (%)0.17
20080.030.390.0628143100.07106021157 (%)0.17
20090.040.370.0447190630.33194562143619 (9.8%)380.810.18
20100.480.330.2439229690.31027536172424 (3.9%)40.10.15
20110.350.410.1833262420.16398630174319 (23.1%)40.120.2
20120.150.460.1833295390.134772111753215 (31.9%)30.090.21
20130.140.50.3334329740.2244669180609 (20.5%)40.120.21
20140.240.540.2921350680.19226716186542 (9.1%)20.10.26
20150.640.60.58243741470.39255535160937 (28%)120.50.3
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
12009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models. (2009). McAleer, Michael ; Caporin, Massimiliano. In: CARF F-Series. RePEc:cfi:fseres:cf156.

Full description at Econpapers || Download paper

64
22010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin. In: CARF F-Series. RePEc:cfi:fseres:cf202.

Full description at Econpapers || Download paper

45
32009Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan. In: CARF F-Series. RePEc:cfi:fseres:cf158.

Full description at Econpapers || Download paper

28
42009The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges. (2009). McAleer, Michael. In: CARF F-Series. RePEc:cfi:fseres:cf164.

Full description at Econpapers || Download paper

18
52009Multivariate Stochastic Volatility with Cross Leverage. (2009). Omori, Yasuhiro ; Ishihara, Tsunehiro . In: CARF F-Series. RePEc:cfi:fseres:cf191.

Full description at Econpapers || Download paper

18
62015Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method. (2015). Takahashi, Akihiko ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf278.

Full description at Econpapers || Download paper

14
72011A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies. (2011). Takahashi, Akihiko ; Shimada, Yasufumi ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf196.

Full description at Econpapers || Download paper

14
82009Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin. In: CARF F-Series. RePEc:cfi:fseres:cf157.

Full description at Econpapers || Download paper

13
92010Asset Bubbles, Endogenous Growth, and Financial Frictions. (2010). Hirano, Tomohiro ; Yanagawa, Noriyuki . In: CARF F-Series. RePEc:cfi:fseres:cf223.

Full description at Econpapers || Download paper

13
102009A Panel Threshold Model of Tourism Specialization and Economic Development. (2009). McAleer, Michael ; Khamkaew, Thanchanok ; Chang, Chia-Lin. In: CARF F-Series. RePEc:cfi:fseres:cf188.

Full description at Econpapers || Download paper

12
112009A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan. In: CARF F-Series. RePEc:cfi:fseres:cf159.

Full description at Econpapers || Download paper

12
122014Safe Asset Shortages and Asset Price Bubbles. (2014). Nikolov, Kalin ; Nakajima, Tomoyuki ; Aoki, Kosuke . In: CARF F-Series. RePEc:cfi:fseres:cf344.

Full description at Econpapers || Download paper

12
132012Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007. (2012). Ueda, Kazuo. In: CARF F-Series. RePEc:cfi:fseres:cf283.

Full description at Econpapers || Download paper

12
142010A Note on Construction of Multiple Swap Curves with and without Collateral. (2010). Takahashi, Akihiko ; Shimada, Yasufumi ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf154.

Full description at Econpapers || Download paper

11
152005Saving and Interest Rates in Japan: Why They Have Fallen and Why They Will Remain Low. (2005). Ikeda, Daisuke ; Braun, R. ; Joines, Douglas H.. In: CARF F-Series. RePEc:cfi:fseres:cf028.

Full description at Econpapers || Download paper

11
162009Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin. In: CARF F-Series. RePEc:cfi:fseres:cf162.

Full description at Econpapers || Download paper

11
17Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin. In: CARF F-Series. RePEc:cfi:fseres:cf183.

Full description at Econpapers || Download paper

10
182012Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility. (2012). Takahashi, Akihiko ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf270.

Full description at Econpapers || Download paper

9
192010Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi. In: CARF F-Series. RePEc:cfi:fseres:cf201.

Full description at Econpapers || Download paper

9
202012Pricing Multi-Asset Cross Currency Options. (2012). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf290.

Full description at Econpapers || Download paper

9
212013On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver. (2013). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf326.

Full description at Econpapers || Download paper

9
222012Pricing Multi-Asset Cross Currency Options. (2012). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf276.

Full description at Econpapers || Download paper

9
232012A General Computation Scheme for a High-Order Asymptotic Expansion Method. (2012). Takahashi, Akihiko ; Toda, Masashi ; Takehara, Kohta . In: CARF F-Series. RePEc:cfi:fseres:cf272.

Full description at Econpapers || Download paper

9
242009Alternative Asymmetric Stochastic Volatility Models. (2009). McAleer, Michael ; Asai, Manabu. In: CARF F-Series. RePEc:cfi:fseres:cf166.

Full description at Econpapers || Download paper

8
252009Optimal Risk Management Before, During and After the 2008-09 Financial Crisis. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan. In: CARF F-Series. RePEc:cfi:fseres:cf171.

Full description at Econpapers || Download paper

8
262015An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver. (2015). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf363.

Full description at Econpapers || Download paper

8
272013How Much Do Official Price Indexes Tell Us About Inflation?. (2013). Weinstein, David ; Handbury, Jessie ; Watanabe, Tsutomu . In: CARF F-Series. RePEc:cfi:fseres:cf328.

Full description at Econpapers || Download paper

7
282009Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin. In: CARF F-Series. RePEc:cfi:fseres:cf192.

Full description at Econpapers || Download paper

7
292010Realized Volatility Risk. (2010). Scharth, Marcel ; McAleer, Michael ; Allen, David. In: CARF F-Series. RePEc:cfi:fseres:cf197.

Full description at Econpapers || Download paper

7
302012Collateralized CDS and Default Dependence -Implications for the Central Clearing. (2012). Takahashi, Akihiko ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf281.

Full description at Econpapers || Download paper

7
312005Monetary Policy during Japans Lost Decade. (2005). Waki, Yuichiro ; Braun, R.. In: CARF F-Series. RePEc:cfi:fseres:cf035.

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6
322005Multi-Period Corporate Default Prediction With Stochastic Covariates. (2005). Duffie, Darrell ; Wang, KE ; Saita, Leandro . In: CARF F-Series. RePEc:cfi:fseres:cf047.

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6
332013Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields. (2013). Koeda, Junko. In: CARF F-Series. RePEc:cfi:fseres:cf303.

Full description at Econpapers || Download paper

6
342005Are People Insured Against Natural Disasters? Evidence from the Great Hanshin-Awaji (Kobe) Earthquake in 1995. (2005). Shimizutani, Satoshi ; Sawada, Yasuyuki. In: CARF F-Series. RePEc:cfi:fseres:cf019.

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5
352010Ranking Multivariate GARCH Models by Problem Dimension. (2010). McAleer, Michael ; Caporin, Massimiliano. In: CARF F-Series. RePEc:cfi:fseres:cf219.

Full description at Econpapers || Download paper

5
362005Trade Credit, Bank Loans, and Monitoring: Evidence from Japan. (2005). Ramseyer, John ; Miwa, Yoshiro. In: CARF F-Series. RePEc:cfi:fseres:cf054.

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5
372009Modelling the Interactions Across International Stock, Bond and Foreign Exchange Markets. (2009). McAleer, Michael ; Hakim, Abdul. In: CARF F-Series. RePEc:cfi:fseres:cf170.

Full description at Econpapers || Download paper

5
382013Aging and Real Estate Prices: Evidence from Japanese and US Regional Data. (2013). Shimizu, Chihiro ; Saita, Yumi ; Watanabe, Tsutomu . In: CARF F-Series. RePEc:cfi:fseres:cf334.

Full description at Econpapers || Download paper

4
392015An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets. (2015). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf361.

Full description at Econpapers || Download paper

4
402015Financial Disintermediation and Financial Fragility. (2015). Nikolov, Kalin ; Aoki, Kosuke . In: CARF F-Series. RePEc:cfi:fseres:cf374.

Full description at Econpapers || Download paper

4
412009Computation in an Asymptotic Expansion Method. (2009). Takahashi, Akihiko ; Toda, Masashi ; Takehara, Kohta . In: CARF F-Series. RePEc:cfi:fseres:cf149.

Full description at Econpapers || Download paper

4
422011Pricing Discrete Barrier Options under Stochastic Volatility. (2011). Takahashi, Akihiko ; Yamada, Toshihiro ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf210.

Full description at Econpapers || Download paper

4
432013An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach. (2013). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf296.

Full description at Econpapers || Download paper

4
442011Bubbles, Banks, and Financial Stability. (2011). Nikolov, Kalin ; aoki, kosuke. In: CARF F-Series. RePEc:cfi:fseres:cf253.

Full description at Econpapers || Download paper

4
452004Cost of Enforcement in Developing Countries with Credit Market Imperfection. (2004). Ando, Munetomo ; Yanagawa, Noriyuki . In: CARF F-Series. RePEc:cfi:fseres:cf004.

Full description at Econpapers || Download paper

3
462012An FBSDE Approach to American Option Pricing with an Interacting Particle Method. (2012). Takahashi, Akihiko ; Sato, Seisho ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf302.

Full description at Econpapers || Download paper

3
472013A Regime-Switching SVAR Analysis of Quantitative Easing. (2013). Koeda, Junko ; Hayashi, Fumio. In: CARF F-Series. RePEc:cfi:fseres:cf322.

Full description at Econpapers || Download paper

3
482006A Dynamic Theory of Debt Restructuring. (2006). Nakamura, Hisashi . In: CARF F-Series. RePEc:cfi:fseres:cf072.

Full description at Econpapers || Download paper

3
492013Behavioral Approach to Repeated Games with Private Monitoring. (2013). Matsushima, Hitoshi ; Tanaka, Tomomi ; Toyama, Tomohisa . In: CARF F-Series. RePEc:cfi:fseres:cf309.

Full description at Econpapers || Download paper

3
502015Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf360.

Full description at Econpapers || Download paper

3

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns. (2010). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin. In: CARF F-Series. RePEc:cfi:fseres:cf202.

Full description at Econpapers || Download paper

16
22015Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method. (2015). Takahashi, Akihiko ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf278.

Full description at Econpapers || Download paper

14
32011A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies. (2011). Takahashi, Akihiko ; Shimada, Yasufumi ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf196.

Full description at Econpapers || Download paper

12
42014Safe Asset Shortages and Asset Price Bubbles. (2014). Nikolov, Kalin ; Nakajima, Tomoyuki ; Aoki, Kosuke . In: CARF F-Series. RePEc:cfi:fseres:cf344.

Full description at Econpapers || Download paper

12
52009Multivariate Stochastic Volatility with Cross Leverage. (2009). Omori, Yasuhiro ; Ishihara, Tsunehiro . In: CARF F-Series. RePEc:cfi:fseres:cf191.

Full description at Econpapers || Download paper

11
62012Deleveraging and Monetary Policy: Japan since the 1990s and the United States since 2007. (2012). Ueda, Kazuo. In: CARF F-Series. RePEc:cfi:fseres:cf283.

Full description at Econpapers || Download paper

9
72013On an Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver. (2013). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf326.

Full description at Econpapers || Download paper

9
82012A General Computation Scheme for a High-Order Asymptotic Expansion Method. (2012). Takahashi, Akihiko ; Toda, Masashi ; Takehara, Kohta . In: CARF F-Series. RePEc:cfi:fseres:cf272.

Full description at Econpapers || Download paper

8
92010A Note on Construction of Multiple Swap Curves with and without Collateral. (2010). Takahashi, Akihiko ; Shimada, Yasufumi ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf154.

Full description at Econpapers || Download paper

8
102012Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility. (2012). Takahashi, Akihiko ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf270.

Full description at Econpapers || Download paper

8
112015An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver. (2015). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf363.

Full description at Econpapers || Download paper

8
122012Collateralized CDS and Default Dependence -Implications for the Central Clearing. (2012). Takahashi, Akihiko ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf281.

Full description at Econpapers || Download paper

7
132010Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi. In: CARF F-Series. RePEc:cfi:fseres:cf201.

Full description at Econpapers || Download paper

7
142009A Panel Threshold Model of Tourism Specialization and Economic Development. (2009). McAleer, Michael ; Khamkaew, Thanchanok ; Chang, Chia-Lin. In: CARF F-Series. RePEc:cfi:fseres:cf188.

Full description at Econpapers || Download paper

7
152013How Much Do Official Price Indexes Tell Us About Inflation?. (2013). Weinstein, David ; Handbury, Jessie ; Watanabe, Tsutomu . In: CARF F-Series. RePEc:cfi:fseres:cf328.

Full description at Econpapers || Download paper

7
162009The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges. (2009). McAleer, Michael. In: CARF F-Series. RePEc:cfi:fseres:cf164.

Full description at Econpapers || Download paper

7
172009Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin. In: CARF F-Series. RePEc:cfi:fseres:cf162.

Full description at Econpapers || Download paper

6
182010Asset Bubbles, Endogenous Growth, and Financial Frictions. (2010). Hirano, Tomohiro ; Yanagawa, Noriyuki . In: CARF F-Series. RePEc:cfi:fseres:cf223.

Full description at Econpapers || Download paper

6
192012Pricing Multi-Asset Cross Currency Options. (2012). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf290.

Full description at Econpapers || Download paper

5
202012Pricing Multi-Asset Cross Currency Options. (2012). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf276.

Full description at Econpapers || Download paper

5
212009Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2009). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin. In: CARF F-Series. RePEc:cfi:fseres:cf183.

Full description at Econpapers || Download paper

5
222013Aging and Real Estate Prices: Evidence from Japanese and US Regional Data. (2013). Shimizu, Chihiro ; Saita, Yumi ; Watanabe, Tsutomu . In: CARF F-Series. RePEc:cfi:fseres:cf334.

Full description at Econpapers || Download paper

4
232013Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields. (2013). Koeda, Junko. In: CARF F-Series. RePEc:cfi:fseres:cf303.

Full description at Econpapers || Download paper

4
242015Financial Disintermediation and Financial Fragility. (2015). Nikolov, Kalin ; Aoki, Kosuke . In: CARF F-Series. RePEc:cfi:fseres:cf374.

Full description at Econpapers || Download paper

4
252015An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets. (2015). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf361.

Full description at Econpapers || Download paper

4
262013An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach. (2013). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf296.

Full description at Econpapers || Download paper

4
272005Public Debt and Economic Growth in an Aging Japan. (2005). Kato, Ryuta ; Bessho, Shun-ichiro ; Kawade, Masumi ; Ihori, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf046.

Full description at Econpapers || Download paper

3
282014On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-. (2014). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf324.

Full description at Econpapers || Download paper

3
292013A Regime-Switching SVAR Analysis of Quantitative Easing. (2013). Koeda, Junko ; Hayashi, Fumio. In: CARF F-Series. RePEc:cfi:fseres:cf322.

Full description at Econpapers || Download paper

3
302014The Structure and Evolution of Buyer-Supplier Networks. (2014). Mizuno, Takayuki ; Souma, Wataru ; Watanabe, Tsutomu . In: CARF F-Series. RePEc:cfi:fseres:cf339.

Full description at Econpapers || Download paper

3
312011Bubbles, Banks, and Financial Stability. (2011). Nikolov, Kalin ; aoki, kosuke. In: CARF F-Series. RePEc:cfi:fseres:cf253.

Full description at Econpapers || Download paper

3
322009IMF Bank-Restructuring Efficiency Outcomes: Evidence from East Asia. (2009). Ariff, Mohamed ; Can, Luc . In: CARF F-Series. RePEc:cfi:fseres:cf148.

Full description at Econpapers || Download paper

3
332009Computation in an Asymptotic Expansion Method. (2009). Takahashi, Akihiko ; Toda, Masashi ; Takehara, Kohta . In: CARF F-Series. RePEc:cfi:fseres:cf149.

Full description at Econpapers || Download paper

3
342015Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf360.

Full description at Econpapers || Download paper

3
352013Behavioral Approach to Repeated Games with Private Monitoring. (2013). Matsushima, Hitoshi ; Tanaka, Tomomi ; Toyama, Tomohisa . In: CARF F-Series. RePEc:cfi:fseres:cf309.

Full description at Econpapers || Download paper

3
362012An FBSDE Approach to American Option Pricing with an Interacting Particle Method. (2012). Takahashi, Akihiko ; Sato, Seisho ; Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf302.

Full description at Econpapers || Download paper

3
372013On the Optimal Super- and Sub-Hedging Strategies. (2013). Tsuzuki, Yukihiro . In: CARF F-Series. RePEc:cfi:fseres:cf300.

Full description at Econpapers || Download paper

3
382013International Trade and Capital Movement under Financial Imperfection. (2013). Furusawa, Taiji ; Taiji Furusawa, Noriyuki Yanagawa, . In: CARF F-Series. RePEc:cfi:fseres:cf316.

Full description at Econpapers || Download paper

2
392012Optimal Multiunit Exchange Design with Single-Dimensionality. (2012). Matsushima, Hitoshi. In: CARF F-Series. RePEc:cfi:fseres:cf292.

Full description at Econpapers || Download paper

2
402011Price-Based Combinatorial Auction: Connectedness and Representative Valuations. (2011). Matsushima, Hitoshi. In: CARF F-Series. RePEc:cfi:fseres:cf261.

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2
412014A Semi-group Expansion for Pricing Barrier Options. (2014). Takahashi, Akihiko ; Yamada, Toshihiro ; Kato, Takashi . In: CARF F-Series. RePEc:cfi:fseres:cf349.

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2
422008How Capital Structure Adjusts Dynamically during Financial Crisis. (2008). Mohamad, Shamsher ; Ariff, Mohamed ; Shamsher M., . In: CARF F-Series. RePEc:cfi:fseres:cf130.

Full description at Econpapers || Download paper

2
432010Ranking Multivariate GARCH Models by Problem Dimension. (2010). McAleer, Michael ; Caporin, Massimiliano. In: CARF F-Series. RePEc:cfi:fseres:cf219.

Full description at Econpapers || Download paper

2
442011Pricing Discrete Barrier Options under Stochastic Volatility. (2011). Takahashi, Akihiko ; Yamada, Toshihiro ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf210.

Full description at Econpapers || Download paper

2
452012Optimal Multiunit Exchange Design. (2012). Matsushima, Hitoshi. In: CARF F-Series. RePEc:cfi:fseres:cf279.

Full description at Econpapers || Download paper

2
462009Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models. (2009). McAleer, Michael ; Caporin, Massimiliano. In: CARF F-Series. RePEc:cfi:fseres:cf156.

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2

Citing documents used to compute impact factor 35:


YearTitle
2015Structure of global buyer-supplier networks and its implications for conflict minerals regulations. (2015). Ohnishi, Takaaki ; Watanabe, Tsutomu ; Mizuno, Takayuki . In: CARF F-Series. RePEc:cfi:fseres:cf362.

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2015Structure of global buyer-supplier networks and its implications for conflict minerals regulations. (2015). Ohnishi, Takaaki ; Watanabe, Tsutomu ; Mizuno, Takayuki . In: Papers. RePEc:arx:papers:1505.02274.

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2015.

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2015An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver. (2015). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf363.

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2015A formula of small time expansion for Young SDE driven by fractional Brownian motion. (2015). Yamada, Toshihiro . In: Statistics & Probability Letters. RePEc:eee:stapro:v:101:y:2015:i:c:p:64-72.

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2015An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver . (2015). Takahashi, Akihiko ; Watanabe, Toshiaki . In: CIRJE F-Series. RePEc:tky:fseres:2015cf976.

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2015Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method. (2015). Fujii, Masaaki ; Takahashi, Akihiko . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:22:y:2015:i:3:p:283-304.

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2015.

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2015The safety trap – the financial market and macroeconomic consequences of the scarcity of safe assets. (2015). Horvath, Daniel ; Szini, Robert . In: Financial and Economic Review. RePEc:mnb:finrev:v:14:y:2015:i:1:p:111-138.

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2015Asset bubbles and bailouts. (2015). Inaba, Masaru ; Hirano, Tomohiro ; Yanagawa, Noriyuki . In: Journal of Monetary Economics. RePEc:eee:moneco:v:76:y:2015:i:s:p:s71-s89.

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2015An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets. (2015). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf361.

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2015An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver. (2015). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf363.

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2015An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver . (2015). Takahashi, Akihiko ; Watanabe, Toshiaki . In: CIRJE F-Series. RePEc:tky:fseres:2015cf976.

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2015A weak approximation with asymptotic expansion and multidimensional Malliavin weights. (2015). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf358.

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2015Abenomics: Why Was It So Successful in Changing Market Expectations?. (2015). Fukuda, Shin-ichi ; Shin- ichi Fukuda, . In: CIRJE F-Series. RePEc:tky:fseres:2015cf969.

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2015Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model. (2015). Nakajima, Jouchi ; Imakubo, Kei . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp15e01.

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2015Monetary policy and the yield curve at zero interest. (2015). Ueno, Yoichi ; Ichiue, Hibiki . In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:38:y:2015:i:c:p:1-12.

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2015Abenomics: Why was it so successful in changing market expectations?. (2015). Fukuda, Shin-ichi ; Shin- ichi Fukuda, . In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:37:y:2015:i:c:p:1-20.

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2015Comonotonic Monte Carlo and its applications in option pricing and quantification of risk. (2015). Chateauneuf, Alain ; Mostoufi, Mina ; Vyncke, David . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15015.

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2015Comonotonic Monte Carlo and its applications in option pricing and quantification of risk. (2015). Chateauneuf, Alain ; Vyncke, David ; Mostoufi, Mina . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01159741.

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2015Comonotonic Monte Carlo and its applications in option pricing and quantification of risk. (2015). Chateauneuf, Alain ; Vyncke, David ; Mostoufi, Mina . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15015r.

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2015Asymptotic Expansion Approach in Finance. (2015). Takahashi, Akihiko . In: CARF F-Series. RePEc:cfi:fseres:cf356.

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2015Housing market and demography, evidence from French panel data. (2015). Essafi, Y ; Simon, A. In: ERES. RePEc:arz:wpaper:eres2015_165.

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2015Concurrence générationnelle et prix immobiliers. (2015). Simon, Arnaud ; Essafi, Yasmine . In: Working Papers. RePEc:hal:wpaper:halshs-01138074.

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2015Aging and Urban House Prices. (2015). Lerbs, Oliver ; Hiller, Norbert . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:113136.

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2015Replicating Japans CPI Using Scanner Data. (2015). Watanabe, Tsutomu ; Imai, Satoshi . In: CARF F-Series. RePEc:cfi:fseres:cf364.

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2015.

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2015Cost of Living Inequality during the Great Recession. (2015). Lee, Munseob ; Argente, David . In: 2015 Meeting Papers. RePEc:red:sed015:1372.

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2015Japanese Fiscal Policy under the Zero Lower Bound of Nominal Interest Rates: Time-Varying Parameters Vector Autoregression. (2015). Morita, Hiroshi . In: Discussion Paper Series. RePEc:hit:hituec:627.

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2015Japanese monetary policy and international spillovers. (2015). Dekle, Robert ; Hamada, Koichi . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:52:y:2015:i:c:p:175-199.

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2015The Impact of Monetary Policy on Corporate Bonds under Regime Shifts. (2015). Guidolin, Massimo ; Pedio, Manuela ; Orlov, Alexei G. In: Working Papers. RePEc:igi:igierp:562.

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2015Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki . In: CARF F-Series. RePEc:cfi:fseres:cf360.

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2015Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method. (2015). Takahshi, Akihiko ; Fujii, Masaaki . In: CIRJE F-Series. RePEc:tky:fseres:2015cf954.

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2015An Approximation Formula for Basket Option Prices under Local Stochastic Volatility with Jumps: an Application to Commodity Markets. (2015). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2015cf973.

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2015Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method. (2015). Fujii, Masaaki ; Takahashi, Akihiko . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:22:y:2015:i:3:p:283-304.

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Recent citations (cites in year: CiY)


Recent citations received in 2015

YearCiting document
2015Asymptotic Expansion for Forward-Backward SDEs with Jumps. (2015). Fujii, Masaaki ; Takahashi, Akihiko . In: Papers. RePEc:arx:papers:1510.03220.

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2015An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver. (2015). Takahashi, Akihiko ; Yamada, Toshihiro . In: CARF F-Series. RePEc:cfi:fseres:cf363.

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2015Asymptotic Expansion for Forward-Backward SDEs. (2015). Fujii, Masaaki ; Takahashi, Akihiko . In: CARF F-Series. RePEc:cfi:fseres:cf372.

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2015An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models (Forthcoming in Stochastics). (2015). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CARF F-Series. RePEc:cfi:fseres:cf377.

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2015A formula of small time expansion for Young SDE driven by fractional Brownian motion. (2015). Yamada, Toshihiro . In: Statistics & Probability Letters. RePEc:eee:stapro:v:101:y:2015:i:c:p:64-72.

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2015Secondary Market Liquidity and the Optimal Capital Structure. (2015). Arseneau, David ; Rappoport, David ; Vardoulakis, Alexandros . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2015-31.

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2015Debt concentration of European Firms. (2015). Giannetti, Caterina. In: MPRA Paper. RePEc:pra:mprapa:63002.

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2015Debt Concentration of European Firms. (2015). Giannetti, Caterina. In: SEP Working Papers. RePEc:ris:sepewp:2015_003.

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2015Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki . In: CIRJE F-Series. RePEc:tky:fseres:2015cf963.

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2015An Asymptotic Expansion of Forward-Backward SDEs with a Perturbed Driver . (2015). Takahashi, Akihiko ; Watanabe, Toshiaki . In: CIRJE F-Series. RePEc:tky:fseres:2015cf976.

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2015Asymptotic Expansion for Forward-Backward SDEs with Jumps. (2015). Fujii, Masaaki ; Takahashi, Akihiko . In: CIRJE F-Series. RePEc:tky:fseres:2015cf993.

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2015An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models. (2015). Takahashi, Akihiko ; Shiraya, Kenichiro . In: CIRJE F-Series. RePEc:tky:fseres:2015cf998.

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Recent citations received in 2014

YearCiting document
2014Introduction to economic theory of bubbles. (2014). Miao, Jianjun. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:53:y:2014:i:c:p:130-136.

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2014Speculative attacks with multiple targets. (2014). Fujimoto, Junichi. In: Economic Theory. RePEc:spr:joecth:v:57:y:2014:i:1:p:89-132.

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Recent citations received in 2013

YearCiting document
2013Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields. (2013). Ichiue, Hibiki ; Ueno, Yoichi . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:13-e-8.

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2013Role of Credit Default Swap in Bubbles and Crashes. (2013). Matsushima, Hitoshi. In: CARF F-Series. RePEc:cfi:fseres:cf331.

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2013A regime-switching model of the yield curve at the zero bound. (2013). Christensen, Jens ; Jens H. E. Christensen, . In: Working Paper Series. RePEc:fip:fedfwp:2013-34.

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2013Role of Credit Default Swap in Bubbles and Crashes. (2013). Matsushima, Hitoshi. In: CIRJE F-Series. RePEc:tky:fseres:2013cf905.

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Recent citations received in 2012

YearCiting document
2012Optimal Multiunit Exchange Design with Single-Dimensionality. (2012). Matsushima, Hitoshi. In: CARF F-Series. RePEc:cfi:fseres:cf292.

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2012Note on an Extension of an Asymptotic Expansion Scheme. (2012). Takahashi, Akihiko ; Toda, Masashi . In: CIRJE F-Series. RePEc:tky:fseres:2012cf860.

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2012An FBSDE Approach to American Option Pricing with an Interacting Particle Method. (2012). Takahashi, Akihiko ; Sato, Seisho ; Fujii, Masaaki . In: CIRJE F-Series. RePEc:tky:fseres:2012cf871.

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Source data used to compute the impact factor of RePEc series.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1 2016. Contact: CitEc Team