This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. Their analytical approximation formulas are derived by the application of a singular perturbation method (Fouque et al. [7]). The mathematical validity of the approximation is...

This paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical...

This article develops a multitask model in which the agent has to produce both verifiable and unverifiable outputs in a dynamic framework as observed in actual labor markets and practices. The model derives an important result regarding the timing and the length of a wage contract. A short-term...

In this paper, we investigate equilibrium cycles in dynamic general equilibrium models with cash-in-advance constraints. Our findings are two-fold. First, in such models, if an equilibrium cycle exists, then there also exists a continuum of equilibrium cycles in its neighborhood. Second, the...

Oligopoly models are usually analyzed in the context of two firms anticipating that market outcomes would be qualitatively similar in the case of three or more firms. This is not an exception in the literature on Hotelling's location-then-price competition. In this paper, we show that the main...

The Japanese Government reports the annualized estimates of the growth rates of GDP and its main components once in 3 months, and then revises them once in a while. There have been some critical comments on the accuracy of those numbers mainly from economists who want to evaluate the current...

For estimating the realized volatility and covariance by using high frequency data, we have introduced the Separating Information Maximum Likelihood (SIML) method when there are possibly micro-market noises by Kunitomo and Sato (2008a, 2008b, 2010a, 2010b). The resulting estimator is simple and...

We have considered a general equilibrium model with monopolistically competitive markets, in which urban centers are service suppliers to all the agricultural regions as well as to the other urban centers. We have retained the forward and backward linkages of NEG to generate the agglomeration of...

This paper investigates the relationship between value relevance of the multi-step income statement and managerial opportunistic behavior. In Japan, net income is disclosed by three steps, i.e., 1) operating profits from core operating activity, 2) ordinary income, measured by adding gains and...

The purpose of this paper is to investigate the value relevance of the legally mandated provisions. This paper examines the effects of changes in provisions on the value relevance of earnings. The results show that the calculation of provisions will deteriorate the relevance of earnings when the...