Entry game models are often used to study the nature of firms’ profit and the nature of competition among firms in empirical studies. However, when there are multiple players in an oligopoly market, resulting multiple equilibria have made it difficult in previous studies to estimate the...

This paper experimentally examines infinitely repeated prisoners' dilemma games with imperfect private monitoring and random termination where the probability of termination is very low. Laboratory subjects make the cooperative action choices quite often, and make the cooperative action choice...

The problem of estimating covariance and precision matrices of multivariate normal distributions is addressed when both the sample size and the dimension of variables are large. The estimation of the precision matrix is important in various statistical inference including the Fisher linear...

This paper explores the development of inequalities in income, consumption, and wealth among Japanese households from the 1980s to the 2000s, a period that spans the bursting of Japan's bubble economy (1991Q1) and the banking crisis (1997Q4). We find that inequality of income and consumption...

This paper demonstrates the theoretical foundation that underlies the willingness of rational arbitrageurs to delay and reinforce the speculative attack. The key assumptions are that there is a small probability that arbitrageurs are behavioral and never time the market of their own accord and...

The recent financial crisis caused dramatic widening and elevated volatilities among basis spreads in cross currency as well as domestic interest rate markets. Furthermore, the wide spread use of cash collateral, especially in fixed income contracts, has made the effective funding cost of...

Most multivariate variance models suffer from a common problem, the "curse of dimensionality". For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on multivariate models with...

In this paper we use a structural VAR model with block exogeneity to investigate if external shocks originating from the USA played a dominant role in influencing the macroeconomic fluctuations in East Asia during the period 1978-2007. The empirical results show a dynamic effect of external...

This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula in Malliavin calculus is effectively applied in an asymptotic expansion approach. First, the paper derives...

This paper derives asymptotic expansion formulas for option prices and implied volatilities as well as the density of the underlying asset price in a stochastic volatility model. In particular, the integration-by-parts formula in Malliavin calculus and the push-down of Malliavin weights are...