This paper examines the economic consequences of a horizontal merger between Korean automakers that took place in 1998, with a particular emphasis on export market behavior. Estimates of structural demand and supply reveal that the merger enhanced production efficiency of the merged party by 6.3...

Because of the unstable financial market after World War I, the Japanese financial system experienced a wave of bank mergers, which resulted in an increase in bank scale and the development of branch banking. In this paper, we explored the implications of the expansion of branch banking, using...

This paper develops a new approximation formula for pricing basket options in a local-stochastic volatility model with jumps. In particular, the model admits local volatility functions and jump components in not only the underlying asset price processes, but also the volatility processes. To the...

We propose an information criterion which measures the prediction risk of the predictive density based on the Bayesian marginal likelihood from a frequentist point of view. We derive the criteria for selecting variables in linear regression models by putting the prior on the regression...

For estimating the integrated volatility by using high frequency data, Kunitomo and Sato (2008, 2011, 2013) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable nite sample properties and asymptotic...

For estimating the integrated volatility and covariance by using high frequency data, Kunitomo and Sato (2011, 2013) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable nite sample properties and...

This paper simulates the power source mix of Japanese electricity in the year of 2023 based on the information publicly available from electricity companies and electric power system council. It evaluates eight scenarios based on three important parameters for the Japanese electricity market:...

This paper provides the optimal position management strategy for a market maker who has to face uncertain customer orders in an “illiquid†market, where the market maker’s continuous trading through a traditional exchange incurs stochastic linear price impacts. In addition, it...

La Porta et al see Anglo-American common law as most favourable to economic development, but in 1899 Japan explicitly preferred the German corporate law tradition. Yet its new Commercial Code omitted the GmbH (private company) form, which Guinnane et al see as the jewel in the crown of...