Katsumasa Nishide

Graduate School of Economics, Hitotsubashi University

Professor

2-1 Naka Kunitachi-shi

Tokyo 186-8601

Japan

http://www.econ.hit-u.ac.jp/~nishide/

SCHOLARLY PAPERS

17

DOWNLOADS

155

CITATIONS

0

Scholarly Papers (17)

1.

Leaders, Followers and Equity Risk Premiums in Booms and Busts

Journal of Banking and Finance, Forthcoming
Posted: 13 Oct 2010 Last Revised: 05 Sep 2016
Makoto Goto, Katsumasa Nishide and Ryuta Takashima
Hokkaido University - Graduate School of Economics & Business Administration, Graduate School of Economics, Hitotsubashi University and Chiba Institute of Technology

Abstract:

Real options, Competition, Timing game, Regime switch

2.

Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees

Number of pages: 27 Posted: 23 Jul 2014 Last Revised: 20 Nov 2014
Katsumasa Nishide and Yuan Tian
Graduate School of Economics, Hitotsubashi University and Kyoto University - Graduate School of Economics
Downloads 40 (293,957)

Abstract:

Proprietary trading, dealer/broker system, transaction fees

3.

Investment under Regime Uncertainty: Impact of Competition and Preemption

International Journal of Industrial Organization, Vol.45, pp.47-58.
Posted: 25 Sep 2012 Last Revised: 05 Sep 2016
Katsumasa Nishide and Kyoko Yagi
Graduate School of Economics, Hitotsubashi University and Tokyo Metropolitan University

Abstract:

bad news principle, investment timing, competition, real options

4.

Demand Uncertainty, Product Differentiation, and Entry Timing Under Spatial Competition

ISER Discussion Paper No. 1007
Number of pages: 35 Posted: 06 Jul 2017
Takeshi Ebina, Noriaki Matsushima and Katsumasa Nishide
Shinshu University - Institute of Social Sciences, Osaka University - Institute of Social and Economic Research (ISER) and Graduate School of Economics, Hitotsubashi University
Downloads 0 (449,671)

Abstract:

Location, Hotelling model, Continuous-time model, Entry timing, Real options

5.

Default Contagion and Systemic Risk in the Presence of Credit Default Swaps

Number of pages: 21 Posted: 01 Feb 2017 Last Revised: 15 Jul 2017
Katsumasa Nishide, Teruyoshi Suzuki and Kyoko Yagi
Graduate School of Economics, Hitotsubashi University, Hokkaido Univeristy and Tokyo Metropolitan University
Downloads 0 (277,945)

Abstract:

credit default swap, default costs, cross-holding, clearing payment, default contagion, systemic risk

6.

Heston-Type Stochastic Volatility with a Markov Switching Regime

Journal of Futures Markets, Vol.36, No.9, pp.902-919.
Posted: 24 Sep 2014 Last Revised: 05 Sep 2016
Robert J. Elliott, Katsumasa Nishide and Carlton Osakwe
University of Calgary - Haskayne School of Business, Graduate School of Economics, Hitotsubashi University and Mount Royal University - Bissett School of Business

Abstract:

Option price, Stochastic volatility, Markov switching

7.

Pricing of Discount Bonds with a Markov Switching Regime

Annals of Finance, Vol.10, No.3, pp.509-522.
Posted: 07 Mar 2012 Last Revised: 23 Jul 2014
Robert J. Elliott and Katsumasa Nishide
University of Calgary - Haskayne School of Business and Graduate School of Economics, Hitotsubashi University

Abstract:

Bond pricing, term structure, Markov switching regime, CIR model, stochastic flows

8.

Market Selection: Hungry Misers and Bloated Bankrupts

Mathematics and Financial Economics, Vol. 5, No. 1, pp. 47-66.
Posted: 30 Nov 2010 Last Revised: 09 Nov 2011
Katsumasa Nishide and L. C. G. Rogers
Graduate School of Economics, Hitotsubashi University and University of Cambridge - Centre for Mathematical Sciences

Abstract:

market seleciton, asset pricing, heterogeneous beliefs

9.

Economic Models for the Environmental Kuznets Curve: A Survey

Journal of Economic Dynamics and Control, Vol. 34, No. 7, pp. 1187-1201, 2010
Posted: 08 May 2010 Last Revised: 15 Dec 2013
Masaaki Kijima, Katsumasa Nishide and Atsuyuki Ohyama
Kyoto University - Graduate School of Economics, Graduate School of Economics, Hitotsubashi University and affiliation not provided to SSRN

Abstract:

Environmental Kuznets curve, Pollution, Turning point,0 Inverted-U-shape, N-shape, Λ-shape, Economic growth, Real option

10.

Concentrated Equilibrium and Intraday Patterns in Financial Markets

Applied Mathematical Finance, Vol.20, No.1, pp.50-68.
Posted: 22 Jan 2010 Last Revised: 05 Sep 2016
Ryosuke Ishii and Katsumasa Nishide
Independent and Graduate School of Economics, Hitotsubashi University

Abstract:

Kyle's model, endogenous market making, discretionary liquidity trading

11.

Optimal Time to Exchange Two Baskets

Journal of Applied Probability, Vol. 48, No. 1, pp. 21-30, March 2011
Posted: 18 Dec 2009 Last Revised: 10 Jan 2012
Katsumasa Nishide and L. C. G. Rogers
Graduate School of Economics, Hitotsubashi University and University of Cambridge - Centre for Mathematical Sciences

Abstract:

Geometric Brownian motion, optimal stopping time, continuation region, convex hull

12.

EKC-Type Transitions and Environmental Policy under Pollutant Uncertainty and Cost Irreversibility

Journal of Economic Dynamics and Control, Vol.35, No.5, pp.746-763, May 2011
Posted: 01 Oct 2009 Last Revised: 10 Jan 2012
Masaaki Kijima, Katsumasa Nishide and Atsuyuki Ohyama
Kyoto University - Graduate School of Economics, Graduate School of Economics, Hitotsubashi University and affiliation not provided to SSRN

Abstract:

Environmental Kuznets curve, real option, alternating renewal process

13.

Insider Trading with Correlation between Liquidity Trading and a Public Signal

Quantitative Finance, Vol. 9, No. 3, pp. 297-304, 2009
Posted: 29 Sep 2009 Last Revised: 06 Oct 2009
Katsumasa Nishide
Graduate School of Economics, Hitotsubashi University

Abstract:

Market microstructure, Financial economics, Market manipulation, Insider trading

14.

Using Real Options Theory to a Country's Environmental Policy: Considering the Economic Size and Growth

Operational Research: An International Journal, Vol. 9, No. 3, pp.229-250, 2009
Posted: 08 Sep 2009 Last Revised: 02 Oct 2009
Katsumasa Nishide and Atsuyuki Ohyama
Graduate School of Economics, Hitotsubashi University and affiliation not provided to SSRN

Abstract:

environmental policy, GDP, real options, emission trading market

15.

Compensation Measures for Alliance Formation: A Real Options Analysis

Economic Modelling, Vol.28, No.1-2, 219-228, January 2011.
Posted: 07 Jul 2009 Last Revised: 05 Jan 2011
Katsumasa Nishide and Yuan Tian
Graduate School of Economics, Hitotsubashi University and Kyoto University - Graduate School of Economics

Abstract:

real options, alliance, flow payment, lump-sum payment

16.

Regime Uncertainty and Optimal Investment Timing

Journal of Economic Dynamics and Control, Vol. 33, No. 10, pp. 1796-1807, October 2009
Posted: 12 Mar 2009 Last Revised: 29 Sep 2009
Katsumasa Nishide and Ernesto Kazuhiro Nomi
Graduate School of Economics, Hitotsubashi University and affiliation not provided to SSRN

Abstract:

Investment timing, real options, policy change, regime uncertainty

17.

Equilibrium Pricing of Contingent Claims in Tradable Permit Markets

Journal of Futures Markets, Vol.30, No.6, 559-589, June 2010
Posted: 21 Feb 2009 Last Revised: 13 Apr 2010
Masaaki Kijima, Akira Maeda and Katsumasa Nishide
Kyoto University - Graduate School of Economics, Kyoto University and Graduate School of Economics, Hitotsubashi University

Abstract:

Tradable permits, emission trading, state price density, Esscher transform