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Simultaneous and sequential price competition in heterogeneous duopoly markets : experimental evidence

Kübler, Dorothea; Müller, Wieland - 2001

, just as predicted by the theory, whereas average follower prices are not above average prices in the simultaneous market … simultaneous-move markets whereas first movers do not. As in theory, there is a significant first-mover disadvantage when firms …

Persistent link: https://www.econbiz.de/10009617949

Long-term work contracts versus sequential spot markets : experimental evidence on firm-specific investment

Anderhub, Vital; Königstein, Manfred; Kübler, Dorothea - 1999

Dismissal rules, i.e. legally enforced long term contracts, have beem defended against criticism for, among other things, providing efficient incentives to invest in relationship specific skills. However, in many situations efficient investment can also be attained by spot contracts. We...

Persistent link: https://www.econbiz.de/10009580472

Limited depth of reasoning and failure of cascade formation in the laboratory

Kübler, Dorothea; Weizsäcker, Georg - 2000

We examine the robustness of information cascades in laboratory experiments. Apart from the situation in which each player can obtain a signal for free (as in the experiment by Anderson and Holt, 1997, American Economic Review), the case of costly signals is studied where players decide whether...

Persistent link: https://www.econbiz.de/10009612571

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1997

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...

Persistent link: https://www.econbiz.de/10009577459

Higher order forward rate agreements and the smoothness of the term structure

Jaschke, Stefan R. - 1998

This paper proposes linear higher order conditions on the term structure that allow to compute valuation bounds for any deterministic cash stream. Starting from bounds on the forward rate curve and its derivatives, which are nonlinear in the discount factors, we derive linear conditions that are...

Persistent link: https://www.econbiz.de/10009579185

Using private job agencies : optimal screening or cream skimming?

Kübler, Dorothea - 1997

In a model with private information of the worker about her ability and unobservable effort choice, the role of public and private employment services is analyzed. The coexistence of an inefficient employment exchange and an efficient private agency may lead to optimal screening with first best...

Persistent link: https://www.econbiz.de/10009658470

Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization

Jaschke, Stefan R.; Küchler, Uwe - 1999

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

Persistent link: https://www.econbiz.de/10009581108

On the regulation of social norms

Kübler, Dorothea - 2000

A model is developed to understand how norms can be influenced by "norm entrepreneurs", e.g. lawmakers, government agencies, unions etc. Two instruments of influencing the dynamics of normfollowing behavior are analyzed, namely transforming the (monetary) incentives and changing the meaning or...

Persistent link: https://www.econbiz.de/10009583884

Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes

Jaschke, Stefan R. - 2001

Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the...

Persistent link: https://www.econbiz.de/10009614286

The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations

Jaschke, Stefan R. - 2001

Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the monotonicity of the distribution function as well as...

Persistent link: https://www.econbiz.de/10009614287