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On the Strategic Origin of Brownian Motion in Finance.
De Meyer, B.; Moussa Saley, H. - Center for Operations Research and Econometrics (CORE), … - 2000
This paper is concerned with the stategic use of a private information on the stock market. A repeated auction model is … used to analyze the evolution of the price system on a market with asymmetric information. The model turns out to be a zero …-sum repeated game with one-sided information, as introduced by Aumann and Maschler. …
Persistent link: https://www.econbiz.de/10005207634
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ANTICIPATION AND THE AGGREGATION OF SECTOR-SPECIFIC RISKS.
DONALDSON, J.; DUTTA, J. - Center for Operations Research and Econometrics (CORE), … - 1989
Persistent link: https://www.econbiz.de/10005779463
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Employment Durations of French Young People.
D'addio, A.C. - Center for Operations Research and Econometrics (CORE), … - 1998
Using the 1990-1992 wave of the French Labor Force Survey, this paper analyzes the effects of different factors on the probability of leaving unemployment of French young people. It also studies duration dependence of the hazard rate while controlling for unobserved heterogeneity separately for...
Persistent link: https://www.econbiz.de/10005779412
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Optimal Population Growth and Social Security Reform with Heterogeneous Agents.
Abio, G.; Patxot, C. - Center for Operations Research and Econometrics (CORE), … - 2001
In this paper we propose a pension policy that would isolate the social security system from any financial crisis resulting from changes in population structure. This policy consists of linking social security benefits to the fertility behaviour of the individual.
Persistent link: https://www.econbiz.de/10005779446
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A Family of Autoregressive Conditional Duration Models.
Fernandes, M.; Grammig, J. - Center for Operations Research and Econometrics (CORE), … - 2001
This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications …
Persistent link: https://www.econbiz.de/10005779466
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Bayesian Specification and Identification of a Class of Mixture Models.
Mouchart, M.; San Martin, E. - Center for Operations Research and Econometrics (CORE), … - 1998
This note argues that a Bayesian framework is almost inescapable when specifying statistical models of the LISREL type …, i.e. models involving not only latent and manifest variables but also incidental parameters. Indeed, a careful …
Persistent link: https://www.econbiz.de/10005779490
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Bayesian Evaluation of a Semi-Parametric Binary Response Model.
Scheihing, E.; Mouchart, M. - Center for Operations Research and Econometrics (CORE), … - 1998
In this paper, we develop a Bayesian analysis of a semi-parametric binary choice model. The prior specification of the functional parameter, namely the distribution function of a latent variable, is of the Dirichlet process type and the prior specification of the Euclidean parameter, namely the...
Persistent link: https://www.econbiz.de/10005779498
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Identification Problems in a Class of Mixture Models with an Application to the Lisrel Model.
Mouchart, M.; San Martin, E. - Center for Operations Research and Econometrics (CORE), … - 1998
Five different identification problems in mixture models are made explicit. Necessary and sufficient relationships … first particularized under a normality assumption and then used for LISREL models. …
Persistent link: https://www.econbiz.de/10005779510
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On the Polyhedral Structure of a Multi-Item Production Planning Model with Setup Times.
Miller, A.J.; Nemhauser, G.L.; Savelsbergh, M.W.P. - Center for Operations Research and Econometrics (CORE), … - 2000
We present and study a mixed integer programing model that arises as a sub-structure in any industrial applications. This model provides a relaxation of various capacitated production planning problems, more general fixed charge network flow problems, and other structured mixed integer programs....
Persistent link: https://www.econbiz.de/10005779529
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Spatially Oligopolistic Models With Cournot Producers and Regulation Transportation Prices.
Wei, J.Y.; Smeers, Y. - Center for Operations Research and Econometrics (CORE), … - 1996
An oligopoly with spatially dispersed producers and consumers and with multi-period demands is modeled in this paper.
Persistent link: https://www.econbiz.de/10005779539