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Non-parametric efficiency analyses in four service activities: retail banking, municipalities, courts and urban transit.

Tulkens, H. - Center for Operations Research and Econometrics (CORE), … - 1990

Persistent link: https://www.econbiz.de/10005207648

The use of public expenditures for distributive purposes.

Boadway, R.; Marchand, M. - Center for Operations Research and Econometrics (CORE), … - 1990

Persistent link: https://www.econbiz.de/10005634185

PUBLIC FACILITY LOCATION AND URBAN SPATIAL STRUCTURE EQUILIBRIUM AND WELFARE ANALYSIS.

THISSE, J-F.; WILDASIN, D.E. - Center for Operations Research and Econometrics (CORE), … - 1990

Persistent link: https://www.econbiz.de/10005634214

Assessing the performance of the public sector activities: some recent evidence from the productive efficiency viewpoint.

Pestieau, P.; Tulkens, H. - Center for Operations Research and Econometrics (CORE), … - 1990

Persistent link: https://www.econbiz.de/10005669239

Specification, estimation and evaluation of vector smooth transition autoregressive models with applications

Terasvirta, Timo; Yang, Yukai - Center for Operations Research and Econometrics (CORE), … - 2014

We consider a nonlinear vector model called the logistic vector smooth transition autoregressive model. The bivariate single-transition vector smooth transition regression model of Camacho (2004) is generalised to a multivariate and multitransition one. A modelling strategy consisting of...

Persistent link: https://www.econbiz.de/10011246311

A family of autoregressive conditional duration models

FERNANDES, Marcelo; GRAMMIG, Joachim - Center for Operations Research and Econometrics (CORE), … - 2001

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter [delta] to the conditional duration process anda possibly asymmetric shocks impact curve....

Persistent link: https://www.econbiz.de/10005008441

Mixed exponential power asymmetric conditional heteroskedasticity

BOUADDI, Mohammed; ROMBOUTS, Jeroen V.K. - Center for Operations Research and Econometrics (CORE), … - 2007

To match the stylized facts of high frequency financial time series precisely andparsimoniously, this paper presents a finite mixture of conditional exponential powerdistributions where each component exhibits asymmetric conditional heteroskedasticity. Weprovide stationarity conditions and...

Persistent link: https://www.econbiz.de/10005008550

Contemporaneous Asymmetry in Weak GARCH Processes

EL BABSIRI, Mohamed; ZAKOIAN, Jean-Michel - Center for Operations Research and Econometrics (CORE), … - 1996

asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also …, positive and negative changes are governed by different (asymmetric) volatilities. We give a formal content to asymmetry in a …

Persistent link: https://www.econbiz.de/10005042870

How to win twice at an auction. On the incidence of commissions in auction markets

GINSBURGH, Victor; LEGROS, Patrick; SAHUGUET, Nicolas - Center for Operations Research and Econometrics (CORE), … - 2005

We analyze the welfare consequences of an increase in the commissions charged by intermediaries in auction markets. We … treatment in auction markets. We show that an increase in commissions makes sellers worse off, but buyers may strictly gain. The … method used to distribute compensations in the class action against auction houses Christie's and Sotheby' was misguided. …

Persistent link: https://www.econbiz.de/10005043209

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 …

Persistent link: https://www.econbiz.de/10005207634