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BELLEFLAMME, Paul; TOULEMONDE, Eric - Center for Operations Research and Econometrics (CORE), … - 2004

In a successive vertical oligopoly, a set of "sellers" produce some input to be transformed into a final product by a set of "buyers". On this two-sided market, a firm's profit increases with the number of firms of the other type and decreases with the number of firms of its own type. We examine...

Persistent link: https://www.econbiz.de/10005008337

Strongly rational sets for normal-form games

GRANDJEAN, Gilles; MAULEON, Ana; VANNETELBOSCH, Vincent - Center for Operations Research and Econometrics (CORE), … - 2009

a dynamic learning process leading the players to playing strategies from a minimal strong curb set. …

Persistent link: https://www.econbiz.de/10008550176

Technology adoption under embodiment: a two-stage optimal control approach

BOUCEKKINE, RAOUF; SAGLAM, Cagri; VALLÉE, Thomas - Center for Operations Research and Econometrics (CORE), … - 2003

solve a benchmark problem without learning behavior. At the date of switching, the consumption level is shown to drop, as … induced growth advantage. In a second step, we introduce learning. The learning curve involves fixed costs and incentives to … wait as well. Adoption is shown to depend on the growth advantage of switching net of obsolescence and learning fixed costs …

Persistent link: https://www.econbiz.de/10005043528

Learning differences in mixed common value auctions

GOERTZ, Johanna M.M. - Center for Operations Research and Econometrics (CORE), … - 2007

I examine the behavior of subjects in common value auctions with both experienced and inexperienced bidders in the same market. Subjects know that they are competing against both experienced and inexperienced subjects and can observe bidding behavior of their opponents after an auction round....

Persistent link: https://www.econbiz.de/10005065347

Information at Equilibrium.

Minelli, E.; Polemarchakis, H. - Center for Operations Research and Econometrics (CORE), … - 2000

In a game with rational expectations individuals refine their information with the information revealed by strategies of other individuals: the elementary acts of other individuals at each state fo the world. At a Nash game with rational expectations, the information of individuals is...

Persistent link: https://www.econbiz.de/10005634162

Marginal likelihood for Markov-switching and change-point GARCH models

BAUWENS, Luc; DUFAYS, Arnaud; ROMBOUTS, Jeroen V.K. - Center for Operations Research and Econometrics (CORE), … - 2011

GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC methods due to the path dependence problem. An unsolved...

Persistent link: https://www.econbiz.de/10010610474

Climate coalitions: a theoretical and computational appraisal

BRECHET, Thierry; GERARD, François; TULKENS, Henry - Center for Operations Research and Econometrics (CORE), … - 2007

Using an updated version of the CWS model (introduced by Eyckmans and Tulkens in Resource and Energy Economics 2003), this paper intends to evaluate with numbers the respective merits of two competing notions of coalition stability in the standard global public goods model as customarily applied...

Persistent link: https://www.econbiz.de/10005008179

Bayesian option pricing using asymmetric GARCH

BAUWENS, LUC; LUBRANO, Michel - Center for Operations Research and Econometrics (CORE), … - 1997

This paper shows how one can compute option prices from a Bayesian inference viewpoint, using an econometric model for the dynamics of the return and of the volatility of the underlying asset. The proposed evaluation of an option is the predictive expectation of its payoff function. The...

Persistent link: https://www.econbiz.de/10005008451

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.

Bauwens, L.; Bos, C.S.; Van Dijk, H.K. - Center for Operations Research and Econometrics (CORE), … - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiency from such a distribution, location-scale transformation and a transformation to polar coordinates are used.

Persistent link: https://www.econbiz.de/10005779535

Adaptive polar sampling with an application to a Bayes measure of value-at-risk

BAUWENS, Luc; BOS, Charles S.; DIJK, Herman K. VAN - Center for Operations Research and Econometrics (CORE), … - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, location-scale transformation and a transformation to polar coordinates are used....

Persistent link: https://www.econbiz.de/10005042753