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Option Market Microstructure and Stochastic Volatility

Steigerwald, Doug; Vagnoni, Richard J. - Department of Economics, University of California-Santa … - 2001

(stochastic volatility), and more persistent serial correlation in stock trades than in squared stock price changes. We derive the …

Persistent link: https://www.econbiz.de/10010538280

Modelling Exchange Rate Volatility

Sengupta, Jati K. - Department of Economics, University of California-Santa … - 2002

Two types of statistical models are empirically applied to test the pattern of volatility in the exchange rate markets …

Persistent link: https://www.econbiz.de/10010538308

The Return to Capital and the Business Cycle

Gomme, Paul; Ravikumar, B; Rupert, Peter - Department of Economics, University of California-Santa … - 2007

business cycle model. We construct a quarterly time series of the after-tax return to business capital. Its volatility is … considerably smaller than that of S&P 500 returns. The standard business cycle model captures almost 50% of the volatility in the … return to capital (relative to the volatility of output). We consider several departures from the benchmark model; the most …

Persistent link: https://www.econbiz.de/10010538316

Freely Floating Exchange Rates Do Not Systematically Overshoot

Pippenger, John - Department of Economics, University of California-Santa … - 2008

on overshooting. In that literature overshooting is an important explanation for exchange rate volatility. A separate …

Persistent link: https://www.econbiz.de/10010538367

Social and Moral Norms in the Laboratory

Charness, Gary; Schram, Arthur - Department of Economics, University of California-Santa … - 2012

Social norms involve observation by others and external sanctions for violations,while moral norms involve introspection and internal sanctions. We develop a simple model ofindividual preferences that incorporates moral and social norms. We then examine dictatorchoices, where we create a shared...

Persistent link: https://www.econbiz.de/10010678008

The Control Premium: A Preference for Payoff Autonomy

Owens, David; Grossman, Zachary; Fackler, Ryan - Department of Economics, University of California-Santa … - 2012

We document a lower bound for thecontrol premium: agents' willingness to pay to control their own payoff. Participants choose between an asset that will pay only if they later answer a particular quiz question correctly and one that pays only if their partner answers a different question...

Persistent link: https://www.econbiz.de/10010678028

â€œOptimal Contracts with Team Production and Hidden Information: An Experimentâ€

Cabrales, Antonio; Charness, Gary - Department of Economics, University of California-Santa … - 2008

. We devise an experiment to explore optimal contracts in an adverse-selection context. A principal offers one of three …

Persistent link: https://www.econbiz.de/10010843445

MINIMUM ADVERTISED-PRICE POLICY RULES AND RETAILER BEHAVIOR: AN EXPERIMENT BY HEWLETT-PACKARD

Charness, Gary B; Chen, Kay-Yut - Department of Economics, University of California-Santa … - 2001

We tested the effects of various of policy rules on retailer behavior in laboratory experiments conducted at Hewlett-Packard Laboratories. Our experimental design models the multifaceted contemporary market for consumer computer products and is quite complex, but we found that participants can...

Persistent link: https://www.econbiz.de/10010538276

OPTIMAL CONTRACTS WITH TEAM PRODUCTION AND HIDDEN INFORMATION: AN EXPERIMENT

Charness, Gary B; Cabrales, Antonio - Department of Economics, University of California-Santa … - 2008

devise an experiment to explore optimal contracts in a hidden information context. A principal offers one of three possible …

Persistent link: https://www.econbiz.de/10010538305

A Route Choice Experiment With an Efficient Toll

Hartman, John Lawrence - Department of Economics, University of California-Santa … - 2007

Traffic congestion is a substantial time cost for many urban commuters. This paper studies the response of subjects in an experimental setting in which subjects choose between a short direct route that becomes increasingly congested as more people travel on it and a more indirect route that does...

Persistent link: https://www.econbiz.de/10010538314