knowledge prior on preference parameters. I analyze the robustness of equilibria of such games to perturbations in the … of his higher order beliefs. Based on this definition of an $\varepsilon$-equilibrium, I propose a notion of robustness …

models. Both GARCH models and stochastic volatility models are covered. Our tests have a convenient asymptotic null N(0 …Volatility models have been playing an important role in economics and finance. Using a multivariate generalized … spectral approach, we propose a new class of generally applicable omnibus tests for univariate and multivariate volatility …

distributions. In this paper, we analyze robustness of these properties and the models based on them to heavy-tailedness assumptions … reversed for very long-tailed distributions. As applications of the results, we study robustness of monotone consistency of the …

This paper introduces generalized potential functions of complete information games and studies the robustness of sets … behavior close to some equilibrium in the set. First, this paper provides sufficient conditions for the robustness of sets of … the existing sufficient conditions for the robustness of equilibria …

. Robustness with respect to almost common belief for rationality of $\Delta$-rationalizability is established under general … common belief by common $p$-belief. One important feature of our analysis in the robustness is that in the second approach …

three ways: by cross-section dispersion of optimism expectations, by a GARCH series based on the optimism data and by an … unconditional volatility measure based on the same data. …

This paper introduces a nonparametric estimator for tail dependence in the constant conditional correlation GARCH … difference between the distribution of the tail dependence estimator under the iid and GARCH case is a scaling variance. Without …