Showing 1 - 5 of 5
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 models. Both GARCH models and stochastic volatility models...
Persistent link: https://www.econbiz.de/10005342373
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 …
Persistent link: https://www.econbiz.de/10005130188
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 …
Persistent link: https://www.econbiz.de/10005170266
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 …
Persistent link: https://www.econbiz.de/10005170271
. 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 …
Persistent link: https://www.econbiz.de/10005702725