We study the effects of price-matching in a duopoly setting in which each firm selects both its price and output, simultaneously. We show that the availability of a pricematching option leads to the Cournot outcome in this setting. This result is a stark contrast to the one obtained in the...

We revisit the question of whether price matching is anti-competitive in a capacity constrained duopoly setting. We show that the effect of price matching depends on capacity. Specifically, price matching has no effect when capacity is relatively low, but it benefits the firms when capacity is...

We develop a new directed-search model of fertility and marriage, and apply it to two empirical problems: the rise in unmarried women’s share of births since 1970, and the fact that black women have lower marriage rates and higher rates of unmarried births than white women. The premise is that...

By reducing the risk of unwanted parenthood, more effective contraception reduces the cost of sex outside of marriage, increasing the value of single life. Could this explain why marriage and birth rates declined in the U.S. after 1970?. We illustrate our hypothesis with a one-period example. We...

This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the Edgeworth expansion for power variation of diffusion...

We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...

We prove functional central and non-central limit theorems for generalized variations of the anisotropic d-parameter fractional Brownian sheet (fBs) for any natural number d. Whether the central or the non-central limit theorem applies depends on the Hermite rank of the variation functional and...

We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are generated by a non-semimartingale, or a Brownian...

This paper presents a goodness-of-fit test for the volatility function of a SDE driven by a Gaussian process with stationary and centered increments. Under rather weak assumptions on the Gaussian process, we provide a procedure for testing whether the unknown volatility function lies in a given...

In this paper we present a test for the maximal rank of the matrix-valued volatility process in the continuous Itô semimartingale framework. Our idea is based upon a random perturbation of the original high frequency observations of an Itô semimartingale, which opens the way for rank testing....