In this paper we analyze the effect strategic delegation on the profitability of mergers in the context of a Cournot oligopoly with linear demand and cost functions. It is assumed that, after the merging process is completed, the owner of every independent firm decides its managerial incentive...

This paper examines the stochastic volatility model suggested by Heston (1993). We employ a time-series approach to estimate the model and we discuss the potential effects of time-varying skewness and kurtosis on the performance of the model. In particular, it is found that the model tends to...

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by...

We examine an adverse selection relationship in which the principal is unaware of the ex ante distribution of the agent's types. We show that the minimax regret mechanism, which is an incentive compatible and individually rational mechanism that minimizes the maximal principal's regret, requires...

We analyze extensively the characteristics of the solution to an irreversibleinvestment decision when the only source of uncertainty comes from interest rates.They are assumed to be driven by the popular Cox-Ingersoll-Ross (CIR) stochasticprocess. Particular attention is paid to the impact that...

This paper deals with analysing and forecasting intradaily volatility in electricity spot prices. We analyse the hourly spot prices from the Argentine Electricity Market by grouping prices in three daily series (block bids). We estimate the VAR model for the conditional mean structure and...

In some pure moral hazard situations the principal can implement a first-best allocation using an incentive contract constructed on the basis of a first-best payment scheme. Such a contract relies on the possibility of discriminate actions according to the outcome by imposing a penalty whenever...

We analyze managerial contracts (i.e. incentive schemes based on a linear combination of profits and sales) under asymmetric information about costs. In the competitive setting with ex ante symmetric information, standard strategic effects appear. Under adverse selection in both, monopolistic...

We study an adverse selection model, with a principal and several agents, wherecontracting is under asymmetric information. The number of agents is finite and types are "continuous" and independent. We analyze two settings. In the first one, the performance functions of mechanisms may depend on...