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...

A new solution concept to monotonic cooperative games with nontransferable utility is introduced. This proposal, called the coalitional equal-loss solution, is based on the idea that players withing a coalition should have equal losses from a point of maximum expectations. The proposal...

The purpose of this paper is to provide a new solution concept for bargaining problems, which modifies Chun's Equal-Loss Solution in a way that ensures the individual rationality. We also consider its lexicographic extension which turns out to be both individually rational and Pareto Optimal....

Some shortcomings of the equal-loss solution for bargaining problems are noticed: in general, it is not individually rational, and in case it is, then turns out a selection of the YU solutions. Finally, a new way of proving characterization results is provided.

As it is known, there is no rule satisfying Additivity on the complete domain of bankruptcy problems. This paper proposes a notion of partial Additivity in this context, to be called µ-Additivity. We find that µ-Additivity, together with two quite compelling axioms, Anonymity and Continuity,...

Some monotonicity conditions for bargaining problems with claims are presented. They are used in providing a characterization of the extended claim-egalitarian solution.

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...

We analyze the behavior of the extended claim-egalitarian solution for bargaining problems with claims, in situations involving variations in the number of agents. An axiomatic characterization of this solution is presented.