We study a setting in which individual players choose their partners as well as a mode of behavior in 2 x 2 anti-coordination games -- games where a player's best response is to behave differently than the opponent. We characterize the nature of equilibrium networks as well as study the effects...

In many economic and social contexts, individual players choose their partners and also decide on a mode of behavior in interactions with these partners. This paper develops a simple model to examine the interaction between partner choice and individual behavior in games of coordination. An...

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...

The matching of individuals in teams is a key element in the functioning of an economy. The network of social ties can potentially transmit important information on abilities and reputations and also help mitigate matching frictions by facilitating interactions among ¿screened¿ individuals. We...

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...

The article proposes a new algorithm for adjusting correlation matrices and for comparison with Finger's algorithm, which is used to compute Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than Finger's approach in the sense...

This paper examines the celebrated "Strength of weak ties" theory of Granovetter(1973). We formalize the theory in terms of two hypotheses: one, for any threeplayers with two links present, the probability of a third link being present isincreasing in the strength of the two ties, and two, the...

This paper describes the evolution of the daily Euro overnight interestrate (EONIA) by using several models containing the jump component such asa single regime ARCH-Poisson-Gaussian process, with either a piecewisefunction or an autoregressive conditional specification (ARJI) for the...