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...

In this paper, it is shown that, under certain conditions on a preference relation defined on a set X, there exists a numerical representation by means of set-valued real functions. This kind of representation extends the usual utility function as well as the representation by means of two real...

This paper deals with the existence and properties of the demand correspondence when agents' preferences are pseudotransitive. It is shown that a consumption plan belongs to the demand mapping if and only if it is a maximizer of a real-valued weak utility function. Further properties, as...

Following the work of Bandyopadhyay and Sengupta, we analyze the rationalization of a choice function in terms of the revealed preference but in a more general context: choice sets with a continuum of alternatives. Firstly it is proved that some results which are verified in the finite case are...

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...

In a choice situation, it is usually assumed that the agents select the maximal elements inaccordance with their preference relation. Nevertheless, there are situations in which a selectioninside this maximal set is needed. In such a situation we can select randomly some of thesemaximal...

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...

A weaker than usual continuity condition for acyclic preferences is introduced. For preorders this condition turns out to be equivalent to lower continuity, but in general this is not true. By using this condition, a numerical representation which is upper semicontinuous is obtained. This fact...