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...

Strategic interaction in oligopolistic markets has been extensively studied in the literature. This literature deals mostly with the case of multiple firms which produce a homogeneous good or goods that are perfect substitutes. In this paper we provide a simple model of price competition in a...

Game theory lacks an explanation of how players' beliefs are formed and why they are in equilibrium. This is the reason why it has failed to make significant advances with the problem of equilibrium selection even for quite siniple games, as 2x2 games with two strict Nash equilibria. Our paper...

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 is a note on how Information Theory and Codification Theory are helpful in the computational design both of communication protocols and strategy sets in the framework of finitely repeated games played by boundedly rational agents. More precisely, we show the usefulness of both...

The main result of this paper is that any correlated equlibrium pay-off of a two-player completeinformation game with rational parameters can be reached through an unmediated costlesspre-play conversation scheme. This problem was left open by Barany and Forges' analysis. Ourcommunication...

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 context of economic integration, we analyse the strategic effect of wo policies: merger policy and state aid policy. When governments play a Stackelberg policy game before firms compete in the market we find that: a) only under certain conditions, the leader country chooses a merger policy...