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Search costs, demand-side economies and the incentives to merge under Betrand competition

Moraga-González, José Luis; Petrikaite, Vaiva - 2012

Persistent link: https://www.econbiz.de/10009722700

Frontiers in time series and financial econometrics : an overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...

Persistent link: https://www.econbiz.de/10010484894

A stochastic recurrence equation approach to stationarity and phi-mixing of a class of nonlinear ARCH models

Blasques, Francisco; Nientker, Marc - 2017

This article generalises the results of Sadi and Zakoian (2006) to a considerably larger class of nonlinear ARCH models with discontinuities, leverage e ects and robust news impact curves. We propose a new method of proof for the existence of a strictly stationary and phi-mixing solution....

Persistent link: https://www.econbiz.de/10011699508

Smooth transition spatial autoregressive models

Andree, Bo Pieter Johannes; Blasques, Francisco; … - 2017

This paper introduces a new model for spatial time series in which cross-sectional dependence varies nonlinearly over space by means of smooth transitions. We refer to our model as the Smooth Transition Spatial Autoregressive (ST-SAR). We establish consistency and asymptotic Gaussianity for the...

Persistent link: https://www.econbiz.de/10011658755

Generalized autoregressive method of moments

Creal, Drew; Koopman, Siem Jan; Lucas, André; … - 2015

We introduce a new estimation framework which extends the Generalized Method of Moments (GMM) to settings where a subset of the parameters vary over time with unknown dynamics. To filter out the dynamic path of the time-varying parameter, we approximate the dynamics by an autoregressive process...

Persistent link: https://www.econbiz.de/10011431471

A general framework for observation driven time-varying parameter models

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2008

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

Persistent link: https://www.econbiz.de/10011377309

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the degree of non-linearity of the instruments comprised in the portfolio and thewillingness to make restrictive assumptions on the underlying statistical distributions, a...

Persistent link: https://www.econbiz.de/10011301159

A fixed point theorem for discontinuous functions

Herings, Peter Jean-Jacques; Laan, Gerard van der; … - 2004

Any function from a non-empty polytope into itself that is locally gross direction preserving is shown to have the fixed point property. Brouwer's fixed point theorem for continuous functions is a special case. We discuss the application of the result in the area of non-cooperative game theory.

Persistent link: https://www.econbiz.de/10011342557

Perfection and stability of stationary points with applications to noncooperative games

Laan, Gerard van der; Talman, Dolf; Yang, Zaifu - 2002

well known refinements of the Nash equilibrium, namely, perfect Nash equilibrium and proper Nash equilibrium, are special … Nash equilibrium is shown to exist for every game. In symmetric bimatrix games, our results imply the existence of a … symmetric proper equilibrium. Applying our results to the field of evolutionary game theory yields a refinement of the …

Persistent link: https://www.econbiz.de/10011327822

Weak & strong financial fragility

Geluk, J.L.; Haan, Laurens de; Vries, Casper G. de - 2007

Persistent link: https://www.econbiz.de/10003422974