Similar Search Results

The Component Fairness Solution for Cycle-free Graph Games

Herings, P. Jean-Jacques; van der Laan, Gerard; Talman, Dolf - 2005

with one another. We introduce a new single-valued solution concept, the component fairness solution. Our solution is … characterized by component efficiency and component fairness. The interpretation of component fairness is that deleting a link … the players in the component. Component fairness replaces the axiom of fairness characterizing the Myerson value, where …

Persistent link: https://www.econbiz.de/10010325416

SETS, Arbitrage Activity, and Stock Price Dynamics

Taylor, Nick; van Dijk, Dick; Franses, Philip Hans; … - 1999

This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...

Persistent link: https://www.econbiz.de/10010324378

Cooperative Games in Graph Structure

Herings, P. Jean-Jacques; van der Laan, Gerard; Talman, Dolf - 2000

In this paper we generalize the concept of coalitional games by allowingfor any organizational structure within coalitions represented by a graphon the set of players ot the coalition. A, possibly empty, set of payoffvectors is assigned to any graph on every subset of players. Such a gamewill be...

Persistent link: https://www.econbiz.de/10010324576

Short Patches of Outliers, ARCH and Volatility Modeling

Franses, Philip Hans; van Dijk, Dick; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10010324601

Long Memory and Level Shifts: Re-Analyzing Inflation Rates

Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - 1998

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...

Persistent link: https://www.econbiz.de/10010324616

A Dynamic Utility Maximization Model for Product Category Consumption

van Oest, Rutger; Franses, Philip Hans; Paap, Richard - 2002

It is conceivable that the whether to buy and how much tobuy decisions in the purchasing process of households areinfluenced by the inventory process. In this paper we thereforeput forward a model for consumption, where we rely on establishedeconomic theory. We incorporate this model in a model...

Persistent link: https://www.econbiz.de/10010324771

Optimal Provision of Infrastructure using Public-Private Partnership Contracts

van der Laan, Gerard; Ruys, Pieter; Talman, Dolf - 2001

This paper deals with the optimal provision of infrastructure by means of public-private partnership contracts. Inthe economic literature infrastructure is characterized as a large, indivisible and non-rival capital good thatproduces services for its users. The non-rivalness or nonexcludability...

Persistent link: https://www.econbiz.de/10010324828

A Joint Framework for Category Purchase and Consumption Behavior

van Oest, Rutger; Paap, Richard; Franses, Philip Hans - 2002

We propose a consistent utility-based framework to jointly explain a household's decisions on purchase incidence, brand choice and purchase quantity. The approach differs from other approaches, currently available in the literature, as it is able to take into account consumption dynamics. In the...

Persistent link: https://www.econbiz.de/10010324989

Which Brands gain Share from which Brands? Inference from Store-Level Scanner Data

van Oest, Rutger; Franses, Philip Hans - 2003

Market share models for weekly store-level data are useful to understand competitive structures by delivering own and cross price elasticities. These models can however not be used to examine which brands lose share to which brands during a specificperiod of time. It is for this purpose that we...

Persistent link: https://www.econbiz.de/10010325000

Quantity Constrained Equilibria

Herings, P. Jean-Jacques; van der Laan, Gerard; Talman, Dolf - 2001

In a standard general equilibrium model it is assumed that there are no price restictionsand that prices adjust infinitely fast to their equilibrium values. In this paper the set ofadmissible prices is allowed to be an arbitrary convex set. For such an arbitrary set it cannotbe guaranteed that...

Persistent link: https://www.econbiz.de/10010325014