In this paper we will describe a class of three-person games and draw general conclusions about non-cooperative behavior in them.

We provide a characterization of selection correspondences in two-person exchange economies that can be core rationalized in the sens that there exists a preference profil with some standard properties that generates the observed choices as the set core elements of the economy for any given...

In this paper, we provide both quantitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed.

We consider a probabilistic approach to the problem of assigning K indivisible identical objects to a set of agents with single-peaked preferences. Using the ordinal extension of preferences, we characterize the class of uniform probabilistic rules by Pareto efficiency, strategy-proofness, and...

In this paper we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts.

This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not.

In this paper, we provided a unifying analysis of latent variable models in finance through the concept of stochastic discount factor (SDF).

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.