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Kovbasyuk, Sergey - 2018

In many environments, including credit and online markets, past records about participants are collected, published, and erased after some time. We study the effects of erasing past records on trade and welfare in a dynamic market where each seller's quality follows a Markov process and buyers...

Persistent link: https://www.econbiz.de/10012936320

Memory and Markets

Kovbasyuk, Sergey - 2017

Persistent link: https://www.econbiz.de/10012941837

Does rigidity of prices hide collusion?

Jiménez, Juan Luis; Perdiguero, Jordi - In: Review of industrial organization : RIO 41 (2012) 3, pp. 223-248

Persistent link: https://www.econbiz.de/10009688209

Ex-post evaluation of mean-variance cartel filters

Ramalho, Matheus Humberto Migliari; Ribeiro, Eduardo Pontual - In: Revista de economia contemporânea : publication of the … 26 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10014259089

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115

A Bayesian analysis of unobserved component models using Ox

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Persistent link: https://www.econbiz.de/10011386121