In this paper we model Value-at-Risk (VaR) for daily stock index returns using a collection of parametric models of the ARCH family based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform with respect to skewed...

The authors develop a two-stage negotiation model to study the impact of costly inspections on both the coalition formation outcome and the per-member payoffs.

The paper presents an analysis of the coexistence of daily-wage and piece-rate contracts in agrarian economies. We show that, when individual effort is taken into account, daily-wage labourers typically form a convex set in the space working ability. The most able and the least able labourers...

Time is either discrete or continuous; in either case, it extend into the infinite future and, possibly, the infinite past. There is one, non-storable commodity at each date. The economy is stationary; intertemporal preferences are logarithmic; the endowments and discount factors of individuals...

We develop in this paper simple geometrical methods to study local indeterminancy; bifurcations and stochastic (sunspot) equilibria near a steady state, in nonlinear two dimensional economic models. We present stochastic sunspot equilibria, which allows a constructive description of local...

We model the decision problems faced by the members of societies whose new members are determined by vote. We adopt a number of simplifying assumptions. In spite of these simplifications, we show that interesting strategic behavior is implied by the dynamic structure of the problem: the vote for...

We present a feasible strategic market mechanism with .nitely many agents whose Nash, semi-strong Nash and coalition-proof Nash equilibria fully im plement the Walrasian equilibria. We define a strategic equilibrium conce pt, called correlated semi-strong equilibrium,and show that the Walrasian...

This paper studies situations in which agents do not initially know the effect of their decisions, but learn from experience the payoffs induced by their choices and their opponent's. We characterize equilibrium payoffs in terms of simple strategies in which an explanation phase is followed by a...