We consider a multiperiod financial exchange economy with nominal assets and restricted participation, where each agent's portfolio choice is restricted to a closed, convex set containing zero, as in Siconolfi (1989). Using an approach that dates back to Cass (1984, 2006) in the unconstrained...

Forecasting volatility has held the attention of academics and practitioners all over the world. The objective for this master's thesis is to predict the volatility in stock market by using generalized autoregressive conditional heteroscedasticity(GARCH) methodology. A detailed explanation of...

The existence of a communication network induces an externality among the agents of an economy. In this paper, we study the network externality whithin a new framework which extends models used in the literature. It allows to take into account many features of the interest of the consumers in...