We prove a folk theorem for multiplayer games in continuous time when players observe a public signal distorted by Brownian noise. The proof is based on a rigorous foundation for such continuous-time multiplayer games. We study in detail the relation between behaviour and mixed strategies, and...

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted...

We extend the well-known spatial competition model (d'Aspremont et al., 1979) to a continuous time model in which two firms compete in each instance. Our focus is on the entry timing decisions of firms and their optimal locations. We demonstrate that the leader has an incentive to locate closer...

The rapid growth in demand and supply of sophisticated data mining and analytical decision tools calls for research to understand the value of learning, as well as how learning interacts with firms’ day-to-day marketing strategies.In this paper, we consider a market in which the firm can...

Purpose – The purpose of this paper is to propose a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board Options Exchange (CBOE) implied (or...

In order to find the real market value of an asset in an exchange economy, one would typically apply the formula appearing in Lucas(1978), developed in a discrete time framework. This theory has also been extended to continuous time models, in which case the same pricing formula has been...

This paper develops a double asymptotic limit theory for the persistent parameter (k) in explosive continuous time models driven by Lévy processes with a large number of time span (N) and a small number of sampling interval (h). The simultaneous double asymptotic theory is derived using a...

There is consensus that the recent nancial crisis revolved around a crash of the short-term credit market. Yet there is no agreement around the necessary policies to prevent another credit freeze. In this experiment we test the eects that contract length (i.e. maturity mismatch) has on the...

A player of privately known strength chooses when to enter a market, and an incumbent chooses whether to compete or concede. Information about the potential entrant's type is revealed publicly according to an exogenous news process and the timing of entry. I analyze stationary equilibria using...

This dissertation consists of three chapters relating to identification and inference in dynamic microeconometric models including dynamic discrete games with many players, dynamic games with discrete and continuous choices, and semiparametric binary choice and duration panel data...