In this work we propose Monte Carlo simulation models for dynamically computing MaxVaR for a financial return series. This dynamic MaxVaR takes into account the time-varying volatility as well as non-normality of returns or innovations. We apply this methodology to five stock market indices. To...

This paper evaluates the performance of conditional variance models using high-frequency data of the National Stock Index (S&P CNX NIFTY) and attempts to determine the optimal sampling frequency for the best daily volatility forecast. A linear combination of the realized volatilities calculated...

This paper constructs a robust Value-at-Risk (VaR) measure for the Indian stock markets by combining two well-known facts about equity return time series -- dynamic volatility resulting in the well-recognized phenomenon of volatility clustering, and non-normality giving rise to fat tails of the...

Several recent papers argue that contracts provide reference points that affect ex post behavior. We test this hypothesis in a canonical buyer-seller relationship with renegotiation. Our paper provides causal experimental evidence that an initial contract has a highly significant and...

We present an international trade model with multiproduct firms. Firms are heterogeneously endowed with two types of capabilities that jointly determine the trade-off within firms between managing a large portfolio of products and producing at low marginal cost. The model can explain many of the...

This paper reports data from a laboratory experiment on two-period moral hazard problems. The findings corroborate the contract-theoretic insight that even though the periods are technologically unrelated, due to incentive considerations principals can benefit from offering long-term contracts...

We study a continuous-time game of strategic experimentation in which the players try to assess the failure rate of some new equipment or technology. Breakdowns occur at the jump times of a Poisson process whose unknown intensity is either high or low. In marked contrast to existing models, we...

We study endogenous group formation in tournaments employing experimental three-player contests. We find that players in endogenously formed alliances cope better with the moral hazard problem in groups than players who are forced into an alliance. Also, players who are committed to expending...