Narrow search
Showing 21 - 30 of 9,755
Cover Image
A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - In: Econometrics 2 (2014) 2, pp. 92-97
One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...
Persistent link: https://www.econbiz.de/10010421302
Cover Image
Stable Networks in Homogeneous Societies
Hellmann, Tim; Landwehr, Jakob - 2014
functional form of utility, we simply assume that the society is homogeneous, i.e. that agents' utilities differ only with … respect to their network position while their names do not matter. Existence of certain stable network structures is then … subgroup exist. If the society becomes more homogeneous, then it is possible to characterize the set of all pairwise stable …
Persistent link: https://www.econbiz.de/10010427185
Cover Image
On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10010491325
Cover Image
Costless Delay in Negotiations
Herings, P. Jean-Jacques; Houba, Harold - 2015
orders, and finite sets of alternatives. Two examples show: 1. non-existence of stationary subgame-perfect equilibrium (SSPE … conditions for existence of stationary best responses additionally require either an equalizing condition or a minimality …
Persistent link: https://www.econbiz.de/10010491403
Cover Image
On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10010491406
Cover Image
Unique equilibrium in rent-seeking contests with a continuum of types
Ewerhart, Christian - 2014
It is shown that rent-seeking contests with continuous and independent type distributions possess a unique pure-strategy Nash equilibrium.
Persistent link: https://www.econbiz.de/10011282485
Cover Image
Public Venture Capital in Germany -Task Force or Forced Task?
LinkSchilder, Dirk - Technische Universität <Freiberg> - 2006
This paper deals with the question of whether public venture capital (VC) isperforming its task properly, taking a look at how public VC companies’ selectionprocess, investment behavior, and consulting services reflect goals that differ fromthose of private VC firms. The results present...
Persistent link: https://www.econbiz.de/10005864116
Cover Image
Nash equilibrium existence and uniqueness in a club model
Fraser, Clive D. - 2012
Persistent link: https://www.econbiz.de/10009545889
Cover Image
Existence, uniqueness and computation of solutions to dynamic models with occasionally binding constraints
Holden, Tom D. - 2016 - This version: 09 February 2016
We present the first necessary and sufficient conditions for the existence of a unique perfect-foresight solution … conditions on the existence of a solution in such models, and provide a proof of the inescapability of the "curse of …
Persistent link: https://www.econbiz.de/10011427963
Cover Image
Ramsey equilibrium with liberal borrowing
Becker, Robert Allen; Borissov, Kirill; Dubey, Ram Sewak - 2015
Persistent link: https://www.econbiz.de/10010532085