We propose a new dynamic model for volatility and dependence in high dimensions, that allows for departuresfrom the normal distribution, both in the marginals and in the dependence. The dependence is modeled with adynamic canonical vine copula, which can be decomposed into a cascade of bivariate...

In a setting of R&D co-opetition we study, by using an all-pay auction approach, howcollaboration affects strategic decisions during a patent contest, and how the latter influences thepossible collaboration network structures the firms can hope to form. The all pay auctionapproach allows us to...

We study the impact of transfer pricing rules on sales prices, firms’ organizational structure, andconsumers’ utility within a two-country monopolistic competition model featuring source-basedprofit taxes that differ across countries. Firms can either become multinationals, i.e., they serve...

We define a two-variant model of product differentiation which, depending on the number of consumersprefering one variant to the other, provides equilibrium prices reflecting the natural valuation of thesevariants by the market....

Real options present a wide topic in investment litterature nowadays. However, despite bigadvances in the single asset investment pricing, the theory is miser of informations aboutproblems involving more than one asset. We show in this paper that using dynamic programming,one can find an...