We show by means of a laboratory experiment that the relaxation of short--selling constraints causes the price of both an overvalued and an undervalued asset to decrease. Hence, the aggregation of information by the market price becomes better in case the asset is overvalued but worse if the...

Two types of transitions can be found in the Markovian Arrival process or MAP: with and without arrivals. In transient transitions the chain jumps from one state to another with no arrival; in effective transitions, a single arrival occurs. We assume that in practice, only arrival times are...

It is fairly common to find medical examples with survival data with unequal sample size among the groups. There are several tests for those cases, but in practice, the use of one test instead of another is done without justifying the election. Sometimes, the choice of one test or another can...

In the present paper, we study both the approximation of a continuous-time model by a sequence of discrete-time price models driven by semimargingales with credit risk, and the convergence of these price processes (in terms of the triplets) under a framework that allows the practitioner a...

A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive process, and an approach to price corporate bonds in incomplete markets, is presented in this paper. We derive the no-arbitrage conditions under different conditions of recovery, and we obtain new...

In this article we describe a method for carrying out Bayesian inference for the double Pareto lognormal (dPlN) distribution which has recently been proposed as a model for heavy-tailed phenomena. We apply our approach to inference for the dPlN/M/1 and M/dPlN/1 queueing systems. These systems...

This paper evaluates different strategies to forecast Spanish inflation using information of price series for 57 products and 18 regions in Spain. We consider vector equilibrium correction (VeqC) models that include cointegration relationships between Spanish prices and prices in the regions of...

Year-ahead forecasting of electricity prices is an important issue in the current context of electricity markets. Nevertheless, only one-day-ahead forecasting is commonly tackled up in previous published works. Moreover, methodology developed for the short-term does not work properly for...

The model of league conduct formulated by Ferguson, Jones, and Stewart (2000) contains an algebraic error. This note provides the relevant correction and shows that the empirical results given in their article are robust to it.

We analyze the finite sample properties of maximum likelihood estimators for dynamic panel data models. In particular, we consider Transformed Maximum Likelihood (TML) and Random effects Maximum Likelihood (RML) estimation. We show that TML and RML estimators are solutions to a cubic first-order...