To implement continuous time option pricing models in which ARCH models can be used as direct or indirect approximators of stochastic volatility, we construct continuous time economies exhibiting equilibrium dynamics to which most asymmetric ARCH models converge in distribution as the sample...

While stochastic dominance has been employed in various forms, it has been (since 1969-1970) developed and extensively employed in the area of economics, finance and operations research. In this study the first, second and third order stochastic dominance rules are discussed for ranking...

This paper investigates the relative empirical performance of 3 stories of error' in decision-making experiments - finding that the constant-error-probability story does not fit particularly well, but that the white-noise and stochastic preference stories perform considerably better. The paper...

This paper investigates the relative empirical performance of 3 stories of error' in decision-making experiments - finding that the constant-error-probability story does not fit particularly well, but that the white-noise and stochastic preference stories perform considerably better. The paper...

We have shown that Eaton's (1992) Markov chain is recurrent if and only if its conjugate partner is recurrent. This result may be viewed as an extension od Diebolt and Robert's (1994) Duality Principle. It it interesting from a theoretical standpoint in that Eaton's (1992) results can now be...

The classical definition of GARCH-type processes rely on strong assumptions on the first two conditional moments. The common practice in empirical studies, however, has been to test for GARCH by detecting serial correlations in the squared regression errors. This can be problematic since such...

The fill rate (the proportion of demand that is satisfied from stock) is a viable alternative in inventory models to the hard-to-quantify penalty cost. However, a number of difficulties have impeded its implementation, among them that the existing cycle-based approximate solutions do not reflect...

This paper studies intertemporal pricing policies when selling seasonal products in retail stores. We first present a continuous time model where a seller faces a stochastic arrival of customers with different valuations of the product. For this model, we characterize the optimal pricing...

The article presents a stochastic interaction model based on Gibbs random fields to analyze technological competition in a population of heterogeneous adopters with local or global externalities. The relationships between both heterogeneity and externalities and imperfect and asymmetric...