We investigate a nonatomic game (NG) on top of whose more or less conventional setups there is also a random state of the world. Every player receives only a signal of the state's realization upon which her decision is based. The state of the world, her own action, and the external environment...

We study discrete-time dynamic games with effectively identical players who possess private states that evolve randomly. Players in these games are concerned with their undiscounted sums of period-wise payoffs in the finite-horizon case and discounted sums of stationary period-wise payoffs in...

We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on return-distribution vectors, essentially mappings from states of the world to distributions of...

We study a non-traditional cooperative game where returns from coalitions are nondeterministic. The long-standing concept of core can be generalized to reflect players' contentment with their allocations. It is now imperative to formalize the restrictions, such as those pertaining to...

"We investigate the international transmission of inflation among G-7 countries using a data-determined vector autoregression analysis, as advocated by Swanson and Granger (1997). Over the period 1973 to 2003, we find that U.S. innovations have a large effect on inflation in the other countries,...

We examine the price discovery performance of China’s crude oil futures traded on the Shanghai International Energy Exchange (INE) for the spot prices of 19 types of deliverable and non-deliverable Asian crude oil. We find evidence for the INE crude oil futures price discovery function even at...

We apply a new model selection approach that allows for the joint determination of structural breaks and cointegration to examine the term structure of Chinese Renminbi (RMB)-U.S. dollar spot and forward exchange rates during the managed-floating period of 2005-2013. We find that the RMB market...

This study investigates the impact of the bank-firm relationship on IPO underpricing in China, an emerging economy with a bank-dominated financial system. With loan data from 902 IPO firms from 2004 to 2011, we document that the bank-firm relationship reduces the degree of IPO underpricing. Both...

We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and...