Similar Search Results

GHOSAL, Sayantan; POLEMARCHAKIS, Heracles - Center for Operations Research and Econometrics (CORE), … - 1994

A social state is irreducible if, and only if for any non-trivial partition of individuals with two groups, there exists another feasible social state at which every individual in the first group is equally well-off and someone strictly better-off. Competitive equilibria decentralize irreducible...

Persistent link: https://www.econbiz.de/10005008227

The Nature of Two-Direction Intergenerational Transfers of Money and Time : An Empirical Analysis

IOANNIDES, Yannis; KAN, Kamhon - Center for Operations Research and Econometrics (CORE), … - 1994

between parents and adult children. We use an analytical model that incorporates altruistic and exchange behavior to describe … existence of altruism and exchange between two successive generations. The empirical findings support the notion that … intergenerational transfers are motivated by altruism. They do not support the presence of an exchange motive. …

Persistent link: https://www.econbiz.de/10005065299

Bid-Ask Price Competition with Asymmetric Information Between Market Makers.

Calcagno, R.; Lovo, S.M. - Center for Operations Research and Econometrics (CORE), … - 1998

We consider the effect of asymmetric information on price formation process in a financial market where private information is held by a market maker. A Byesian game is proposed in which there is price competition between two market makers with two different information partition.

Persistent link: https://www.econbiz.de/10005779489

Asymmetric ACD Models: Introducing Price Information in ACD Models with a Two State Transition Model.

BAUWENS, L.; GIOT, P. - Center for Operations Research and Econometrics (CORE), … - 1998

specialist for the IBM stock on the New York Stock Exchange. The empirical evidence in favour of asymmetry is compelling. …

Persistent link: https://www.econbiz.de/10005779511

Pareto Improving Price Regulation when the Asset Market is Incomplete.

Herings, J.-J.; Polemarchakis, H. - Center for Operations Research and Econometrics (CORE), … - 1998

The asset market is incomplete. Fix-price equilibria exist. Price regulation Pareto improves on a competitive allocation. Prices in competitive markets may fail to attain equilibrium. The theory of general competitive equilibrium does not account for the adjustment of prices; empirical evidence...

Persistent link: https://www.econbiz.de/10005478944

Time Transformations, Intraday Data and Volatility Models.

Giot, P. - Center for Operations Research and Econometrics (CORE), … - 1999

In this paper, we focus on the trade and quote data for the IBM stock traded at the NYSE. We present two different framworks for analyzing this dataset. First, using regularly sampled observations, we characterize the intraday volatility of the mid-point of the bid-ask quotes by estimating GARCH...

Persistent link: https://www.econbiz.de/10005207636

Equilibrium with Incomplete Financial Markets: Uniqueness of Equilibrium Expectations and Real Interminacy.

Pietra, T.; Siconolfi, P. - Center for Operations Research and Econometrics (CORE), … - 1993

Persistent link: https://www.econbiz.de/10005207638

Generic Existence of Competitive Equilibria when the Asset Market in Incomplete: A Symmetric Argument.

Polemarchakis, H.M.; Siconolfi, P. - Center for Operations Research and Econometrics (CORE), … - 1993

Persistent link: https://www.econbiz.de/10005633983

Constrained Suboptimality and Financial Innovation in GEI with a Single Commodity.

Tirelli, M. - Center for Operations Research and Econometrics (CORE), … - 2000

In this paper we exploit global analysis to explore welfare properties of a standard one-commodity GEI, under different notions of constrained Pareto optimality. In a unifying framework we revise and extend some of the leading results of the literature on incomplete markets and government...

Persistent link: https://www.econbiz.de/10005633993

A Censored-Garch Model of Asset Returns with Price Limits.

Wei, S.X. - Center for Operations Research and Econometrics (CORE), … - 1998

As one important form of market circuit breakers, price limits have been often imposed in stock and future mnarkets. This paper considers modelling the return process of such assets, focusing on the treatment of price limits. As a result, a censored-GARCH model is formulated and a Bayesian...

Persistent link: https://www.econbiz.de/10005634068