Contracts between multiple business parties play an important role in a global economy where activities along the value chain are executed by independent, co-operating organizations. Information technology to enact a value chain is now being deployed in the form of ERP systems and service...

Organizations in the new millennium face relentless pressure to perform better, faster and cheaper, while maintaining high level of guaranteed results. To remain competitive, enterprises have to integrate their business processes with those of their customers, suppliers and business partners....

An agent-based e-commerce environment is regarded as one of the most suitable open environments for electronic marketplaces. Because of agent?s autonomous, reactive and proactive features, agents can, on the one hand, act on behalf of their owner, and use individual strategies to increase the...

The idea that integrates parts of this dissertation is that high-frequency data allow for more precise and robust methods for forecasting financial volatility and elucidating the role of volatility in forming asset prices. Thus, the first two chapters compare the performance of model-free...

This dissertation consists of three related chapters that study financial market volatility,jumps and the economic factors behind them. Each of the chapters analyzes adifferent aspect of this problem.The first chapter examines tests for jumps based on recent asymptotic results.Monte Carlo...

Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in Engle (1982), numerous applications of this modeling strategy have already appeared. A common finding in many of these studies with high frequency financial or monetary data concerns the presence of an...

We develop an empirically highly accurate discrete-time daily stochastic volatility model that explicitly distinguishes between the jump and continuous-time components of price movements using nonparametric realized variation and Bipower variation measures constructed from high-frequency...