ARMA-GARCH and FIGARCH models with non-normal, tempered-stable innovations are applied to intraday financial time-series on high-frequency time scales. The goal is to investigate their risk forecasting performance and to observe random scaling behavior. To this end, Value-at-Risk (VaR) and...

This paper aims at providing insight into the mechanics of an initial public offering, for both companies prospecting the choice of financing themselves on the market as well as investors looking to build their portfolio. The study shows that for certain applications, getting finance through an...

This paper aims at providing insight into the mechanics of an initial public offering, for both companies prospecting the choice of financing themselves on the market as well as investors looking to build their portfolio. The study shows that for certain applications, getting finance through an...

Inventory management and pricing decisions based on quantitative models both in industrial practice and academic works often rely on minimizing expected cost or maximizing expected revenues or profits, which refers to the concept of risk-neutrality of the decision maker. Although many useful...

Laotian rice producers in upland areas experience highly fluctuating yields and production and producers in wet season rice areas in the southern region face high price risk. This paper examines the exposure to risk of producers in both regions facing changes in water supplies. A supply and...

Este documento presenta una metodología para analizar la sostenibilidad de la deuda pública, que incorpora elementos que permiten cuantificar la incertidumbre del entorno macrofinanciero. El objetivo es identificar los riesgos, no solo bajo supuestos concretos, sino también teniendo en cuenta...

This paper presents a methodology for analysing public debt sustainability that incorporates factors that enable uncertainty in the macro-financial environment to be quantified. The aim is to identify risks, not only under specific assumptions, but also considering a complete characterisation of...

Classical auction theory relies heavily on the assumption of perfectly rational bidders that play according to their Nash Equilibrium Strategies. An alternative model is developed in this Thesis. It develops a framework for analyzing evolutionary learning in repeated auctions - bidders'...