The investment decisions of energy-intensive consumers can alter the balance of supply and demand in an electricity market. In particular, they can increase the market power of incumbent generators such that prices may increase as a consequence of their investments. Whilst it is therefore...

The classical Luce model (Luce, 1959) assumes positivity of random choice: each available alternative is chosen with strictly positive probability. The model is characterised by Luce's choice axiom. Ahumada and Ülkü (2018) and (independently) Echenique and Saito (2019) define the general Luce...

We extend and refine conditions for 'Luce rationality' (i.e., the existence of a Luce - or logit - model) in the context of stochastic choice. When choice probabilities satisfy positivity, we show that the cyclical independence (CI) condition of Ahumada and Ülkü (2018) and Echenique and Saito...

The purpose of this paper is to examine the asymmetric relationship betweenprice and implied volatility and the associated extreme quantile dependence usinglinear and non linear quantile regression approach. Our goal in this paper is todemonstrate that the relationship between the volatility and...