In this paper we model Value-at-Risk (VaR) for daily stock index returns using a collection of parametric models of the ARCH family based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform with respect to skewed...

We instillate rational cognition and learning in "seemingly riskless" choices and judgments. Preferences and possibilities are given in a stochastic sense and based on revisable expectations. The theory predicts experimental preference reversals and passes a sharp econometric test of the status...

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.

The objective of operations on futures markets may be either hedging or speculation. In this paper, we wish to give a desciption of futures markets with two groups of operators with heterogeneous expectations: hedgers-speculators, and pure speculators. The existence of carry-over costs is taken...

Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the process by which information is incorporated in security prices through the trading process. This paper seeks to learn something about both of these issues by investigating...

Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the process by which information is incorporated in security prices through the trading process. This paper seeks to learn something about both of these issues by investigating...

The paper discusses the concept of "expectational market failures" ; it attempts to assess the scope for Government intervention aiming at stabilizing economic agents' expectations. The Rational Expectations Hypothesis, "evolutive" and "eductive" learning credibility, "indicative Planning",...