In the empirical analysis of financial time series, multivariate GARCH models have been used in various forms. In most cases it is not well understood how the use of a restricted model has to be paid with loss of valuable information. We investigate the structural implications of two alternative...

We propose a structural econometric evaluation for auctions with discrete increments. Although very common in practice, this kind of mechanism raises many theoretical difficulties. First, there are no closed form equilibriumstrategies. Thus the econometrician cannot rely on a single formula to...

We study an endogenous business cycle model with Cournotian monopolistic competition and an endogenous number of firms in each sector. Our model is a simple general equilibrium macroeconomic model introducing overlapping generations both of consumers and firms. Firms strategically decide on...

In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the New York...

Williamson (1979) claims that in a buyer-seller relationship with observable but unverifiable investments and state of nature, the hold up of future benefits leads to underinvestment. Aghion, Dewatripont and Rey (1994) resolve it provided that the initial contract can specify a default option...

The paper proposes an original class of conditionally heteroskedastic models aimed to capture a new concept of asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also, positive and negative changes are governed by different...

This paper presents a simple two-country model with mobile capital and immobile labour, in which there are two classes of individuals, the workers and the capital owners. A source-based tax on capital income is used to finance transfers to workers. If the two countries are homogeneous in all...

In this paper we prove that for generic (non cooperative) voting games under plurality rule an equilibrium that induces a mixed distribution over the outcomes (i.e. with two or more candidates elected with positive probability) is isolated. From that we deduce also that the set of equilibrium...

Using density forecasts, we compare the predictive performance of dur ation models that have been developed fo modelling intra-day data on stock markets. Our model portfolio encompasses the auto regressive conditional duration (ACD) model, its logarithmic version (Log-ACD), the threshold...

An extremely simple proof of the K-K-M-S Theorem is given involving only Brouwer's fixed point theorem and some elementary calculus.