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Displaying results 1 to 3 of 3.

  1. Vom Sinn des Fremdseins. Migration und Identität
    Author: Thomas, Philipp
    Published: 2015
    Publisher:  Universitätsbibliothek Tübingen, Tübingen

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  2. Costless delay in negotiations
    Author: Herings, Peter Jean-Jacques; Houba, Harold
    Published: 2015
    Publisher:  Tinbergen Inst., Rotterdam [u.a.]

    We study strategic negotiation models featuring costless delay, general recognition procedures, endogenous voting orders, and finite sets of alternatives. Two examples show: 1. non-existence of stationary subgame-perfect equilibrium (SSPE). 2. the... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432 (2015,10)
    Inter-library loan:
    No inter-library loan

     

    We study strategic negotiation models featuring costless delay, general recognition procedures, endogenous voting orders, and finite sets of alternatives. Two examples show: 1. non-existence of stationary subgame-perfect equilibrium (SSPE). 2. the recursive equations and optimality conditions are necessary for SSPE but insufficient because these equations can be singular. Strategy profiles excluding perpetual disagreement guarantee non-singularity. The necessary and sufficient conditions for existence of stationary best responses additionally require either an equalizing condition or a minimality condition. Quasi SSPE only satisfy the recursive equations and optimality conditions. These always exist and are SSPE if either all equalizing conditions or all minimality conditions hold.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/107886
    Series: Array ; 2015-010
    Subjects: bargaining; existence; one-stage-deviation principle; dynamic programming; recursive equations; Markov Decision Theory
    Scope: Online-Ressource (41 S.)
  3. On the invertibility of EGARCH(p,q)
    Author: Martinet, Guillaume Gaetan; McAleer, Michael
    Published: 2015
    Publisher:  Tinbergen Inst., Rotterdam [u.a.]

    Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432 (2015,22)
    Inter-library loan:
    No inter-library loan

     

    Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable conditions, such as EGARCH(1,0) or EGARCH(1,1), and possibly only under simulation. A limitation in the development of asymptotic properties of the QMLE for the EGARCH(p,q) model is the lack of an invertibility condition for the returns shocks underlying the model. It is shown in this paper that the EGARCH(p,q) model can be derived from a stochastic process, for which the invertibility conditions can be stated simply and explicitly. This will be useful in re-interpreting the existing properties of the QMLE of the EGARCH(p,q) parameters.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/107889
    Edition: Revised version: February 2015
    Series: Array ; 2015-022
    Subjects: ARCH-Modell; Schätzung; Kapitalmarktrendite; Börsenkurs; Volatilität; Stochastischer Prozess; leverage; asymmetry; existence; stochastic process; asymptotic properties; invertibility
    Scope: Online-Ressource (46 S.), graph. Darst.