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Uncertain Information Structures and Backward Induction
(Departamento de Fundamentos del Análisis Económico I, UPV/EHU, 2014-03-25)
In everyday economic interactions, it is not clear whether sequential choices are visible
or not to other participants: agents might be deluded about opponents'capacity to acquire,interpret or keep track of data, or might ...
Autorregresive conditional volatility, skewness and kurtosis
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which ...
Semiparametric estimation in perturbed long memory series
(2005-05)
The estimation of the memory parameter in perturbed long memory series has recently attracted attention motivated especially by the strong persistence of the volatility in many financial and economic time series and the ...
Bayesian learning in mis-specified models
(2000-02)
A central unanswered question in economic theory is that of price formation in disequilibrium. This paper lays down the methodological groundwork for a model that has been suggested as an answer to this question (Arrow, ...
La Educación Ocupacional y la Salida del Paro en España
(1999-10)
[EN] This paper considers the estimation of the effect of vocational education on the probability of employment using Spanish data from the linked Active Population Survey (EPA) since 1992 to 1997. After allowing for ...
Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models
(2002-04)
This paper considers the persistence found in the volatility of many financial time series by means of a local Long Memory in Stochastic Volatility model and analyzes the performance of the Gaussian semiparametric or local ...
Long-Term Growth and Persistence with Endogenous Depreciation: Theory and Evidence
(Departamento de Fundamentos dle Análisis Económico I, 2013)
Previous research has shown a strong positive correlation between short-term
persistence and long-term output growth as well as between depreciation rates
and long-term output growth. This evidence, therefore, contradicts ...
Forward-looking Pairwise Stability in Networks with Externalities
(2013)
We consider cooperation situations where players have network relations. Networks evolve according to a stationary transition probability matrix and at each moment in time players receive payoffs from a stationary allocation ...
A monotonic core concept for convex games: The SD-prenucleolus
(Departamento de Fundamentos dle Análisis Económico I, 2013-02-26)
We prove that the SD-prenucleolus satisfies monotonicity in the class of convex games. The SD-prenucleolus is thus the only known continuous core concept that satisfies monotonicity for convex games. We also prove that for ...
Egalitarian distributions in coalitional models: The Lorenz criterion
(2003-01)
The paper presents a framework where the most important single-valued solutions in the literature of TU games are jointly analyzed. The paper also suggests that similar frameworks may be useful for other coalitional models.