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The Relationship between Risk and Expected Return in Europe
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-01)
We employ MIDAS (Mixed Data Sampling) to study the risk-expected return trade-off in several European stock indices. Using MIDAS, we report that, in most indices, there is a significant and positive relationship between ...
The coincidence of the kernel and nucleolus of a convex game: an alternative proof
(2013)
In 1972, Maschler, Peleg and Shapley proved that in the class of convex the nucleolus and the kernel coincide. The only aim of this note is to provide a shorter, alternative proof of this result.
Majoritarian Contests with Asymmetric Battlefields: An Experiment
(Departamento de Fundamentos del Análisis Económico I, UPV/EHU, 2013-12)
We investigate a version of the classic Colonel Blotto game in which individual battles may have different values. Two players allocate a fixed budget across battlefields and each battlefield is won by the player who ...
Semiparametric inference in correlated long memory signal plus noise models
(2010-04)
This paper proposes an extension of the log periodogram regression in perturbed long memory series that accounts for the added noise, also allowing for correlation between signal and noise, which represents a common situation ...
Doubly fractional models for dynamic heteroskedastic cycles
(2011-02)
Strong persistence is a common phenomenon that has been documented not only in the levels but also in the volatility of many time series. The class of doubly fractional models is extended to include the possibility of long ...
Can the change in the composition of the US GDP explain the Great Moderation? A test via oil price shocks
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2012)
The paper investigates whether the growing GDP share of the services sector can contribute to explain the great moderation in the US. We identify and analyze three oil price shocks and use a SVAR analysis to measure their ...
Approximate knowledge of rationality and correlated equilibria
(Departamento de fundamentos del análisis económico I, 2012-07-16)
We extend Aumann's [3] theorem deriving correlated equilibria as a consequence of common priors and common knowledge of rationality by explicitly allowing for non-rational behavior. We replace the
assumption of common ...
Expected Fair Allocation in Farsighted Network Formation
(2013)
I 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 ...
Coalitional games with veto players: Myopic and farsighted behavior
(Departamento de Fundamentos del Análisis Económico I, 2013-10-10)
This paper studies an allocation procedure for coalitional games with veto players. The procedure is similar to the one presented by
Dagan et al. (1997) for bankruptcy problems. According to it, a player, the proposer, ...
Political Institutions, Technology and Growth: a dynamic panel approach
(Departamento Fundamentos del Ánálisis Económico I UPV/EHU, 2015-10)
This paper investigates whether the effect of political institutions on sectoral economic performance is determined by the level of technological development of industries. Building on previous studies on the linkages among ...