In this paper we exploit global analysis to explore welfare properties of a standard one-commodity GEI, under different notions of constrained Pareto optimality. In a unifying framework we revise and extend some of the leading results of the literature on incomplete markets and government...

In an economy with a non-atomic measure space of assets and exchangeable risks, the Arbitrage pricing Theory (APT) holds exactly; and factors are structurally specified, which allows for an economic interpretation.

We consider the effect of asymmetric information on price formation process in a financial market where private information is held by a market maker. A Byesian game is proposed in which there is price competition between two market makers with two different information partition.

This paper proposes a class of asymmetric Autoregressive Conditional Duration models, which extends the ACD model of Engle and Russell (1997). The asymmetry consists of letting the duration process depend on the state of the price process in the beginning and at the end of the each duration. If...

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...

In this paper, we focus on the trade and quote data for the IBM stock traded at the NYSE. We present two different framworks for analyzing this dataset. First, using regularly sampled observations, we characterize the intraday volatility of the mid-point of the bid-ask quotes by estimating GARCH...

We show in this paper how, in a model of assets exchange in complete competitive markets, heterogeneity of the agent's subjective probabilities generates aggregate expenditures for Arrow-Debreu securities that have the gross substitutability property, with the consequences that competitive...

This paper introduces the logarithmic autoregressive conditional duration model (log-ACD model). The logarithmic version allows for more flexibilitythan the ACD model of Engel and Russel (1995), when additional variables are included in the model. We apply the log-ACD model to bid/ask prices...

A new model for the analysis of durations, the stochastic conditional dusration (SCD) model is introduced. This model is based on the assumption that the durations are generated by a latent stochastic factor that follows a first order autoregressive process. The lattent factor is perturbed...

This paper has described two broad systems of corporate governance existing in Continental Europe and in the UK.