The main objective of this paper is to test whether the risk-neutral densities (RNDs) implied in the prices of the future options contract on the Spanish IBEX 35 index accurately predict the distribution of future outcomes ...

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied ...

We examine competition in Mobile Internet services, when operators bargain over the coverage sharing and their reciprocal roaming charge. Results show that in equilibrium operators cover the overall territory entirely and ...

Potential efficiency gains due to a merger can be used by competition authorities to judge upon proposed mergers. In a world where agents’ efforts, observable or unobservable, affect the success of a production cost reducing ...

In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure ...

This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result ...

We evaluate the management of the Northern Stock of Hake during 1986-2001. A stochastic bioeconomic model is calibrated to match the main features of this fishing ground. We show how catches, biomass stock and profits ...

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 ...

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 ...

We analyze an overlapping generations model in which pollution arises, in an accumulatively way, from production. Householders do not care directly about the environment, but pollution leads them to incur health costs when ...