Ανάρτηση Ερευνητικών Δοκιμίων no 17/24, no 18/24 & no 19/24
των Στέλιου Αρβανίτη και Αντωνίου Ντέμου
Περίληψη
The theory of the indirect inference estimation of a conditionally Gaussian asymmetric SV in mean model via the auxiliary use of Gaussian QML estimators based on misspecified volatility filters is investigated. A general assumption framework is provided and it is proven that the binding function between the associated models-the DGP and the one that the filter is based upon-is a well defined injection. The derivation of this new result is based on arguments related to ergodic optimization. The framework allows then for the establishment of a strong consistency property for the indirect inference estimator based on the uniform pseudo-consistency of the auxiliary one, and the derivation of a Gaussian limit theory with standard rates. A consistent estimator of the limiting variance is also discussed that allows for inference. A Monte Carlo simulation and an application on financial data, employing competing EGARCH and GQARCH type filters provided with some initial indication that favors the model defined by a recursion that ”bears stronger resemblance” to the SV volatility recursion.
Ο Στέλιος Αρβανίτης είναι Καθηγητής του τμήματος Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών και ο Αντώνιος Ντέμος είναι Καθηγητής του τμήματος Διεθνών και Ευρωπαϊκών Οικονομικών Σπουδών του Οικονομικού Πανεπιστημίου Αθηνών.
των Miroslav Gabrovski, Ioannis Kospentaris and Victor Ortego-Marti
Περίληψη
This paper develops a housing search model to analyze the role of realtors in facilitating transactions and shaping housing market liquidity. Motivated by the recent landmark settlement between the National Association of Realtors and home sellers’ associations, we contrast two market structures: a directed search equilibrium, where sellers post prices and fees, and a random search equilibrium, where matched agents bargain the terms of trade bilaterally. A comparison between the two models suggests that the settlement may have unintended consequences that lower buyers’ welfare: random search features 2.5% higher prices, 17% lower sales, and 23% fewer buyers entering the market than the directed search equilibrium. Our results highlight the importance of explicitly considering realtor entry and market liquidity for a comprehensive evaluation of housing market reforms.
O Miroslav Gabrovski είναι Associate Professor at the Department of Economics, University of Hawaii Manoa, ο Ιωάννης Κοσπεντάρης είναι Επίκουρος Καθηγητής του τμήματος Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών και ο Victor Ortego-Marti είναι Associate Professor of Economics (with tenure), University of California Riverside.
των Στέλιου Αρβανίτη, Παντελή Αργυρόπουλου και Σπυρίδωνος Βασιλάκη
Περίληψη
This note employs a functorial Banach-type fixed point theorem to construct Universal Choice Spaces in decision problems within the framework of expected utility, where ambiguity over preferences might exist. This process generates an infinite sequence of optimal selection problems involving probability measures on utility sets. Each solution at a given stage addresses the preference ambiguity from the previous stage, enabling optimal choices at that level. The Universal Choice Space is characterized as a collection of finite-dimensional vectors of probability distributions, with the mth component being an arbitrary probability measure relevant to the mth stage of the problem. The space is derived as the canonical f ixed point of a suitable endofunctor on an enriched category and simultaneously as the colimit of the sequence of iterations of this functor, starting from a suitable object.
O Στέλιος Αρβανίτης είναι Καθηγητής του τμήματος Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών, o Παντελής Αργυρόπουλος είναι κάτοχος MSc στην Οικονομική Θεωρία και ο Σπυρίδων Βασιλάκης είναι Καθηγητής του τμήματος Διεθνών και Ευρωπαϊκών Οικονομικών Σπουδών του Οικονομικού Πανεπιστημίου Αθηνών.
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