School of Economics: Recent submissions
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Modelling asset correlations: A nonparametric approach
Published 2011-01-01This article proposes a time-varying nonparametric estimator and a time-varying semiparametric estimator of the correlation matrix. We discuss representation, estimation based on kernel smoothing and inference. An extensive ...Open AccessWorking Paper -
When Second Opinions Hurt: A Model of Expert Advice under Career Concerns
Published 2010-12-01We augment the standard career concerns model by introducing (i) an action that blocks the information about the true state of the world and (ii) the possibility that the principal might reverse her initial action after ...Open AccessWorking Paper -
Internet Auctions with a Temporary Buyout Option
Published 2010-12-01We model an Internet auction with a temporary buyout option. Our main result shows that under certain parameter values, there exist two types of equilibria where offering a temporary buyout option with an appropriate reserve ...Open AccessWorking Paper -
Inventory Mistakes and the Great Moderation
Published 2009-11-01Why did the volatility of U.S. real GDP decline by more than the volatility of final sales with the Great Moderation in the mid-1980s? One possible explanation is that firms shifted their inventory behaviour towards a ...Open AccessWorking Paper -
Learning and the Great Moderation
Published 2009-02-01We study a stylized theory of the volatility reduction in the U.S. after 1984—the Great Moderation—which attributes part of the stabilization to less volatile shocks and another part to more difficult inference on the part ...Open AccessWorking Paper