Attribution models and the Cooperative Game Theory
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Akio Matsumoto & Ferenc Szidarovszky, 2016. "Game Theory and Its Applications," Springer Books, Springer, edition 1, number 978-4-431-54786-0, June.
- Berry, Steven & Levinsohn, James & Pakes, Ariel, 1995.
"Automobile Prices in Market Equilibrium,"
Econometrica, Econometric Society, vol. 63(4), pages 841-890, July.
- Steven Berry & James Levinsohn & Ariel Pakes, 1993. "Automobile Prices in Market Equilibrium: Part I and II," NBER Working Papers 4264, National Bureau of Economic Research, Inc.
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Elisenda Molina & Juan Tejada & Tom Weiss, 2020. "Some game theoretic marketing attribution models," Papers 2012.00812, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Shively, Gerald E., 2001. "Price thresholds, price volatility, and the private costs of investment in a developing country grain market," Economic Modelling, Elsevier, vol. 18(3), pages 399-414, August.
- Altaf Muhammad & Zhang Shuguang, 2015. "Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets," Romanian Statistical Review, Romanian Statistical Review, vol. 63(1), pages 57-70, March.
- Dinghai Xu & Tony S. Wirjanto, 2008. "An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility," Working Papers 08008, University of Waterloo, Department of Economics.
- Sabbaghi, Omid & Sabbaghi, Navid, 2011. "Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 399-407.
- Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005.
"Mean and variance causality between the Cyprus Stock Exchange and major equity markets,"
Working Papers
0501, University of Crete, Department of Economics.
- Georgios Kouretas & Eleni Constantinou & Robert Georgiades & Avo Kazandjian, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Money Macro and Finance (MMF) Research Group Conference 2005 24, Money Macro and Finance Research Group.
- Buccheri, Giuseppe & Corsi, Fulvio & Flandoli, Franco & Livieri, Giulia, 2021. "The continuous-time limit of score-driven volatility models," Journal of Econometrics, Elsevier, vol. 221(2), pages 655-675.
- Burda Martin & Bélisle Louis, 2019. "Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo," Dependence Modeling, De Gruyter, vol. 7(1), pages 133-149, January.
- Massimiliano Marzo & Paolo Zagaglia, 2010.
"Volatility forecasting for crude oil futures,"
Applied Economics Letters, Taylor & Francis Journals, vol. 17(16), pages 1587-1599.
- Marzo, Massimiliano & Zagaglia, Paolo, 2007. "Volatility forecasting for crude oil futures," Research Papers in Economics 2007:9, Stockholm University, Department of Economics.
- A. Corcos & J-P Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2002.
"Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos,"
Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 264-281.
- A. Corcos & J. -P. Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2001. "Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos," Papers cond-mat/0109410, arXiv.org.
- Anne Corcos & Jean-Pierre Eckmann & A. Malaspinas & Yannick Malevergne & Didier Sornette, 2002. "Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos," Post-Print hal-03833822, HAL.
- Anne Corcos & J.P. Eckmann & A. Malaspinas & Yannick Malevergne & Didier Sornette, 2002. "Imitation and contrarian behavior : hyperbolic bubbles, crashes and chaos," Post-Print hal-02312891, HAL.
- Brooks, Robert D. & Davidson, Sinclair & Faff, Robert W., 1997.
"An examination of the effects of major political change on stock market volatility: the South African experience,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 255-275, October.
- Brooks, R & Davidson, S & Faff, R, 1997. "An Examination of the Effects of Major Political Change on Stock Market Volatility : The South African Experience," Papers 97-4, Melbourne - Centre in Finance.
- Lars Stentoft, 2008.
"American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 540-582, Fall.
- Lars Stentoft, 2008. "American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution," CREATES Research Papers 2008-41, Department of Economics and Business Economics, Aarhus University.
- Noori, Mohammad & Hitaj, Asmerilda, 2023. "Dissecting hedge funds' strategies," International Review of Financial Analysis, Elsevier, vol. 85(C).
- Takaishi, Tetsuya, 2017. "Rational GARCH model: An empirical test for stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 451-460.
- Gary Robinson, 1993. "The Effect of Futures Trading on Cash Market Volatility: Evidence from the London Stock Exchange," Bank of England working papers 19, Bank of England.
- Ñíguez, Trino-Manuel & Perote, Javier, 2017. "Moments expansion densities for quantifying financial risk," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 53-69.
- Kai Yang & Qingqing Zhang & Xinyang Yu & Xiaogang Dong, 2023. "Bayesian inference for a mixture double autoregressive model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(2), pages 188-207, May.
- Donald Lien & Y. K. Tse & Albert Tsui, 2002. "Evaluating the hedging performance of the constant-correlation GARCH model," Applied Financial Economics, Taylor & Francis Journals, vol. 12(11), pages 791-798.
- Vafiadis Nikolaos, 2015. "Forecasting Volatility and the Risk–Return Tradeoff: An Application on the Fama–French Benchmark Market Return," Journal of Time Series Econometrics, De Gruyter, vol. 7(2), pages 181-216, July.
- Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
- Michael Pitt & Sheheryar Malik & Arnaud Doucet, 2014. "Simulated likelihood inference for stochastic volatility models using continuous particle filtering," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(3), pages 527-552, June.
More about this item
Keywords
Jocs cooperatius; 33 - Economia;NEP fields
This paper has been announced in the following NEP Reports:- NEP-GTH-2017-07-30 (Game Theory)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:urv:wpaper:2072/290758. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ariadna Casals (email available below). General contact details of provider: https://edirc.repec.org/data/deurves.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.