Abstract | PDF (135 kilobytes)

No abstract is available for this article.

Abstract | PDF (158 kilobytes)

Employing a differentiated product duopoly model with repeat purchase, this paper examines optimal targeted couponing when consumers have changing preferences and are forward-looking. To find optimal couponing, we consider the following sequential decision of couponing. Firms first decide how many of their own customers they will offer coupons to. Having determined the number of defensive coupons to be offered, firms decide how many of rivals’ customers they will offer coupons to. Focusing on a symmetric equilibrium, we find that the firms can maximize profits by distributing coupons to all of their own customers and only them.

Abstract | PDF (1430 kilobytes)

In recent years, there has been an explosion of research on the volatility of stock returns. As high frequency stock price data became more readily available, there have been many proposed estimators of integrated variance which attempt to take advantage of the informational gains of high-frequency data while minimizing any potential biases that arise from sampling at such a fine scale. These estimators rely on various assumptions about the price process which can make them difficult to compare theoretically. Relying on the methods of Patton (2011a), this paper analyzes the performance of five different classes of integrated variance estimators when applied to various stocks of differing market capitalization in an attempt to discover the circumstances under which one estimator should be chosen over another.

Abstract | PDF (140 kilobytes)

We study long-run comovement of the nonstationary time series variables with a focus on the use of oherency, defined as the long-run dynamic correlation. We pay attention to the effect of specification of trends on the longrun correlations by analyzing the cases that the data are either correctly or incorrectly detrended. Our simulation studies show that when the true process is trend stationary, time-removed long-run correlation estimates perform well, whereas the differenced case fails to generate valid outcomes due to degeneracy of the spectrums at the zero frequency of the series. We also provide empirical applications using unemployment rates of major cities in Korea from 1999 to 2016, and exemplify that false detrending could lead to nocuous outcomes. This work brings attention to correct specification of trends in nonstationary economic data in practice.

Abstract | PDF (175 kilobytes)

This paper examines the role of asymmetry in all-pay auctions. In particular, this paper decomposes a change in players’ valuations into the absolute change and the relative change, and analyzes how these changes affect total expenditures. An increase in the sum of players’ valuations increases total expenditures but an increase in asymmetry among players’ valuations tends to decrease total expenditures under both complete and incomplete information. This paper also studies the optimal all-pay auction design problem.