Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society
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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Volume 25, Issue 1 (March 2014)




Cover pages
Abstract | PDF (800 kilobytes)

No abstract is available for this article.


On the Optimal Allocation of Prizes in Contests, Pages 1–12

Kiho Yoon

Abstract | PDF (122 kilobytes)

We characterize the optimal structure of prizes in contests, when the contest designer is interested in the maximization of either the expected total effort or the expected highest effort. The all-pay auction framework in the present paper makes it possible to derive most of the results in Moldovanu and Sela's (2001, American Economic Review, 542-558; 2006, Journal of Economic Theory, 70-96) incomplete-information model of contests in a particularly simple fashion, as well as to obtain new results.


Complexity and Markov Behavior in Bargaining with Investments, Pages 13–26

Jihong Lee

Abstract | PDF (132 kilobytes)

This paper invokes complexity considerations to justify Markov behavior in a non-stationary bargaining model of Che and Sakovics (2004) in which the surplus depends on the players' relationship-specific investments. Using the notion of state complexity and the machine game analysis developed by Lee and Sabourian (2007), it is shown that if the players have lexicographic complexity-averse preferences then every Nash equilibrium of the game must be Markov.


Nonparametric Estimation of Periodicity of Power Volatility and Discontinuous Daily Jump and Intraday Jump, Pages 27–57

Chae-Deug Yi

Abstract | PDF (1152 kilobytes)

This paper uses a new nonparametric realized volatility model by summing intraday squared returns to explain the discrete jumps and then estimates whether the jumps are significant or not according to derived jump statistics. In particular, this paper includes the periodicity filters of volatility and then analyzes and compares the recent realized discrete jump volatility of US SPC500 returns using the ultra-high frequency five minute returns spanning the period from January 2000 through September 2010 during which volatility was extremely large after year 2009.

In the application to the US SPC500 stock price, the empirical estimates show that when we do not include the periodicity filters of volatility such as MAD, Short Half Scale and WSD using ROWV and ROWQ, the five minute returns have the jump probability that there is at least one significant jump per two or three days. When we consider the periodicity filters of volatility, the five minute returns of US SPC500 stock have a little bit smaller jump probabilities. When we include Max outlyingness in the jumps but do not include the filters such as MAD, Short Half Scale and WSD, the five minute returns of US SPC500 stock have the discrete jumps in five or six days. But when we include the volatility filters such as MAD, Short Half Scale and WSD they have the discrete jumps in nine or ten days during this the period from January 2000 through September 2010.


On the Spectral Degeneracy of Wavelet Transforms of Fractional Brownian Motion, Pages 58–66

Jin Lee

Abstract | PDF (108 kilobytes)

Existence of spectral density of wavelet transform in the case of fractional Brownian motion is proved by Kato and Masry (1999). Given their results, we provide supplementary results on spectral behavior at the
zero frequency. It is found that the spectral density at the zero frequency, determined by the memory parameter and the number of vanishing moments of the wavelets, generates possible degeneracy. Our results can be understood as spectral version of decorrelation properties of wavelet transforms.

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