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Jaap Abbring (Tilburg University)
Toulouse: TSE, November 8, 2011, 15:30–17:00, room Amphi S
We present a method for efficiently computing the likelihood of a mixed hitting-time model that specifies durations as the first time a latent Lévy process crosses a heterogeneous threshold. This likelihood is not generally known in closed form, but its Laplace transform is. Our approach to its...
Vladimir Vovk (University of London)
Toulouse: TSE, November 8, 2011, 14:00–15:30, room MF 323
Game-theoretic probability is an old alternative to the standard measure-theoretic probability theory. The main difference between the two approaches to probability is that the notion of game-theoretic probability is derivative: it is defined via other more fundamental notions (for example, via the...
Vasiliki Skreta (University of New York)
Toulouse: TSE, November 8, 2011, 11:00–12:30, room Amphi S
Lutz Kilian (University of Michigan)
Toulouse: TSE, November 7, 2011, 17:00–18:30, room Amphi S
We develop a structural model of the global market for crude oil that for the first time explicitly allows for shocks to the speculative demand for oil as well as shocks to flow demand and flow supply. The speculative component of the real price of oil is identified with the help of data on oil...
Claire Chambolle (ALISS, INRA)
Toulouse: TSE, November 7, 2011, 11:00–12:30, room MF 323
This paper analyzes the impact of exclusive dealing contracts between upstream and downstream firms of a vertical channel on the scope for upstream collusion. We consider a double duopoly framework and study upstream collusive strategies in a repeated game, alternatively in the benchmark where...
Didier Henrion (LAAS, Université de Toulouse)
Toulouse: TSE, November 4, 2011, 13:45–15:00, room MS 003
The first part of the talk surveys achievements of the last decade on polynomial optimisation and semidefinite programming (linear matrix inequalities, LMI) with a focus on the generalised problem of moments and existing software tools. The second part of the talk deals with a recent extension of...
Carlos Canon (Toulouse School of Economics)
Toulouse: TSE, November 3, 2011, 12:45–14:00, room MF 323
This paper studies a “market creating” firm (platform) that offers a matching environment by charging an access fee to a population of high and low type users who wish to form a match. We focus on an environment where users only observe a signal of their randomly assigned partner’s type and where...
Francesca Molinari (Cornell University)
Toulouse: TSE, October 25, 2011, 15:30–17:00, room Amphi S
This paper provides inference methods for best linear approximations to functions which are known to lie within a band. It extends the partial identification literature by allowing the upper and lower functions defining the band to be any functions, including ones carrying an index, which can be...
Peter Tankov (Université Paris-Diderot)
Toulouse: TSE, October 21, 2011, 13:45–15:00, room MS003
We shall present some recent results concerning Lévy processes whose Lévy measure has regular variation at zero. Regular variation is a natural condition allowing to obtain a convergence rate in different asymptotic contexts. Two applications shall be presented: high order discretization schemes...
Beatriz Armendariz (Harvard University)
Toulouse: TSE, October 21, 2011, 11:00–12:30, room MF 323
Street children are common in developing countries, notably in sub-Saharan Africa and Latin America. However, their mobility and mistrust has made them a difficult population to study. We are working with a unique dataset that tracks the interaction between 3859 street children and an NGO on the...
