In spite of vast theoretical developments on the issue of price stickiness in the context of macroeconomic models, papers assessing the empirical validity of such hypothesis using micro-data are scarce. Most of these few ...

It is well known that the probability distribution of stock returns is non-Gaussian. The tails of the distribution are too “fat,” meaning that extreme price movements, such as stock market crashes, occur more often than ...

In this paper we present a macroeconomic foundation of downward money price inflexibility based on classical Monetary Economics. We show that under the principle of risk aversion and the neutral money axiom, our model ...

In this paper we use multivariate affine generalized hyperbolic (MAGH) distributions, introduced by Schmidt et al. (2006), to show how to price multidimensional derivatives when the underlying asset follows a MAGH distribution. ...

An important economic problem is that of finding optimal pricing mechanisms to sell a single item when there are a random number of buyers who arrive over time. In this paper, we combine ideas from auction theory and recent ...

In a Stackelberg network pricing game a leader sets prices for a given subset of edges so as to maximize profit, after which one or multiple followers choose a shortest path. Our main result shows that the profit when ...

This paper provides the first survey of slave prices for Santiago de Chile, c.1773-1822. It also establishes the main determinants of slave prices during this period. We gathered and analysed over 3,800 sale operations. ...

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.