DEP20 - Artículos de revistaDpto. Economía Aplicada - Artículos de revistahttp://uvadoc.uva.es/handle/10324/12622019-10-16T14:07:07Z2019-10-16T14:07:07ZLeverage effect in energy futures revisitedCarnero, María ÁngelesPérez Espartero, Anahttp://uvadoc.uva.es/handle/10324/379502019-09-23T13:01:21Z2018-01-01T00:00:00ZThe objective of this paper is to replicate the results in Kristoufek (2014) on the leverage effect in energy futures and to analyze its robustness to both the methodology and the type of returns used. We first apply correlation-based tools for detecting both conditional heteroscedasticity and leverage effect. Then, we estimate asymmetric and long memory GARCH-type models using the data provided by Kristoufek (2014) by considering different software and the possibility that innovations follow a non-Gaussian distribution. Our findings confirm most of the results in the replicated paper. In particular, we can strongly confirm there is a significant leverage effect in the return series of WTI (West Texas Intermediate) and Brent crude oils. For the heating oil and the natural gas series, the statistical significance of the leverage effect depends on both the methodology and the type of returns used.
2018-01-01T00:00:00ZCollective transitivity in majorities based on difference in supportLlamazares, BonifacioPérez-Asurmendi, PatriziaGarcía-Lapresta, José Luishttp://uvadoc.uva.es/handle/10324/379422019-09-14T10:19:05Z2013-01-01T00:00:00ZA common criticism to simple majority voting rule is the slight support that such rule demands to declare an alternative as a winner. Among the distinct majority rules used for diminishing this handicap, we focus on majorities based on difference in support. With these majorities, voters are allowed to show intensities of preference among alternatives through reciprocal preference relations. These majorities also take into account the difference in support between alternatives in order to select the winner. In this paper we have provided some necessary and sufficient conditions for ensuring transitive collective decisions generated by majorities based on difference in support for all the profiles of individual reciprocal preference relations. These conditions involve both the thresholds of support and some individual rationality assumptions that are related to transitivity in the framework of reciprocal preference relations.
2013-01-01T00:00:00ZPreference Intensities and Majority Decisions Based on Difference of Support Between AlternativesGarcía Lapresta, José LuisLlamazares Rodríguez, Bonifaciohttp://uvadoc.uva.es/handle/10324/379412019-10-09T08:13:34Z2010-01-01T00:00:00ZSimple majority is one of the most used decision rules in practice. However, under this decision rule, an alternative can defeat another one with very poor support. For this reason, other decision rules have been considered in the literature, such as qualified and special majorities as well as other majorities based on difference of votes. In this paper we generalize the latter mentioned voting systems by considering individual intensities of preference, and we provide some axiomatic characterizations.
2010-01-01T00:00:00ZMajority decisions based on difference of votesGarcía-Lapresta, José LuisLlamazares, Bonifaciohttp://uvadoc.uva.es/handle/10324/379402019-09-14T09:48:50Z2001-01-01T00:00:00ZIn this paper a class of voting procedures, located between simple and unanimous majorities, is introduced and characterized. Given two alternatives, the winning alternative is the one with a number of votes exceeding that obtained by the
other in a previously fixed quantity. Moreover, a subclass of these voting procedures has been considered, by demanding additionally a number of votes greater than a
previously fixed threshold. The main results of this paper are characterizations of these voting procedures through aggregation functions of fuzzy preferences associated with quasiarithmetic means and OWA operators.
2001-01-01T00:00:00ZAggregation of fuzzy preferences: Some rules of the meanGarcía-Lapresta, José LuisLlamazares, Bonifaciohttp://uvadoc.uva.es/handle/10324/379392019-09-14T09:20:48Z2000-01-01T00:00:00ZThis paper studies by means of reciprocal fuzzy binary relations the aggregation of preferences when individuals show their preferences gradually. We have characterized neutral aggregation rules through functions from powers of the unit interval in the unit interval. Furthermore, we have determined the neutral aggregation rules that are decomposable and anonymous. In this class of rules, the collective intensity of preference is the arithmetic mean of the values assigned by a function to the individual intensities of preference. We have also considered the neutral aggregation rules based on quasiarithmetic means. We have established that this class of rules generalizes the simple majority, when individuals have ordinary preferences and collective preferences are reciprocal.
2000-01-01T00:00:00ZUsing interval weights in MADM problemsLlamazares, Bonifaciohttp://uvadoc.uva.es/handle/10324/379382019-09-14T08:59:33Z2019-01-01T00:00:00ZThe choice of weights vectors in multiple attribute decision making (MADM) problems has generated an important literature, and a large number of methods have been proposed for this task. In some situations the decision maker (DM) may not be willing or able to provide exact values of the weights, but this difficulty can be avoided by allowing the DM to give some variability in the weights. In this paper we propose a model where the weights are not fixed, but can take any value from certain intervals, so the score of each alternative is the maximum value that the weighted mean can reach when the weights belong to those intervals. We provide a closed-form expression for the scores achieved by the alternatives so that they can be ranked them without solving the proposed model, and apply this new method to an MADM problem taken from the literature.
2019-01-01T00:00:00ZAn analysis of Winsorized weighted meansLlamazares Rodríguez, Bonifaciohttp://uvadoc.uva.es/handle/10324/379372019-10-15T18:45:42Z2019-01-01T00:00:00ZThe Winsorized mean is a well-known robust estimator of the population mean. It can also be seen as a symmetric aggregation function (in fact, it is an ordered weighted averaging operator), which means that the information sources (for instance, criteria or experts’ opinions) have the same importance. However, in many practical applications (for instance, in many multiattribute decision making problems) it is necessary to consider that the information sources have different importance. For this reason, in this paper we propose a natural generalization of the Winsorized means so that the sources of information can be weighted differently. The new functions, which we will call Winsorized weighted means, are a specific case of the Choquet integral and they are analyzed through several indices for which we give closed-form expressions: the orness degree, k-conjunctiveness and k-disjunctiveness indices, veto and favor indices, Shapley values and interaction indices. We also provide a closed-form expression for the Möbius transform and we show how we can aggregate data so that each information source has the desired weighting and outliers have no influence in the aggregated value.
2019-01-01T00:00:00ZOn the Modelling of Price Effects in the Diffusion of Optional Contingent ProductsMartín-Herrán, GuiomarTaboubi, Sihemhttp://uvadoc.uva.es/handle/10324/379352019-09-13T15:27:00Z2019-01-01T00:00:00ZIn this chapter, we study the pricing strategies of firms in a multi-product diffusion
model where we use a new formalization of the price effects. More particularly, we
introduce the impact of prices on one of the factors that affect the diffusion of new
products: the innovation coefficient. By doing so, we relax one of the hypotheses in
the existing literature stating that this rate is constant. In order to assess the impact of
this functional form on the pricing policies of firms selling optional contingent products,
we use our model to study two scenarios already investigated in the multiplicative form
model suggested by Mahajan and Muller (1991) (M&M).
We follow a ‘logical experimentation’ perspective by computing and com-
paring the results of three models: (i) The M&M model, (ii) a modified
version of M&M where the planning horizon is infinite, and (iii) our model,
where the new formalization of the innovation effect is introduced. This
perspective allows us to attribute the differences in results to either the
length of the planning horizon, or to our model’s formalization. Besides its
contribution to the literature on pricing and diffusion, this paper highlights the sensitiv-
ity of results to the hypothesis used in product diffusion modelling and could explain
the mixed results obtained in the empirical validations of diffusion models (Mesak,
1996).
2019-01-01T00:00:00ZNon-linear incentive equilibrium strategies for a transboundary pollution differential gameFrutos de la Torre, Francisco Javier deMartín Herrán, Guiomarhttp://uvadoc.uva.es/handle/10324/379332019-10-16T07:48:18Z2019-01-01T00:00:00ZIn this paper we apply non-linear incentive strategies to sustain over time an agreement. We illustrate the use of these strategies in a linear-quadratic transboundary pollution differential game. The incentive strategies are constructed in such a way that in the long run the pollution stock (the state variable) is close to the steady state of the pollution stock under the cooperative mode of play. The non-linear incentive functions depend on the emission rates (control variables) of both players and on the current value of the pollution stock. The credibility of the incentive equilibrium strategies is analyzed and the performance of open-loop and feedback incentive strategies is compared in their role of helping to sustain an agreement over time. We present numerical experiments to illustrate the results.
2019-01-01T00:00:00ZOffensive and Defensive Marketing in Spatial CompetitionMartín-Herrán, GuiomarSigue, Simon Pierrehttp://uvadoc.uva.es/handle/10324/379272019-09-13T12:33:44Z2019-01-01T00:00:00ZWhile it is well-established that travel costs impact on customer preference toward local service providers, research about how this situation affects competitive marketing strategies remains sparse. This paper investigates, in a local market with two competing service providers, whether service providers should undertake defensive marketing, targeted at the nearest customers who typically prefer their offering for convenience and/or offensive marketing, directed to relatively remote customers who favor the rival as the closest alternative. We find that the service providers can exclusively undertake either defensive marketing or offensive marketing or combine the two in a full differentiated strategy at the equilibrium. We compare the outcomes of these three strategic options to identify the conditions under which they are worth implementing. Main findings suggest that service providers are better off undertaking offensive marketing alone when their rival’s retaliatory offensive capacity is weak and customers incur small travel costs. Otherwise, service providers may exclusively undertake defensive marketing or combine it with offensive marketing when travel costs become significant. Also, service providers should not invest in any marketing activity when they have no market power, like in the case of two adjacent outlets in a mall. Finally, the implications of these findings are discussed.
2019-01-01T00:00:00ZInteraction and imitation in a world of Quixotes and SanchosGarcía González, AnaCabo García, Francisco Joséhttp://uvadoc.uva.es/handle/10324/378802019-09-23T13:04:08Z2019-01-01T00:00:00ZThis paper studies a two-population evolutionary game in a new setting in between a symmetric and an asymmetric evolutionary model. It distinguishes two types of agents: Sanchos, whose payoffs are defined by a prisoner’s dilemma game, and Quixotes, whose payoffs are defined by a snowdrift game. Considering an imitative revision protocol, a revising agent is paired with someone from his own population or the other population. When matched, they observe payoffs, but not identities. Thus, agents in one population interact and imitate agents from their own population and from the other population. In this setting we prove that a unique mixed-strategy asymptotically stable fixed point of the evolutionary dynamics exists. Taking as an example the compliance with social norms, and depending on the parameters, two type of equilibrium are possible, one with full compliance among Quixotes and partial compliance among Sanchos, or another with partial compliance among Quixotes and defection among Sanchos. In the former type, Sanchos comply above their Nash equilibrium (as they imitate compliant Quixotes). In the latter type, Quixotes comply below their Nash equilibrium (as they imitate defecting Sanchos).
2019-01-01T00:00:00ZIncorporating boundary conditions in a stochastic volatility model for the numerical approximation of bond pricesGómez del Valle, LourdesLópez Marcos, Miguel ÁngelMartínez Rodríguez, Juliahttp://uvadoc.uva.es/handle/10324/377912019-09-06T07:46:02Z2019-01-01T00:00:00ZIn this paper, we consider a two-factor interest rate model with stochastic volatil-ity, and we assume that the instantaneous interest rate follows a jump-diffusionprocess. In this kind of problems, a two-dimensional partial integro-differentialequation is derived for the values of zero-coupon bonds. To apply standardnumerical methods to this equation, it is customary to consider a boundeddomain and incorporate suitable boundary conditions. However, for thesetwo-dimensional interest rate models, there are not well-known boundary con-ditions, in general. Here, in order to approximate bond prices, we propose newboundary conditions, which maintain the discount function property of thezero-coupon bond price. Then, we illustrate the numerical approximation ofthe corresponding boundary value problem by means of an alternative directionimplicit method, which has been already applied for pricing options. We testthese boundary conditions with several interest rate pricing models.
2019-01-01T00:00:00ZCharacterization of fuzzy preference structures through Łukasiewicz tripletsLlamazares Rodríguez, Bonifaciohttp://uvadoc.uva.es/handle/10324/362352019-06-19T13:11:17Z2003-01-01T00:00:00ZIn this paper we characterize the reconstruction of a fuzzy set from its subsets by means of Lukasiewicz triplets. This result allows us to introduce a new definition of fuzzy strict preference, which is also satisfied in the crisp framework. The usual definitions of fuzzy indiference and fuzzy incomparability together with this one enable to construct and to characterize fuzzy preference structures from a reflexive fuzzy binary relation.
2003-01-01T00:00:00ZSimple and absolute special majorities generated by OWA operatorsLlamazares Rodríguez, Bonifaciohttp://uvadoc.uva.es/handle/10324/362342019-06-19T13:10:59Z2004-01-01T00:00:00ZSimple and absolute special majorities are decision procedures used very often in real life. However, these rules do not allow individuals to express the intensity with which they prefer some alternatives to others. In order to consider this situation, individual preferences can be represented by fuzzy preferences through values located between 0 and 1. Then the collective preference is obtained by means of aggregation functions. In this paper we use ordered weighted averaging (OWA) operators in order to aggregate individual preferences and we generalize simple and absolute special majorities by means of OWA operators.
2004-01-01T00:00:00ZFactorization of fuzzy preferencesLlamazares Rodríguez, Bonifaciohttp://uvadoc.uva.es/handle/10324/362332019-06-19T13:10:09Z2005-01-01T00:00:00ZIn the ordinary framework, the factorization of a weak preference relation into a strict preference relation and an indifference relation is unique. However, in fuzzy set theory, the intersection and the union of fuzzy sets can be represented different ways. Furthermore, some equivalent properties in the ordinary case have generalizations in the fuzzy framework that may be not equivalent. For these reasons there exist in the literature several factorizations of a fuzzy weak preference relation. In this paper we obtain and characterize different factorizations of fuzzy weak preference relations by means of two courses of action which are equivalent in the ordinary framework: axioms and definitions of strict preference and indifference.
2005-01-01T00:00:00ZThe forgotten decision rules: Majority rules based on difference of votesLlamazares Rodríguez, Bonifaciohttp://uvadoc.uva.es/handle/10324/362322019-06-19T13:09:48Z2006-01-01T00:00:00ZIn this paper we point out some interesting properties of a class of decision rules located between simple and unanimous majorities. These majority rules are based on difference of votes: an alternative wins when the difference between the number of votes obtained by this alternative and that obtained by the other is greater than a previously fixed quantity. We also give some characterizations of these majority rules by means of two properties well known in the literature: cancellation and decisiveness.
2006-01-01T00:00:00Z