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Modelling structural changes in the volatility process

Author

Listed:
  • Tibor Neugebauer

    () (Luxembourg School of Finance, University of Luxembourg)

  • Juan A. Lacomba

    (University of Granada, Department of Economics)

  • Francisco Lagos

    (University of Granada, Department of Economics)

Abstract

The tension between cooperation and competition that characterizes many business " relationships is experimentally studied in a “pie”-creation game; value is created and" increased through cooperation in a repeated prisoner’s dilemma game. At the end, the player with the greater stake in the joint pie decides on the division of the pie. Three treatments of the pie-creation game are considered: in the first treatment, rivals create " the pie; in the second, non-rivals create the pie; finally, in the third, the pie is created by" subjects who do not know about the future pie-division. The data show that the competition for the right to split the pie biases behaviors towards defection when subjects play with their rival.

Suggested Citation

  • Tibor Neugebauer & Juan A. Lacomba & Francisco Lagos, 2010. "Modelling structural changes in the volatility process," LSF Research Working Paper Series 10-07, Luxembourg School of Finance, University of Luxembourg.
  • Handle: RePEc:crf:wpaper:10-07
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    File URL: http://www.lsf.lu/eng/content/download/1794/8942/file/10-07.pdf
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    References listed on IDEAS

    as
    1. Cooper, Russell & DeJong, Douglas V. & Forsythe, Robert & Ross, Thomas W., 1996. "Cooperation without Reputation: Experimental Evidence from Prisoner's Dilemma Games," Games and Economic Behavior, Elsevier, vol. 12(2), pages 187-218, February.
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    Keywords

    Competition; cooperation; co-opetition; ambiguously repeated prisoner’s dilemma; experimental economics.;

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