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We model cartel defection in markets with stochastic demand fluctuations as an investment timing problem. We show that (i) the optimal timing of cartel defection is pro-cyclical, suggesting higher probability of competitive pricing during booms; and (ii) the defection trigger is a positive function of demand variability, and larger than its deterministic demand counterpart, implying that market volatility...
This paper proposes a two-step methodology to decompose the conditional covariance matrix of a system of financial variables for South Africa. This two-step approach allows one to identify the system, and determine the “endogenous” conditional covariance matrix as well as the “exogenous” conditional covariance matrix. The approach utilises two multivariate GARCH models to obtain the results. In the...
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