We systematically study pairwise counter-monotonicity, an extremal notion of negative dependence. A stochastic representation and invariance property are established for this dependence structure. show that counter-monotonicity implies association, it is equivalent to joint mix if both possible the same marginal distributions. find intimate connection between risk sharing problems quantile agen...

The concept of path dependence refers to a property of contingent, non-reversible dynamical processes, including a wide array of biological and social processes that can properly be described as ‘evolutionary’. To dispel existing confusions in the literature, and clarify the meaning and significance of path dependence for economists, the paper formulates definitions that relate the phenomenon t...

Conditions under which a naive algebraic solution to a random affine stochastic equation yields a genuine stochastic solution with a given independence property are derived. The well-known example by Letac is characterized and generalized to a non-trivial dependence structure. As by-products, a series representation of the exact probability density of a sum of independent gamma random variables...

The term path dependence (PD) here refers to a dynamic property of allocative processes, pertaining to non-ergodic stochastic systems -those whose asymptotic distributions evolve as a function of the history of the process itself. PD is shown to be neither necessary nor sufficient for the existence of ‘market failure’, although the two properties may arise from common structural features. A var...

We examine the auto-dependence structure of strictly stationary solutions of linear stochastic recurrence equations and of strictly stationary GARCH(1, 1) processes from the point of view of ordinary and generalized tail dependence coefficients. Since such processes can easily be of infinite variance, a substitute for the usual auto-correlation function is needed. Mathematics Subject Classifica...