We develop a model of favor exchange in a network setting where the cost of performing favors is stochastic. For any given favor exchange norm, we allow for the endogenous determination of the network structure via a link deletion game. We characterize the set of stable as well as equilibrium...

The aim of this paper is to find approximate log-transition density functions for multivariate time-inhomogeneous diffusions in closed form. There are many empirical evidences that the underlying data generating processes for many economic variables might change over time. One possible way to...

We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we...

Korean Abstract : 이 논문에서는 한국의 주별 익일물 콜금리를 사용해 국면전환 확산과정모형을 추정했다. 일반적인 비선형 추세 함수와 분산 탄력성이 상수인 변동성 함수를 갖는 확산과정모형에서 모수들이 경제상황에 따라...

Five diffusion models are estimated using three different foreign exchange rates to find an appropriate model for each. Daily spot exchange rates expressed as the prices of 1 euro, 1 British pound and 100 Japanese yen in US dollars, respectively denoted by USD/EUR, USD/GBP, and USD/100JPY, are...

We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007) to compare the Korean and US stock markets. To do this, the Heston, GARCH, and CEV models are applied to the KOSPI 200 and S&P 500 Index. For the latent volatility variable, we...