We develop a new method for deriving minimal state variable (MSV) equilibria of a general class of Markov switching rational expectations models and a new algorithm for computing these equilibria. We compare our approach to previously known algorithms, and we demonstrate that ours is both...

We suggest a model that describes dynamics of the stock price and its intrinsic value in the stock market. The model is based on characterization of the market participants behavior and on the relationship between the stock market and business environment. The model deals with two commonly...

This chapter reviews the theory of the voluntary public and private redistribution of wealth elaborated by economic analysis in the last forty years or so. The central object of the theory is altruistic gift-giving, construed as benevolent voluntary redistribution of income or wealth. The theory...

This note examines a numerical approach for computing American option prices in the lognormal jump–diffusion context. The approach uses the known transition density of the process to build a discrete-time, homogenous Markov chain to approximate the target jump–diffusion process. Numerical...

This paper presents an imperfect competition framework where growth is described as successful R&D investments in decreasing production-cost technologies. Innovation and imitation processes are modelled as activities requiring different amounts of investment, whose outcome is uncertaint both as...

In the individual risk model, one is often concerned about positively dependent risks. Several notions of positive dependence have been proposed to describe such dependent risks. In this paper, we assume that the risks in the individual risk model are positively dependent through the stochastic...

We prove a relationship between the bordered Hessian in an equality constrained extremum problem and the Hessian of the equivalent lower-dimension unconstrained problem. This relationship can be used to derive principal minor conditions for the former from the relatively simple and accessible...

For models of the probability of informed trading (PIN), estimation can fail for firms with high levels of trading due to computer over/under-flow. Since active firms tend to have large market capitalizations, studies that use PIN have excluded as much as 40% of total market capitalization from...

When an individual's preferences depend on the time or ‘frame’ at which decisions are made, the preferences that appear at different frames must be aggregated in order to make social decisions. Suppose we aggregate each individual i's frame-based preferences with a ‘behavioral welfare...

This study compares Photovoltaic (PV) power stations between Germany and the United States to examine which country more efficiently provides renewable energy in their usages. For the comparative analysis, this study utilizes Data Envelopment Analysis (DEA) as a methodology to evaluate the...