GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC methods due to the path dependence problem. An unsolved...

Using an updated version of the CWS model (introduced by Eyckmans and Tulkens in Resource and Energy Economics 2003), this paper intends to evaluate with numbers the respective merits of two competing notions of coalition stability in the standard global public goods model as customarily applied...

This paper shows how one can compute option prices from a Bayesian inference viewpoint, using an econometric model for the dynamics of the return and of the volatility of the underlying asset. The proposed evaluation of an option is the predictive expectation of its payoff function. The...

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiency from such a distribution, location-scale transformation and a transformation to polar coordinates are used.

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, location-scale transformation and a transformation to polar coordinates are used....

Although conceptually pleasing, normal-gamma frontier models lead to difficult estimation problems. It is shown here that unless the sample size reaches several thousands of observations the shape parameter of the gamma density is hard to estimate, and that this carries over to estimates of the...

In this paper, we modify the model of Benhabib and Laroque in which the behaviour of non steady-state equilibria in the neighborhood of the goldenrule steady-state are studied, to include liquidity constraints. We observe in an example, the appearance of new cycles.

In this paper we test empirically with the Nordhaus and Yang (1996) RICE model the core property of the transfer scheme advocated by Germain, Toint and Tulkens (1997). This scheme is designed to sustain full cooperation in a voluntary international environmental agreement by making all countries...

We consider the problem of designing a 2-stations Automated Guided Vehicle System (AGVS). The AGV System consists of a pool of vehicles that transports products from one station to the other station through an unidirectional guidepath.