In this paper, we propose an alternative approach to estimate long-term risk. Instead of using the static square root method, we use a dynamic approach based on volatility forecasting by non-linear models. We explore the possibility of improving the estimations by different models and...

We develop a balanced growth model with labor supply and search and matching frictions in the labor market to study the impact of economic policy variables on the two margins which constitute the (total) labor input: the extensive one (the rate of employment) and the intensive one (the hours...

A novel procedure to test for unit root in a nonlinear framework is proposed by first introducing a new model – the MT-STAR model – which has similar properties as the ESTAR model but reduces the effects of the identification problem and can also account for cases where the adjustment...

Assets, debts and other financial products issued by emerging countries are usually considered more speculative than those issued by developed economies. Therefore, relying on traditional rating agencies to invest in these countries is problematic as the information used to assess the economic...

In ESTAR models it is usually quite difficult to obtain parameter estimates, as it is discussed in the literature. The problem of properly distinguishing the transition function in relation to extreme parameter combinations often leads to getting strongly biased estimators. This paper proposes a...

This article questions the empirical usefulness of leverage effects to describe the dynamics of equity returns. Using a recursive estimation scheme that accurately disentangles the asymmetry coming from the conditional distribution of returns and the asymmetry that is related to the past return...

We review recent advances in the field of decision making under uncertainty or ambiguity.

Suppose a decision maker (DM) has partial information about certain events of a ?-algebra A belonging to set ? and assesses their likelihood through a capacity v. When is this information probabilistic, i.e. compatible with a probability ? We consider three notions of compatibility with a...

The aim of this paper is two-fold : first, to emphasize that the seminal result of Dow and Werlang [7] remains valid under weaker conditions, and this even if non-positive prices are considered, or equally that the no-trade interval result is robust when considering assets which can yield...

This paper is concerned with real valued set functions defined on the set of Borel sets of a locally compact ?-compact topological space ?. The first part characterizes the strong and weak impatience in the context of discrete and continuous time flows of income (consumption) valued through a...