This paper proposes a systematic framework for analyzing the dynamic effects of permanent and transitory shocks on a system of "n" economic variables.

This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and...

We characterize Paretian quasi-orders in the two-agent continuous case.

In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues for the empirical applications of the...

In This Note, We Present the Appropriate Forms of Shephard's Lemma, As Well As the Curvature and Homogeneity Properties, for the Case of a Rate-Of- Return Regulated Cost Function Where Capital Is a Quasi-Fixed Input.