Efforts to simulate turbulence in the financial markets include experiments with the logistic equation: x(t)=kappa x(t-1)[1-x(t-1)], with 0 x(t)1 and 0 = kappa 4. Visual investigation of the logistic equation show the various stability and instability regimes for the various value of the...

Nonlinear filtering techniques and the quasi maximum likelihood estimator (QMLE) are applied to the problem of estimating the parameters of quadratic models for the term structure of interest rates. It is assumed that zero coupon bond yields data have been contaminated by noise, which allows the...

This paper identifies such fundamental characteristics as the lack of ergodicity, stationarity, and independence, and it identifies the degree of initial persistence of the Chinese stock markets when they were more regulated. The index series are from the Shanghai (SHI) stock market and Shenzhen...

This paper is an exercise in applied macroeconomic forecasting. We examine the forecasting power of a vector error-correction model (VECM) that is anchored by a long-run equilibrium relationship between Greek national income and productive public expenditure as suggested by the economic theory....

A welfare analysis of a risky policy is impossible within a linear or linearized model and its certainty equivalence property. The presented algorithms are designed as a toolbox for a general model class. The computational challenges are considerable and I concentrate on the numerics and...

This paper analyzes a model of investment with fixed investment costs and capital market imperfections. In this model finance influences the level of capital firms hold, as well as the frequency at which they invest. In consequence investment reacts nonlinearly with respect to shocks to...

We investigate convergence towards Purchasing Power Parity (PPP) within the Euro Zone and between the Euro Zone and its main partners using panel data methods that incorporate serial and contemporaneous correlation. We find strong rejections of the unit root hypothesis, and therefore evidence of...

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are fundamental? Second, can the problem of non-fundamentalness be solved by considering additional information? The answer to the firrst question is 'yes' and that...

In this paper a model of aggregate investment is derived which incorporates fixed investment costs and capital market imperfections on the micro-level. Aggregate investment reacts nonlinearily with respect to aggregate shocks to productivity and liquidity of firms. Employing non-parametric...

Accurate estimation of the dominant root of a stationary but persistent time series are required to determine the speed at which economic time series, such as real exchange rates or interest rates, adjust towards their mean values. In practice, accuracy is hampered by downward small- sample...