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theory and V 1 and V 2 are spacelike separated spacetime regions, then the system ( A (V 1 ), A (V 2 ), φ) is said to satisfy … primitive causality property then every local system ( A (V 1 ), A (V 2 ), φ) with a locally normal and locally faithful state φ …
Persistent link: https://www.econbiz.de/10011071337
We propose a new method to determine the cointegration rank in the error correction model of Engle and Granger (1987 …). To this end, we first estimate the cointegration vectors in terms of a residual-based principal component analysis. Then … the cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We have shown …
Persistent link: https://www.econbiz.de/10010746018
We analyze a dual currency search model in which agents are allowed to hold multiple units of both currencies. Hence, agents hold portfolios of currency. We study equilibria in which the two currencies are identical and equilibria in which the two currencies differ according to the magnitude of...
Persistent link: https://www.econbiz.de/10005776281
This paper looks at the advantages and disadvantages of mixing banking and commerce, using the "liquidity" approach to financial intermediation. Adding a commercial firm makes it easier for a bank to dispose of assets seized in a loan default. This 'internal market' increases the liquidity of...
Persistent link: https://www.econbiz.de/10005475173
The Story of the Hats is a puzzle in social epistemology. It describes a situation in which a group of rational agents with common priors and common goals seems vulnerable to a Dutch book if they are exposed to different information and make decisions independently. Situations in which this...
Persistent link: https://www.econbiz.de/10010746712
This paper focuses on an econometric investigation of the macroeconomic and political factors that contributed to Greece’s excessive debt accumulation and its failure to adequately address its fiscal imbalances, from the restoration of democracy in 1974 till the crisis of 2009. The econometric...
Persistent link: https://www.econbiz.de/10010686661
In this paper, we obtain the density function of the single barrier one-sided Parisian stopping time. The problem reduces to that of solving a Volterra integral equation of the first kind, where a recursive solution is consequently obtained. The advantage of this new method as compared to that...
Persistent link: https://www.econbiz.de/10011125907
We propose to model multivariate volatility processes on the basis of the newly defined conditionally uncorrelated components (CUCs). This model represents a parsimonious representation for matrix-valued processes. It is flexible in the sense that each CUC may be fitted separately with any...
Persistent link: https://www.econbiz.de/10011125942
We suggest two improved methods for conditional density estimation. The rst is based on locally tting a log-linear model, and is in the spirit of recent work on locally parametric techniques in density estimation. The second method is a constrained local polynomial estimator. Both methods always...
Persistent link: https://www.econbiz.de/10011125947
that for finite sample size, bootstrap provides a better approximation than classical asymptotic theory.We then apply the …
Persistent link: https://www.econbiz.de/10011125950