Computing equilibria in dynamic economies is still quite challenging even though the noticeable increase in computing power, storage capacity and new approaches in the literature on computational economics. The solvability of many economic models suffers from the curse of dimensionality, which...

"The `holy grail' in multivariate GARCH modelling is without any doubt a parameterization of the covariance matrix that is feasible in terms of estimation at a minimum loss of generality" (van der Weide, 2002). Recent models that aspire such favourable position in this trade-off are the DCC...

In many traditional financial and economic models, economic agents are assumed to make decisions using expected lifetime utility under rational expectations, where rational expectations are assumed to be formed on the basis of sufficient knowledge of the data generating process. But the mere...

In this paper a state-space representation for the single-factor Cox, Ingersoll and Ross (1985) model is employed to analyse the intertemporal dynamics of the term structure for UK Gilts and Euro-denominated German Treasury bonds. Closed form solutions for the prices of discount bonds are...

For typical parametrizations of the standard Holmstrom (1979) agency model, this paper demonstrates that the set of first-order conditions characterizing the optimal contract can be reduced to a single equation. A problem of investment financing under moral hazard is used to illustrate the...

In Japan, demands for Broadband Internet Access and Internet Telephony have increased dramatically in recent years. According to official sources, as of September 2005, there were 21.4 million users of Broadband Internet Access and 9.76 million IP telephones in use. In this study, we employ a...