Discrete time stochastic volatility models (hereafter SVOL) are noticeably more difficult to estimate than the successful ARCH family of models. In this paper we demonstrate efficient estimation and prediction for a number of univariate and multivariate SVOL models. Namely, we model fat-tailed...

In an article by Comte and Renault, a generalization of Stochastic Differential Equations to continuous fractional processes is presented. However, the problems in estimating such models are barely discussed there. It turns out that, at least for some of these models, the covariance structure...

Here we give a model of co-evolution in a society of economic agents, defined as autonomous software entities equipped with their own utility functions. These utility functions are governed by the market mechanism. We also provide an evolutionary explanation of how social competence that...

When price-setting is staggered and firms choose prices optimally, low inflation regimes (where the nominal interest rate is occasionally zero) do not entail significant distortions to the real economy. By targeting the price level, the monetary authority can generate temporarily expected...

This study reports on market power experiments for an agent-based computational model of a labor market. Workers and employers repeatedly choose and refuse worksite partners on the basis of continually updated expected returns, engage in worksite interactions modelled as two-person games, and...

An enduring problem in international finance is forward premium bias. Forward rates consistently provide biased estimates of future exchange rate movements. Some attack the rationality assumption for the foreign exchange market, claiming the forward premium may reflect irrational expectations of...

In the stochastic switching regression model, it is not known which of several alternative regression models has actually generated the observed dependent variable. This study develops Bayesian methods for estimating the parameters of this model. A difficulty with this approach in this context...

Shin (1994) and McCabe, Leybourne and Shin (1997) introduced residual-based tests for the null hypothesis of cointegration; Boswijk (1994) and Banerjee, Dolado and Mestre (1998) suggested error-correction tests for the null hypothesis of NO cointegration. This paper supplements their work. They...

There are many methods used for evaluating and comparing models found in the Real Business Cycle (RBC) literature. One major problem faced is how to transform the data into a form acceptable to the model being evaluated, the most commonly used being a filter such as Hodrick-Prescott. Models are...

Over the years, scientists in intelligent technologies have adopted several approaches for the automated representation of the real world. An essential part of these attempts is the classification algorithms that give researchers an efficient way of acquiring and ordering data. This is...