In priciple random portfolios should be uniformly distributed over the feasible region. Common algorithms tend to concentrate portfolios near the boundary. While there is an argument that this may actually be better than a uniform distribution, it is of interest to know what difference the...

This paper considers a dynamic matching model with imperfectly observable worker effort as in Shapiro and Stiglitz (1994). In our economy the no-shirking condition endogenously imposes real wage rigidity on the matching market. This generates "contractual fragility" and inefficient separations...

In this paper, we apply a GARCH model to examine the cross-autocorrelation pattern between daily returns of portfolios composed of dual-listed stocks in Chinese stock market, before and after China opened its once foreign-exclusive B-share market. A lead-lag relationship between the A-share and...

Various volatility estimators and models have been proposed in the literature to measure volatility of asset returns. The particular emphasis of this paper is on assessing empirical performance of various long memory models (ARFIMA, FIGARCH models, and MF multi-fractal model which has recently...

The Efficient Market Hypothesis (EMH) is one of the most investigated questions in Finance. Nevertheless, it is still a puzzle, despite the enormous amount of research it has provoked. For instance, it is still discussed that market cannot be outperformed in the long run (Detry and Gregoire,...

This study focuses on the role of the order book on price formation in financial markets. It employs a computational model inspired by Gode and Sunder's Zero Intelligence Framework to investigate the effect of the supply and demand schedules of traders in this context. From this model insight is...

This paper presents a fully rational general equilibrium model that produces a time-varying exchange rate risk premium and solves the uncovered interest rate parity (U.I.P) puzzle. In this two-country model, agents are characterized by slow-moving external habit preferences similar to Campbell &...

DSGE models are customarily built in the presence of uncertainties of various levels, such as the specification of behavioural equations of economic agents, the actual values of model parameters, and so on. When the degree of complexity of the model structure and its parameterization increases,...

The transition from economic stagnation to sustained growth is often modelled thanks to "population-induced" productivity improvements, which are assumed rather than derived from primary assumptions. In this paper, the effect of population on productivity is derived from optimal behavior. Both...

In this paper we use a non-tâtonnement dynamic macroeconomic model with overlapping generations of consumers to study the role of expectations and inventories in the business cycle. Prices are fixed at the beginning of each period but adjusted between periods, taking into account possible...