This paper proposes a new kind of asymmetric GARCh where the conditional variance obeys two different regimes with a smooth transition function. In one formulation variance reacts differently to negative and positive shocks while a second formulation, small and big shocks have separate effects.

We show that the empirical process of the squared residuals of an ARCH(p) sequence converges in distribution to a Gaussian process B (F(t)) + tf(t)E , where F is the distribution function of the squared innovations, f its derivative, {B(t), 0= t = 1} a Brownian bridge and E a normal random...

This paper studies relationships between the determinacy of a stationary equilibrium in the perfect foresight dynamics, and its local stability in dynamics arising from econometric learning procedures. There is no clear links in linear scalar economies where agents forecast only one perods...

We consider an economic system composed of interacting potential adopters of a technology. We build a model of interindividual influence effects in which part of the links can be negative, in a context of bounded rational choice. The article shows how the sole relationships topology on a network...