We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS...

An exact maximum likelihood method is developed for the estimation of parameters in a non-Gaussian nonlinear log-density function that depends on a latent Gaussian dynamic process with long-memory properties. Our method relies on the method of importance sampling and on a linear Gaussian...

We show that efficient importance sampling for nonlinear non-Gaussian state space models can be implemented by computationally efficient Kalman filter and smoothing methods. The result provides some new insights but it primarily leads to a simple and fast method for efficient importance...

This paper studies urban sustainability from the perspective ofexternalities. We develop a general spatialequilibrium model of a monocentric city, in which two types ofexternalities occur. On the one hand, pollution inthe industrial centre leads to a spatially differentiateddeterioration of the...

This paper gives a concise overview of environmental-economicanalysis. Important issues and modern developments in the field aresurveyed in a systematic way. Next, the concept of sustainabledevelopment is discussed, as it has dominated environmental economicsfor almost a decade now. In addition,...

There is an increasing awareness of the potential of nonlinear modeling in regional science, which can partly be explained by the recognition of the limitations of conventional equilibrium models in complex situationsand partly by the easy availability and accessibility of sophisticated...

In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation which facilitates the use of statistical tests for...

The effect of economic behaviour of different actors on the size of a market area is a classical subject of study in regional economics and over the years many studies have been published on this subject. Regional market differences are not only relevant in (location-) allocation theory, but...

After the Kyoto agreements the need has arisen to trace the implications ofvarious international environmentalstrategies. In this paper, we discuss relevant modelling issues ofincorporating important environmental policy measures in one ofthe popular applied general equilibrium models for...

There is an increasing demand for transport decisions to be made in thelight of some form of what may generically be called cost benefit analysis(CBA). The actual techniques may vary and often deviate quite significantlyfrom the conventional economic concept of CBA but in all cases theprocedures...