Tsekrekos, Andrianos E. - In: Journal of Economic Dynamics and Control 34 (2010) 4, pp. 725-742
Many economic variables of interest exhibit a tendency to revert to predictable long-run levels. However, mean reverting processes are rarely used in investment models in the literature. In most models, geometric Brownian motion processes are used for tractability. In this paper, a firm's entry...