Showing 1 - 10 of 23
This paper studies the asset pricing implications of a general equi-librium model in which real investment is reversible at a cost. Firmsface higher costs in contracting than in expanding their capital stockand decide to invest when their productive capital is scarce relativeto the overall...
Persistent link: https://www.econbiz.de/10009022140
Filtrations have been introduced by Doob and have been a fundamentalfeature of the theory of stochastic processes. Most basic objects, such asmartingales, semimartingales, stopping times or Markov processes involvethe notion of filtration.[...]
Persistent link: https://www.econbiz.de/10009022141
This paper studies the Cass-Koopmans-Ramsey model of optimal economic growth with a representative agent whose preferences for consumption can be gradually varied between the standard CES case and Kahneman and Tversky's prospect utility. The numerical analysis of a specific parametrization shows...
Persistent link: https://www.econbiz.de/10005858780
The use of different currencies in the invoicing of international trade transactions plays a major role in the international transmission of economic fluctuations. Existing studies argue that an exporter’s invoicing choice reflects structural aspects of her industry, such as market share and...
Persistent link: https://www.econbiz.de/10005868533
In the presence of transactions costs, no matter how small, ar-bitrage activity does not necessarily render equal all riskless rates ofreturn. When two such rates follow stochastic processes, it is not opti-mal immediately to arbitrage out any discrepancy that arises betweenthem. The reason is...
Persistent link: https://www.econbiz.de/10005868694
Consider an Rd-valued semimartingale S and a sequence of Rd-valuedS-integrable predictable processes Hn valued in some closed convex set K C Rd,containing the origin. Suppose that the real-valued sequence Hn * S converges toX in the semimartingale topology.[...]
Persistent link: https://www.econbiz.de/10005868834
Macroeconomic time series often involve a threshold effect in theirARMA representation, and exhibit long memory features. In this paperwe introduce a new class of threshold ARFIMA models to account forthis. The threshold effect is introduced in the autoregressive and/or thefractional integration...
Persistent link: https://www.econbiz.de/10005868836
This paper develops and empirically tests a model designed to distinguish the roleof real and …nancing frictions on fi…rms´investment, debt …nancing and equity …nancingpolicies. Real frictions include …xed costs of investment and adjustment costs. Financ-ing frictions include taxes,...
Persistent link: https://www.econbiz.de/10005868837
This paper aims to open a new avenue for research in continuoustimenancial market models with endogenous prices and heterogenousinvestors. The main result is the derivation of the limit of a discretetimeevolutionary stock market model as the length of the time periodtends to zero.[...]
Persistent link: https://www.econbiz.de/10005868842
We develop a new theory of international capital flows based on dispersed in-formation across individual investors. There is extensive evidence of informationheterogeneity within and across countries, which has proven critical to under-standing asset price behavior. We introduce information...
Persistent link: https://www.econbiz.de/10005868844