Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...

Optimal portfolio rules are derived under uncertainty aversion by formulating the portfolio choice problem as a robust control problem. The robust portfolio rule indicates that the total holdings of risky assets as a proportion of the investor's wealth could increase as compared to the holdings...

This paper presents new results on the identification of heteroskedastic structural vector autoregressive (HSVAR) models. Point identification of HSVAR models fails when some shifts in the variances of the structural shocks are suspected to be statistically indistinguishable from each other....

This paper introduces and analyses a setting with general heterogeneity in regression modelling. It shows that regression models with fixed or time-varying parameters can be estimated by OLS or time-varying OLS methods, respectively, for a very wide class of regressors and noises, not covered by...

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...

Considered here is on-line portfolio management aimed at maximizing the long-run growth of financial wealth. The portfolio is repeatedly rebalanced in response to observed returns on diverse assets. Suppose statistical information and related methods are not available - or deemed too diffcult....

The paper shows that financial market equilibria need not exist if agents possess cumulative prospect theory preferences with piecewise-power value functions. The reason is an infiniteshort-selling problem. But even when a short-sell constraint is added, non-existence can occur due to...

Control problems with Recursive Multiple-Priors Utility (RMPU) are highly non-linear so that RMPU asset prices have been studied in very simple exchange economies only. We identify a continuous-time exchange equilibrium with Locally-Constrained-Entropy RMPU (LCE-RMPU) that is tractable even in...

This contribution starts out by noting a conflict of interest between consumers and insurers. Consumers face positive correlation in their assets (health, wealth, wisdom, i.e. skills), causing them to demand a great deal of insurance coverage. Insurers on the other hand eschew positively...