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Mixture models for hazard rate functions are widely used tools for addressing the statistical analysis of survival data subject to a censoring mechanism. The present paper introduces a new class of vectors of random hazard rate functions that are expressed as kernel mixtures of dependent...
Persistent link: https://www.econbiz.de/10011145336
This paper proposes a structural approach to growth modeling relying on random return scale. An RBC-like model in which return to scale may be strictly increasing or decreasing depending on shocks is explicitly derived. We show that relevant component of usual macroeconomic models (including...
Persistent link: https://www.econbiz.de/10008626025
A multivariate invariance principle is given for dependent processes exhibiting trending variances and other types of global nonstationarity. The limit processes obtained in these results are not Brownian motion, but members of a related class of Gaussian diffusion processes. Also derived is the...
Persistent link: https://www.econbiz.de/10010720251
[This item is a preserved copy. To view the original, visit http://econtheory.org/] We study a game of strategic experimentation with two-armed bandits where the risky arm distributes lump-sum payoffs according to a Poisson process. Its intensity is either high or low, and unknown to the...
Persistent link: https://www.econbiz.de/10009455291
The number of bank failures has increased dramatically over the last twenty-two years. A common notion in economics is that some banks can become "too big to fail." Is this still a true statement? What is the relationship, if any, between bank sizes and bank failures? In this thesis, the...
Persistent link: https://www.econbiz.de/10009458751
This paper investigates the impact of including the risk of fire in an optimal tree harvesting model at the stand level, assuming timber prices follow a mean-reverting stochastic process. The relevant partial differential equation is derived under different assumptions about hedging the risk of...
Persistent link: https://www.econbiz.de/10005484235
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