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Many recent theoretical papers have come under attack for modeling prices as Geometric Brownian Motion. This process can diverge over time, implying that firms facing this price process can earn infinite profits. We explore the significance of this attack and contrast investment under Geometric...
Persistent link: https://www.econbiz.de/10005725247
We generalize the Franke-HAtilde; Acirc;curren;rdle (1992) spectral density bootstrap to themultivariate case. The extension is non-trivial and facilitates use of the Franke-HAtilde; Acirc;curren;rdlebootstrap in frequency-domain econometric work, which often centers on cross-variabledynamic...
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Many recent theoretical papers have come under attack for modeling prices as Geometric Brownian Motion. This process can diverge over time, implying that firms facing this price process can earn infinite profits. We explore the significance of this attack and contrast investment under Geometric...
Persistent link: https://www.econbiz.de/10012473890
We propose a constructive, multivariate framework for assessing agreement between (generally misspecified) dynamic equilibrium models and data, a framework which enables a complete second-order comparison of the dynamic properties of models and data. We use bootstrap algorithms to evaluate the...
Persistent link: https://www.econbiz.de/10005367703