In this paper, we solve two problems related to growth and survival probability maximization of an economy. We assume that the problems are subject to the stochastic net worth model introduced by Fleming and Stein (2004) and apply the techniques of stochastic optimal control theory in order to...

The forecast combination puzzle refers to the finding that a simple average forecast combination outperforms more sophisticated weighting schemes and/or the best individual model. The paper derives optimal (worst) forecast combinations based on stochastic dominance (SD) analysis with...

In this paper, we examine the convergence hypothesis using a long memory framework that allows for structural breaks and the non reliance on a benchmark country. We find that even though the long memory framework of analysis is much richer than the simple I(1)=I(0) alternative, a simple absolute...

In this paper we use a long memory framework to examine the validity of the Purchasing Power Parity (PPP) hypothesis using both monthly and quarterly data for a panel of 47 countries over a fifty year period (1957 to 2009). The analysis focusses on the long memory parameter d that allows us to...

The paper involves the analysis of the seeds of the recent debt crisis that occurred in the Eurozone area. For the analysis we use the model of Fleming and Stein (2004). This model has two risk drivers arising from uncertainties in the return on capital and the effective rate of return on net...

In this paper, we solve two problems related to growth and survival probability maximization of an economy. We assume that the problems are subject to the stochastic net worth model introduced by Fleming and Stein (2004) and apply the techniques of stochastic optimal control theory in order to...

In this paper we use a long memory framework to examine the validity of the Purchasing Power Parity (PPP) hypothesis using both monthly and quarterly data for a panel of 47 countries over a fifty year period (1957 to 2009). The analysis focusses on the long memory parameter d that allows us to...