We propose a technique to avoid spurious detections of jumps in highfrequencydata via an explicit thresholding on available test statistics. Weprove that it eliminates asymptotically all spurious detections. MonteCarlo results show that it performs also well in finite samples. In DowJones...

The paper examines questions of local asymptotic stability of randomdynamical systems. Results concerning stochastic dynamics ingeneral metric spaces, as well as in Banach spaces, are obtained. Theresults pertaining to Banach spaces are based on the linearization ofthe systems under study. The...

We analyze the implications of entrepreneurial spawning for a variety of firm characteristicssuch as size, focus, profitability, and innovativeness. We examine the dynamics of spawning overtime. Our model accounts for much of the empirical evidence relating to the relation betweenspawning and...

We study the existence of dynamic equilibria with endogenously complete markets incontinuous-time, heterogenous agents economies driven by diusion processes. Ourmain results show that under appropriate conditions on the transition density ofthe state variables, market completeness can be deduced...

The …xed rate tender is one of the main operational formats usedby central banks in the implementation of their monetary policies. Whileacademic research has largely dismissed the procedure for its tendency to en-courage overbidding, central banks such as the ECB and the Bank of Englandhave...

We use a user-cost model to study how dispersed information among housing marketparticipants a¤ects the equilibrium house price. In the model, agents are disparatelyinformed about local economic conditions, consume housing services, and speculate onprice changes. Information dispersion leads...