We offer a new perspective on games of irreversible investment under uncertainty in continuous time. The basis is a particular approach to solve the involved stochastic optimal control problems which allows to establish existence and uniqueness of an oligopolistic open loop equilibrium in a very...

Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...

We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time...

An attempt is made to estimate a state space model of investment and borrowing in a Bayesian framework and extract the unobservable agency cost of Japanese firms by firm size. Our estimates of the agency cost exhibited a declining trend in the late 80s and then switched to an increasing trend in...

This paper presents a new framework allowing strategic investors to generate yield curve projections contingent on expectations about future macroeconomic scenarios. By consistently linking the shape and location of yield curves to the state of the economy our method generates predictions for...

We consider an optimal control problem for a one-dimensional Itô diffusion and a stochastic game of optimal stopping associated with it. Their value functions satisfy ... and an optimal control defines a saddle point for the game. This extends earlier results to the case of bounded variation...

This paper is an effort to convince the reader that using a stochastic stage game in a repeated setting - rather than a deterministic one - comes with many advantages. The first is that as a game it is more realistic to assume that payoffs in future games are uncertain. The second is that it...

In a Small Fish War two agents interacting on a body of water have essentially two options: they can fish with restraint or without. Fishing with restraint is not harmful; fishing without yields a higher immediate catch, but may induce lower future catches. Inspired by recent work in biology, we...

Restricting attention to economic environments, we study implementation under perturbed better-response dynamics (BRD). A social choice function (SCF) is implementable in stochastically stable strategies of perturbed BRD whenever the only outcome supported by the stochastically stable strategies...