The current paper discusses approximating a correct theory of cause and effect by minimizing distance to its associated probability measure in a space of measures in which each element is associated with a stochastic representation of a candidate theory. The discussion encourages researchers to...

We describe stationarity and ergodicity (SE) regions for a recently proposed class of score driven dynamic correlation models. These models have important applications in empirical work. The regions are derived from sufficiency conditions in Bougerol (1993) and take a non-standard form. We show...

We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS...

This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic...

This article generalises the results of Saïdi and Zakoian (2006) to a considerably larger class of nonlinear ARCH models with discontinuities, leverage effects and robust news impact curves. We propose a new method of proof for the existence of a strictly stationary and phi-mixing solution....

This paper proposes a functional specification approach for dynamic stochastic general equilibrium (DSGE) models that explores the properties of the solution method used to approximate policy functions. In particular, the solution-driven specification takes the properties of the solution method...

We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS...

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

This paper introduces a structural micro-founded dynamic stochastic network model for the unsecured interbank lending market. Banks are profit optimizing agents subject to random liquidity shocks and can engage in costly counterparty search to find suitable trading partners and peer monitoring...