Benoît Mandelbrot, the father of Fractal Geometry, developed a multifractal model for describing price changes. Despite the commonly used models, such as the Brownian motion, the Mutifractal Model of Asset Return (MMAR) takes into account scale-consistency, long-range dependence and heavy...

The paper analyses the method adopted by the index of employment protection systems developed in 1999 by the OECD and discusses its reliability and shortcomings, in particular with regards to Italy. The paper highlights a series of problems of method arising from the aggregation of the...

By utilizing the extreme dependence structure and the conditional probability of joint failure (CPJF) among risk factors, this paper characterizes a risk-stability index (RSI) that quantifies (i) common distress of risk factors, (ii) distress between specific risk factors, and (iii) distress to...

This paper has developed a solution algorithm for linear rational expectation models under imperfect information. Imperfect information in this paper means that some decision makings are based on smaller information sets than others. The algorithm generates the solution in the form of k_t+1 =...

We consider long-run behavior of agents assessing risk in terms of dynamic convex risk measures or, equivalently, utility in terms of dynamic variational preferences in an uncertain setting. By virtue of a robust representation, we show that all uncertainty is revealed in the limit and agents...

This paper provides the proofs to the analysis of a continuous time matching model with saving in Bayer and Wälde (2010a). The paper proves the results on consumption growth, provides an existence proof for optimal consumption and a detailed derivation of the Fokker-Planck equations. --...

A sequence of real numbers (xn) is Benford if the significands, i.e. the fractionparts in the floating-point representation of (xn), are distributed logarithmically.Similarly, a discrete-time irreducible and aperiodic finite-state Markov chain withprobability transition matrix P and limiting...

We seek to explain the emergence of spatial heterogeneity regarding development and pollution on the basis of interactions associated with the movement of capital and polluting activities from one economy to another. We use a simple dynamical model describing capital accumulation along the lines...

This paper provides a microfounded information acquisition technology based on a simple framework with information search. When searchable information is limited, an agent encounters increasingly more redundant information in his search for new information. Redundancy slows down the learning...

We study the effect of secondary markets on equity-linked life insurance contracts with surrender guarantees. The policyholders are assumed to be boundedly rational in giving up their contracts, and a proportion of policyholders will access the secondary markets instead of surrendering the...