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An Autoregressive Conditional Filtering Process to remove Intraday Seasonal Volatility and its Application to Testing the Noisy Rational Expectations Model

Cho, Jang Hyung - 2008

pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We … show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process … filtering process.In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness …

Persistent link: https://www.econbiz.de/10009460480

Does housing really lead the business cycle?

Álvarez González, Luis Julián; Cabrero Bravo, Alberto - 2010

The aim of this paper is to characterize the cyclical properties of Spanish real and nominal housing related variables. Our three main results are: First, housing appears to lead the business cycle. Second, fluctuation in home prices are positively related to those of residential investment,...

Persistent link: https://www.econbiz.de/10012530293

Business cycle estimation with high-pass and band-pass local polynomial regression

Álvarez, Luis J.

Incluye bibliografía ; Los filtros construidos a partir de métodos de regresión polinómica local (LPR) han sido utilizados en la literatura para estimar el ciclo económico. En este trabajo se proporciona una interpretación en el dominio de frecuencias del filtro de contraste obtenido como...

Persistent link: https://www.econbiz.de/10012530540

Inflation interdependence in advanced economies

Álvarez, Luis J.; Gadea Rivas, María Dolores; Gómez …

Aunque la literatura sobre el grado de comovimiento del PIB entre países es prolífica, existe poca evidencia sobre la interdependencia de la inflación. En este trabajo, se analizan los comovimientos de la inflación en un amplio conjunto de economías avanzadas, prestando especial atención a...

Persistent link: https://www.econbiz.de/10012532222

Cooperation, Spatial-Dynamic Externalities, and Invasive Species Management

Epanchin-Niell, Rebecca S.; Wilen, James E. - 2010

Most terrestrial biological invasions occur in landscapes comprising numerous, independently managed properties. Thus, control of invasion spread generally depends on the choices of many managers, each deciding the extent to control invasions on their property. Here we develop a...

Persistent link: https://www.econbiz.de/10009446124

Uzawa’s transformation and optimal control problems with variable rates of time preference

Francis, Johanna; Kompas, Tom - 2001

Uzawa (1968) first introduced a simple and appealing method for reducing problems with variable rates of time preference to single-state systems by transforming the time scale from t to Δ, a utility discount factor. Thistransformation has been used extensively, particularly in models of...

Persistent link: https://www.econbiz.de/10009451782

On the dynamics of capital accumulation across space

Camacho, Carmen; Zou, Benteng; Briani, Maya - 2005

We solve an optimal growth model in continuous space, continuous and bounded time. The optimizer chooses the optimal trajectories of capital and consumption across space and time by maximizing an objective function with both space and time discounting. We extract the corresponding Pontryagin...

Persistent link: https://www.econbiz.de/10009452481

Optimal Stopping under Ambiguity in Continuous Time

Riedel, Frank - 2010

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted...

Persistent link: https://www.econbiz.de/10009452622

Models on CO2 abatement under uncertainty

Thomas S. Lontzek - 2009

The major goal of this thesis is to contribute answering the question how changes in economic actions affect the climate and at the same time, how do changes in the climate affect the economy. This thesis consists of three parts. In the first part (Chapter 2) we stress the role of the oceans as...

Persistent link: https://www.econbiz.de/10009429038