In this paper we consider the 18D case model of applied disequilibrium growth whose extensive and intensive form dynamics we derived in earliier work. Here we analyze in particular the basic partial feedback mechanisms whose interaction drives the dynamics of the overall model. We relate these...

In this paper we reconsider extensions and modifications of earlier work on a disequilibrium model of AS-AD growth. Our dynamic model exhibits more or less sluggishly adjusting prices and quantities, Keynesian demand rationing and fluctuating capacity utilization for both labor and capital....

In this paper we consider the third-moment structure of a class of nonlinear time series models. Empirically it is often found that the marginal distribution of financial time series is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate...

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...

This thesis contains three papers that examine various issues pertaining to the market structure and trading processes on the Singapore Exchange (SGX). Through the use of proprietary data from SGX, each paper addresses a unique area that is often overlooked in literature but is a well-documented...

This thesis examines the forecastability of exchange rates in the presence of trend breaks. In particular, its focus is the predictive power of the interest rate differential for the exchange rate. Chapter 1 is the Introduction to the thesis. In this Chapter, I briefly review the relevant...

The representative agent paradigm with homogeneous expectations has been the dominant framework for the development of theories in portfolio analysis, equilibrium asset pricing and derivative pricing. Homogeneous expectations is the major assumption underlining the most widely used financial...

Institutional investors are now the predominant type of investor in global financial markets. Institutional investors now own more than 64% of the equity in the US stock markets (Federal Reserve Board 2011). In Australia, institutional investors own approximately 60% of the stock market. They...

This thesis concerns the design and analysis of new discrete time approximations for stochastic differential equations (SDEs) driven by Wiener processes and Poisson random measures. In financial modelling, SDEs with jumps are often used to describe the dynamics of state variables such as credit...

This thesis models commodity prices and derivatives, written on commodity prices, under the benchmark approach. Under this approach, the commodity prices are modeled under the real world probability measure while the corresponding numeraire is the numeraire portfolio (NP), which is the growth...