This paper considers forecasting the conditional mean and variance from an ARMA model with GARCH in mean effects. Expressions for the optimal predictors and their conditional and unconditional MSE's are presented. We also derive the formula for the covariance structure of the process and its...

Conventional wisdom usually suggests that agents should use all the data they have to make the best possible prediction. In this paper, however, it is shown that agents may sometimes be able to make better predictions by throwing away old data. The optimality criterion agents adopt is the mean...

Scarf's economy has been a vehicle in understanding stability properties in exchange economies. The full set of market equilibria and Pareto optimal allocations for this economy has not been analysed. This paper aims to do that. Firstly, we examine the Pareto optima and we find three different...

We investigate how different types of merger affect input prices, research levels and equilibrium profits in vertical market structures when there is research activity in the upstream market that spills over to the downstream retailers. To do so, we develop a very simple model where three...

An asymptotic theory is developed for a quadratic form Q_{n,X} in linear random variables X1,…,X_{n} which can exhibit long, short, or negative dependence and whose kernel depends on n. It offers conditions under which Q_{n,X} can be approximated in the L1 and L2 norms by a form Q_{n,Z} in...

In this paper we analyse a common value English auction. We argue that rational bidders attempt to estimate each other’s private signals, to take advantage of the additional information disclosed through the bids. If this happens, herd behaviour might arise, because a particular bidder may...

This paper studies the effects of industrialization on growth and convergence dynamics in Italy. We propose a semi-parametric procedure linking growth theory with density-type studies on convergence. Our analysis suggests that absolute convergence processes do not necessarily exclude dynamics of...

The European Central Bank will be able to reach its objective of price stability by GDP and inflation forecasts. But price stability will continue to be accompanied by the burden of high and in the case of some disadvantaged regions increasing unemployment which will be the cause of persisting...