The Paper Has Two Major Parts. the First Part Focuses on the Theoretical Properties of a General Equilibrium Asset Price Model Describing an Economy with Actual Output Stochastically Generated by a Markovian Latent Process of Technolgical Shocks. with a Concealed State Space Economy, Agents Make...

The Interest in Understanding Inventory Behavior Is Great; Yet Econometric Results Are Not Impressive, and the Most Widely Used Theoretical Model Has Been Rejected by Several Studies. the Paper Reconsiders Some Simple But Important Features of the Data. the Findings Do Not Correspond to What Is...

This Article Investigates the Practice of Experience Rating by Insurance Companies in the Presence of Symmetric Information Between the Insured and the Insurer. Experience Rating Is Treated As the Acquisition of Information by Both Parties to the Insurance Contract. When the Insured Buys...

This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and...