This paper discusses the existence of spurious long memory in common nonlinear time series models, namely Markov switching and threshold models. We describe the asymptotic behavior of the process in terms of autocovariance and autocorrelation function and support the theoretical evidences by...

This paper offers new insights into the Italian mutual fund industry. Surveying Italian professionals, we do not only reveal typical gender differences but also detect divergence to their German counterparts. While disclosing Italian professionals’ overly positive self-assessment in general,...

Except for special cases, passport option s do not have closed-form solutions. Here we show how to derive approximate solutions using finite element methods. We also show that finite elements offer advantages in computing the hedge parameters.

Except for special cases, passport option s do not have closed-form solutions. Here we show how to derive approximate solutions using finite element methods. We also show that finite elements offer advantages in computing the hedge parameters.

This paper provides a unified growth theory, i.e. a model that explains the very long-run economic and demographic development path of industrialized economies, stretching from the pre-industrial era to present-day and beyond. Making strict use of Malthus' (1798) so-called preventive check...

This paper analyzes stochastic productive pollution within a model of endogenous growth. The extent to which the agents perceive their individual influence on aggregate pollution is parameterized. Recursive preferences allow for the separation between intertemporal substitutability and risk...