Volatility clustering is a well-known stylized feature of financial asset returns. In this paper, we investigate the asymmetric pattern of volatility clustering on both the stock and foreign exchange rate markets. To this end, we employ copula-based semi-parametric univariate time-series models...

In the New Keynesian model, even if the central bank does not have an over-ambitious output target, policy under discretion leads to an inefficiency known as the stabilisation bias. In this paper, using a New Keynesian model, we explore and quantify how various uncertainties such as an...

Are there some consumers who believe that deliberate decision-making can lead to improved outcomes while others believe that outcomes are beyond their control? To predict which consumers take a strategic approach to shopping, we constructed a measure of locus of control focused specifically on...

Increasing attention has been focused on the analysis of the realized volatility, which can be treated as a proxy for the true volatility. In this paper, we study the potential use of the realized volatility as a proxy in a stochastic volatility model estimation. We estimate the leveraged...

This paper investigates whether convenience yield is an important factor in determining optimal decisions for a forestry investment. The Kalman filter method is used to estimate three different models of lumber prices: a mean reverting model, a simple geometric Brownian motion and the two-factor...

This paper examines the impact of ramping rate restrictions imposed on hydro operations to protect aquatic ecosystems. A dynamic optimization model of the profit maximizing decisions of a hydro operator is solved for various restrictions on water flow, using data for a representative hydro...

This paper investigates whether a regime switching model of stochastic lumber prices is better for the analysis of optimal harvesting problems in forestry than a more traditional single regime model. Prices of lumber derivatives are used to calibrate a regime switching model, with each of two...

This paper studies the Markov perfect equilibrium outcomes of a dynamic game of electoral competition between two policy-motivated parties. I model incumbent policy persistence: parties commit to implement a policy for their full tenure in office, and hence in any election only the opposition...

Selecting an estimator for the variance covariance matrix is an important step in hypothesis testing. From less robust to more robust, the available choices include: Eicker/White heteroskedasticity-robust standard errors, Newey and West heteroskedasticity-and-autocorrelation- robust standard...

This paper presents a new method for estimating social interaction effects. The proposed approach is based on using network interaction structure induced variation in equilibrium influence to construct conditionally balanced interaction structures. As equilibrium influence is determined by the...