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The purpose of this paper is to examine the properties of bubbles in the light of steady state results for threshold auto-regressive (TAR) models recently derived by Knight and Satchell (2011). We assert that this will have implications for econometrics. We study the conditions under which we...
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The purpose of this paper is to examine the properties of locally explosive regimes in the light of steady state results for threshold auto-regressive (TAR) models recently derived by Knight and Satchell (2011) [Journal of Time Series Econometrics, 3]. We study the conditions under which a...
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We revisit the problem of calculating the exact distribution of optimal investments in a mean variance world under multivariate normality. The context we consider is where problems in optimisation are addressed through the use of Monte-Carlo simulation. Our findings give clear insight as to when...
Persistent link: https://www.econbiz.de/10005509608
The purpose of this paper is to use UK pension funds asset allocation information to model the risk attitude of the representative UK pension fund investor. Unlike the previous literature on loss aversion, we find that UK pension funds display risk aversion with respect to gains and to losses....
Persistent link: https://www.econbiz.de/10005509621