Longitudinal network data are increasingly available, allowing researchers to model how networks evolve over time and to make inference on their dependence structure. In this paper, a dynamic latent space approach is used to model directed networks of monthly interbank exposures. In this model,...

GARCH models and Stochastic Volatility (SV) models can both be used to describe unobserved volatility in asset returns. We consider the issue of testing a GARCH model against an SV model. For that purpose, we propose a new and parsimonious GARCH-t model with an additional restricted moving...

Recent empirical evidence suggests that financial networks exhibit a core-periphery network structure. This paper aims at giving an explanation for the emergence of such a structure using network formation theory. We propose a simple model of the overnight interbank lending market, in which...

We introduce heterogeneous expectations in a standard housing market model linking housing rental levels to fundamental buying prices. Using quarterly data we estimate the model parameters for eight different countries, US, UK, NL, JP, CH, ES, SE and BE. We find that the data support...

We introduce heterogeneous expectations in a standard housing market model linking housing rental levels to fundamental buying prices. Using quarterly data we estimate the model parameters for eight different countries, US, UK, NL, JP, CH, ES, SE and BE. We find that the data support...

We show how simple statistical techniques for capturing critical transitions used in natural sciences, fail to capture economic regime shifts. This implies that we need to use model-based approaches to identify critical transitions. We apply a heterogenous agents model in a standard housing...

We develop a social network model of occupational segregation between different social groups, generated by the existence of positive inbreeding bias among individuals from the same group. If network referrals are important for job search, then expected homophily in the contact network structure...

In a circular city model, I consider network design and pricing decisions for a single fast transport connection that faces competition from a slower but better accessible transport mode. To access the fast transport network individuals have to make complementary trips by slow mode. This fact...

We develop a social network model of occupational segregation between <p> different social groups, generated by the existence of positive inbreeding <p> bias among individuals from the same group. If network referrals <p> are important in getting a job, then expected inbreeding bias in the <p> contact...</p></p></p></p>