This paper studies overborrowing, financial crises and macro-prudential policy in an equilibrium model of business cycles and asset prices with collateral constraints. Agents in a decentralized competitive equilibrium do not internalize the negative effects of asset fire-sales on the value of...

The use of plausible stochastic price processes in price risk analysis has allowed advances not seen in crop yield risk analysis. This study develops a stochastic process for yield modeling and risk management. The Pólya urn process is an internally consistent dynamic representation of yield...

__Abstract__ Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and...

Researchers are often interested in testing for measurement invariance with respect to an ordinal auxiliary variable such as age group, income class, or school grade. In a factor-analytic context, these tests are traditionally carried out via a likelihood ratio test statistic comparing a model...

A method for assessing the degree of non-stationarity in annual wind speed records is presented. The method uses quantitative tests on the wind speed records to assess the length of the period over which an assumption of stationarity in the wind record can be considered to provide reasonable...

In biomedical, genetic and social studies, there may exist a fraction of individuals not experiencing the event of interest such that the survival curves eventually level off to nonzero proportions. These people are referred to as “cured” or “nonsusceptible” individuals. Models that have...

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...

Motivated by Florens et al. (1993) and recent studies of stochastic systems with memory, we suggest the new concept of causality for continuous time stochastic processes which deal with finite horizon of the past. Also, we present results which show connections between the given concept of...

Fully nonlinear filter theory is applied to a simple threshold system, which plays the role of an observer of input signals from a Brownian dynamical system. Our filtering results are discussed within the frameworks of both stochastic resonance and self-tuning of the threshold values, which...

The effect of additional input and output sites (as a connection to other roads) on the traffic flow in a cellular automaton model on a road with open boundaries is investigated. For a very low value of probability p of the velocity fluctuation of the vehicles, the 1/fα fluctuations are...