Simulation-based exact jump tests in models with conditional heteroskedasticity

Article Abstract:

The models allowing for random jumps prove to be typically non-standard and nuisance parameter-dependent for statistical tests for jumps. To solve this problem, bounds and Monte-Carlo (MC) simulation techniques are combined to derive nuisance-parameter-free bounds and obtain level-exact p-values for a wide class of processes with random jumps and time varying heteroskedasticity.

Models, Heteroscedasticity

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The cyclical behavior of household and business investment in a cash-in-advance economy

Article Abstract:

A monetary explanation of two business cycle regularities, business and household investment are positively correlated and procyclical, and business investment tends to lag household investment over the cycle, is examined. The results within the context of limited participation models, which emphasize the liquidity effects of monetary shocks, are discussed.

Monetary policy, Business cycles

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Harvesting a renewable resource under uncertainty

Article Abstract:

A theory that allows for partial harvest and accounts for the risk of extinction for biological assets with size-dependent stochastic growth is presented. The importance of properly accounting for barriers in stochastic investment problems is illustrated.

Stochastic analysis

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