The selection of sample size and time period is vital to econometric modelling since both affect model behaviour and results. Despite this importance, the question has attracted little attention in the literature.In an earlier paper, we analysed the relationship between forecasting performance...

Price limits are instituted to control the volatility of daily stock price movements through establishing price constraints and providing time for rational reassessment of investment decisions during times of panic trading. They function in a similar manner as the circuit breakers in the US...

The paper investigates portfolio strategies and derivative market making when the trader does not know the correct model. One of the puzzles from last summer's LTCM collapse was that when the Russian government defaulted, liquidity dried up. Antidotal evidence suggests that people were unable to...

Optimal decisions on portfolio investments in stocks are closely related to problems of statistical modelling and forecasting the rates of return on stocks and risk of investments. Forecasting prices of stocks and rates of return is difficult as a separate problem, some scientists say it is even...

The details of any social interaction will always be subject to some variation. Frequently, this stems from change that occurs in the external world, but variation may also be of a more subjective kind, arising due to changes in the players' knowledge of the game. It is often the case that...

Choquet Expected Utility has become increasingly popular as a characterization of uncertainty aversion, choice under probability sub-additivity, and a preference for robustness. In each case, an optimal decision involves the evaluation of the expected utility of an action over a set of...

We characterize the optimal fiscal policy in a dynamic stochastic general equilibrium model of an economy consisting a government and the continuum of consumers. The key features of the model are the optimizing government unable to commit itself to ex-ante optimal policies and individually...

In this article a VAR-GARCH-M model for aggregate employment and employment shares is developed in order to explore the macroeconomic effects of sectoral shocks. Using US, UK and German quarterly data sets, the model is estimated and tested against alternative specifications. Three main issues...

An individual's behavior of is called purposive behavior, if it is based on the notion of having preference, pursuing goal, or maximizing his own interest. The goal or purpose of an individual often relates directly to others, and their behavior are often constrained by an environment that...