In this paper we model Value-at-Risk (VaR) for daily stock index returns using a collection of parametric models of the ARCH family based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform with respect to skewed...

This paper presents techniques to solve for optimal simple monetary policy rules in rational expectations models. Both pre-commitment and discretionary solutions are considered. The techniques described are notable for the flexibility they provide over the structure of the policy rule being...

Incorporating labor market search in general equilibrium models has been shown to generate realistic dynamics in employment, job creation, and job destruction and to increase the magnitude and persistence of the impact of productivity shocks on output. This paper studies the extent to which the...

The paper deals with a newly discovered credit card puzzle. Many US households revolve a balance on high-interest credit cards while holding low-interest liquid or total safe assets that could be used to repay this balance. Such behavior seems to ignore obvious arbitrage opportunities and to...

We study the role of information sources on innovation in a two stage sequential probit model that can be used to analyze survey data in which questions are asked sequentially. Firms can fall into three catagories: (i) they do not innovation; (ii) they introduce a radical innovation on their...

There are two basic tools to analyse fundamental issues in dynamical macroeconomics. One of them is a model of optimal growth describing savings behaviour. The second one is the Solow-Swan model with a constant aggregate propensity to save out of income. A steady state of the dynamical economic...

This paper uses an evolutionary approach incorporating the idea of natural selection to examine market behavior in a one-sided buyer auction market. Even with no traders' rationality (such as rational expectations and adaptive learning) and with each trader's behavior preprogrammed with its own...

We continue our research into the Quasi Monte Carlo simulation method and its application in macroeconometrics. Prior research indicated Quasi Monte Carlo simulation to be superior to traditional Monte Carlo methods. Now we address additional important issues including the robustness of the...

In recent years simulation-based estimation of multinomial probit (MNP) models has attracted an increasing interest among econometricians. With the help of more powerful and cheaper computers, MNP models have become a well-accepted alternative to multinomial logit (MNL) models that impose the...

Testable implications of the basic intertemporal model of current account determination are almost always rejected by the data. We confirm these rejections for a sample of post-war Canadian data, then account for them by calibrating and simulating a small open economy, real business cycle model....