Price variations observed at speculative markets exhibit positive autocorrelation and cross correlation among a set of assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes arises from the high dimensionality implied by a...

Can the knife-edge restriction on technology imposed by standard endogenous growth models be relaxed by allowing for nonrenewable resources entering the technology? To answer this question we examine whether stable endogenous growth is compatible with increasing returns to scale with respect to...

We model the coordination of specialized tasks inside an organization as "attribute matching." Using this method, we compare organizational forms (U-form and M-form) in coordinating changes. In our framework, organizational forms affect the information structure of an organization and thus the...

In an oligopoly, prior to choosing quantities/prices, each firm has an opportunity to form pair-wise collaborative links with other firms. These pair-wise links lower costs of production of the firms which form a link. The collection of pair-wise links defines a collaboration network. We study...

Using density forecasts, we compare the predictive performance of duration models that have been developed for modelling intra-day data on stock markets. The compared models are the autoregressive conditional duration (ACD) models, their logarithmic versions, in each case with three...

A competitive market for an experience good is considered where high quality is enforced by repeated game trigger strategies. The goods are demanded by long run (LR) and short run (SR) customers, the former buying repeatedly, the latter only once. SR buyers can free ride on quality enforcement...

This paper examines the economic effects of immigration using the overlapping dynasties' version of the optimal growth model. We simulate the general equilibrium effects of changes in the overall rate of immigration on factor returns, savings, and consumption and calculate the welfare effects on...

The purpose of this article is to explain the decrease in the fixed exchange rate regimes we have experienced the last decades. Our econometric approach is duration analysis and the explanatory variables used are taken from the literature on optimum currency areas. The sample consists of 51...

In the framework of integrated processes, the problem of testing the presence of unknown boundaries which constrain the sample path to lie within a closed interval is considered. To discuss this inferential problem, the concept of nearly-bounded integrated process is introduced, thus allowing to...

Absenteeism is affected by the sickness benefit system. Countries with generous compensation during sick leaves also experience high numbers of sick leave. Sick leaves may vary over the business cycle due to unemployment disciplining effects or changes in labour force composition. The latter...