The article examines the properties of generalized method of moments GMM estimators of utility function parameters. The research strategy is to apply the GMM procedure to generated data on asset returns from stochastic exchange economies; discrete methods and Markov chain models are used to...

We report the results of extensive Monte Carlo simulations of a novel model of two-phase flow in porous media, recently proposed by us (Phys. Rev. Lett. 80 (1998) 3248), in which the two fluids act both as the invading as well as the defending fluids. The phenomenon is relevant to several...

An important recent development in the pricing of interest rate derivatives is the emergence of models that incorporate lognormal volatilities for forward Libor or forward swap rates while keeping interest rates stable. These market models\/ have three attractive features: they preclude...

We study the four-state antiferromagnetic Potts model on the triangular lattice. We show that the model has six types of defects which diffuse and annihilate according to certain conservation laws consistent with their having a vector-valued topological charge. Using the properties of these...

This paper develops a posterior simulation method for a dynamic Tobit model. The major obstacle rooted in such a problem lies in high dimensional integrals, induced by dependence among censored observations, in the likelihood function. The primary contribution of this study is to develop a...