This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily realized volatility from the returns in the first step and...

Over the past years a large number of regional growth theories have been developed and a number of models have been built in an effort to describe, explain and eventually predict regional development trends. However, until a few years ago, the large majority of those models assumed the existence...

This paper builds models of nonlinear dynamics in the aggregate investment and borrower net worth to study the causes and nature of endogenous credit cycles. The basic model has two types of projects: the Good and the Bad. The Good projects rely on the inputs supplied by others who could...

This paper analyses decision under uncertainty with catastrophic risks, and is motivated by problems emerging from global environmental risks. These are typically low-probability events with major irreversible consequences. For such risks, the Von Neumann Morgens-tern (NM) axioms for decision...

This paper introduces dynamics in the R&D-to-innovation and innovation-to-productivity relationships, which have mostly been estimated on cross-sectional data. It considers four nonlinear dynamic simultaneous equations models that include individual effects and idiosyncratic errors correlated...

This paper analyses decision under uncertainty with catastrophic risks, and is motivated by problems emerging from global environmental risks. These are typically low-probability events with major irreversible consequences. For such risks, the Von Neumann Morgens-tern (NM) axioms for decision...