This paper "tests" the performance of the approaches of Watson (1993), DeJong, Ingram and Whiteman (1996), Canova and De Nicolo (1995) and Ortega (1998) for evaluating stochastic dynamic general equilibrium models using Monte Carlo techniques. It asks: Do different model evaluation methodologies...

A two-particle stochastic model of turbulent dispersion in the classical isotropic pseudoturbulence is suggested. The main idea is to describe the relative motion of two particles in small scales by a stochastic differential equation, while the dispersion in large scales is governed by the...

An analysis focusing on the financial aspects is proposed for the strategy initiated by Metallgesellschaft (MG) in 1993-94 on American petroleum markets. According to a specific definition of hedging, and on the basis of a detailed survey of the facts, this strategy is described as speculative....

The purpose of this paper is to present an application of a cach flow-based Contingent Claims Analysis (CCA) to equity valuation. The cach flow-based Contingent Claims Analysis is used to extend a traditional CCA toproblems with incomplete capital markets, overreacted markets of situations where...

We compare the random preference, Fechner, and constant error (or "tremble") approaches to the stochastic modelling of choice under risk. Various combinations of these approaches are used with expected utility and rank-dependent theory to generate a set of econometric models. These are estimated...

many models postulate a continuum of agents of finitely many different types who are repeatedly randomly matched in pairs to conform certain activities (e.g. play a game) which may in turn make their types change. The random matching process is usually left unspecified , and some law of large...

To implement continuous time option pricing models in which ARCH models can be used as direct or indirect approximators of stochastic volatility, we construct continuous time economies exhibiting equilibrium dynamics to which most asymmetric ARCH models converge in distribution as the sample...

While stochastic dominance has been employed in various forms, it has been (since 1969-1970) developed and extensively employed in the area of economics, finance and operations research. In this study the first, second and third order stochastic dominance rules are discussed for ranking...

This paper "tests" the performance of the approaches of Watson (1993), DeJong, Ingram and Whiteman (1996), Canova and De Nicolo (1995) and Ortega (1998) for evaluating stochastic dynamic general equilibrium models using Monte Carlo techniques. It asks: Do different model evaluation methodologies...