This paper develops an econometric model for the analysis of exploration and production policies of "price-taking" suppliers, and derives theoretically consistent exploration and output equations for oil which explicitly take account of the oil discovery process and the intertemporal nature of...

A multisectoral union-firm model of wage-setting is developed to analyze intersectoral interactions that take place through expectations of outside wage opportunities in the economy as a whole. The technical issues involved in the solution and estimation of models of this type are discussed,...

The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive...

This paper develops a multisectoral framework for the measurement of persistence of shocks to sectoral and aggregate output, and provides a decomposition of the contribution of shocks from different sources to the overall persistence measure. The framework is applied to U.K. output data,...

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...