We investigate the extremal behavior of a special class of autoregressive processes with ARCH(1) errors given by the stochastic difference equationwhere are i.i.d. random variables. The extremes of such processes occur typically in clusters. We give an explicit formula for the extremal index and...

Various domestic financial assets in Brazil have provided relatively liquid nonmonetary alternatives. Monthly money demand estimates, which include domestic asset opportunity costs and take account of T-bill repurchase agreements in a dynamic error-correction model, demonstrate the importance of...

A forecasting model is constructed for the analysis of the long-run electricity and natural gas requirements of the commercial sector of a regional economy. The methodology combines an econometric model to generate baseline forecasts, a detailed end-use model to evaluate conservation and...

An error correction model is derived from a stochastic dynamic programming problem incorporating rational expectations. A parametric restriction is derived that allows a test for the theoretical proposition that the optimal strategy behind the error correction form entails the failure to...

This paper is a panel data study on the behavior of prices and margins of oligopolies involved in repeated games. The authors examine two supergame models which generate very different predictions about the cyclical behavior of prices and margins. Evidence on the levels of price-cost margins...