The cross wavelet analysis is used in the study to decompose the time–frequency effects of oil price changes on the German macroeconomy. We argue that the relationship between oil prices and industrial production is ambiguous. Our results show that there are both phase and anti-phase...

In this paper, firms are considered on the hypothesis of having incomplete rationality expectation and incomplete information of the market to get the dynamic development of price competition behavior in the Hotelling model (Hotelling, 1929). Under the assumption of the heterogeneous...

We analyse the dynamics of a Cournot duopoly with heterogeneous players to investigate the effects of micro-founded differentiated products demand on stability. The present study, which indeed modifies and extends Zhang et al. (2007) (Zhang, J., Da, Q., Wang, Y., 2007. Analysis of nonlinear...

The equilibrium state of a bounded rational monopolist model is studied in this paper. It is assumed that the entire demand function is considered based on some market experiments to produce a quantity which maximizes profit. The stability of equilibrium state of the model is discussed. In...

This study applies the contingent claim approach to evaluate retirement benefits with the options of choosing the maximum defined benefit and defined contribution pension plans. A least-squares Monte Carlo simulation values complex retirement benefits that feature the properties of multiple...

We propose and implement an empirical automatic bias correction (ABC) procedure for correcting the downward bias in the volatility estimators that utilize extreme value of asset prices. The bias originates from the random walk effect. The proposed estimator does not require knowledge of N, the...

The computation of the bilateral counterparty valuation adjustment for a credit default swap (CDS) contract is in effect the modeling of the default dependence among the investor, the protection seller, and the reference entity. We present a contagion model, where defaults of three parties are...