Existing models of R&D are not easily reconciled with four observable aspects of R&D: initial technologies (ideas) need to be developed further, only a minority of initial ideas are successfully brought to the market, production and process innovations take place simultaneously (whereby,...

This paper develops a testing framework for comparing the predictive accuracy of competing multivariate density forecasts with different predictive copulas, focusing on specific parts of the copula support. The tests are framed in the context of the Kullback–Leibler Information Criterion,...

In this paper we study the properties of an asset pricing model where boundedly rational agents respond to incoming news about economic fundamentals such as future dividends. Our aim is to characterize the resulting fluctuations of the market price around the time-varying underlying fundamental...

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler information criterion (KLIC). The test is valid under general conditions on the competing copulas: in particular it allows for...