The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...

In Centre for Economic Policy Research Discussion Paper Nos. 164 and 165 I presented econometric models of the industrialized countries (North) and the oil-importing developing countries (South). This paper links the two models so that the economic interdependence between North and South can be...

While empirical studies which analyze large cross section country data find that corruption lowers investment and thereby economic growth, this result cannot be established for certain subsamples of countries. We argue that one reason for these mixed findings may be that a country's corruption...

Increases in market volatility of asset prices have been observed and analysed in recent years and their cause has generally been attributed to the popularity of portfolio insurance strategies for derivative securities. The basis of derivative pricing is the Black-Scholes model and its use is so...

In this paper we analyze in what way the demand generated by dynamic hedging strategies affects the equilibrium prices of the underlying asset. We derive an explicit expression for the transformation of market volatility under the impact of hedging. It turns out that market volatility increases...

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diusion process which accommodates leverage, feedback efects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform of...

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diusion process which accommodates leverage, feedback eects and mul- tifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform of...

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...

The main particularity of Tourism is to be defined from the demand side, instead from the supply side like the other economic activities. For this reason, Tourism impact studies are usually performed with demand models based on input output (IO) methodology. Moreover, these types of models allow...