This paper proposes a new class of nonlinear interval models for interval-valued time series (ITS). By matching the interval model with interval observations, we develop a nonlinearminimum-distance estimation method for the proposed models, and establish the asymptotictheory for the proposed...

This paper discusses how unrealized return dispersion across individuals affects the equity risk premium. We specify an intertemporal capital asset pricing model with heterogeneous preferences depending on investors’ unrealized returns and uncover that unrealized return dispersion negatively...

We analyze the effects of socially responsible investment and public abatement on environmental quality and the economy in a continuous-time dynamic growth model featuring optimizing households and firms. Environmental quality is modelled as a renewable resource. Consumers can invest in...

To test if safety nets create moral hazard in the banking industry, we develop a simultaneous structural two-equations model that specifies the probability of a bailout and banks' risk taking.We identify the effect of expected bailout probabilities on risk taking using exclusion restrictions...