Causal and Stochastic Elements in Business Cycles PDF Download
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Author: Arvid Aulin
Publisher: Springer Science & Business Media
ISBN: 3642957382
Category : Business & Economics
Languages : en
Pages : 132
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Book Description
A critical examination of The prevailing orthodoxy according to which all macroeconomic theory should be reducible to microeconomics. The book provides a mathematical extension of the Lucas theory to allow for the effects of creation of knowledge upon economic development so as to improve the prediction of business cycle data.
Author: Arvid Aulin
Publisher: Springer Science & Business Media
ISBN: 3642957382
Category : Business & Economics
Languages : en
Pages : 132
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Book Description
A critical examination of The prevailing orthodoxy according to which all macroeconomic theory should be reducible to microeconomics. The book provides a mathematical extension of the Lucas theory to allow for the effects of creation of knowledge upon economic development so as to improve the prediction of business cycle data.
Author: Arvid Aulin
Publisher:
ISBN: 9783642957390
Category :
Languages : en
Pages : 136
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Book Description
A critical examination of The prevailing orthodoxy according to which all macroeconomic theory should be reducible to microeconomics. The book provides a mathematical extension of the Lucas theory to allow for the effects of creation of knowledge upon economic development so as to improve the prediction of business cycle data.
Author: Andranik S. Tangian
Publisher: Springer Science & Business Media
ISBN: 3642560385
Category : Business & Economics
Languages : en
Pages : 581
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Book Description
For some seven decades, econometrics has been almost exclusiveley dealing with constructing and applying econometric equation systems, which constitute constraints in econometric optimization models. The second major component, the scalarvalued objective function, has only in recent years attracted more attention and some progress has been made. This book is devoted to theories, models and methods for constructing scalarvalued objective functions for econometric optimization models, to their applications, and to some related topics like historical issues about pioneering contributions by Ragnar Frisch and Jan Tinbergen.
Author: Chiente Hsu
Publisher: Springer Science & Business Media
ISBN: 3642457657
Category : Business & Economics
Languages : en
Pages : 136
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Book Description
This manuscript is about the joint dynamics of stock returns and trading volume. It grew out of my attempt to construct an intertemporal asset pricing model with rational agents which can. explain the relation between volume, volatility and persistence of stock return documented in empirical literature. Most part of the manuscript is taken from my thesis. I wish to express my deep appreciation to Peter Kugler and Benedikt Poetscher, my advisors of the thesis, for their invaluable guidance and support. I wish to thank Gerhard Orosel and Gerhard Sorger for their encouraging and helpful discussions. Finally, my thanks go to George Tauchen who has been generous in giving me the benefit of his numerical and computational experience, in providing me with programs and in his encouragement. Contents 1 Introduction 1 7 2 Efficient Stock Markets Equilibrium Models of Asset Pricing 8 2. 1 2. 1. 1 The Martigale Model of Stock Prices 8 2. 1. 2 Lucas' Consumption Based Asset Pricing Model 9 2. 2 Econometric Tests of the Efficient Market Hypothesis 13 2. 2. 1 Autocorrelation Based Tests 14 16 2. 2. 2 Volatility Tests Time-Varying Expected Returns 25 2. 2. 3 3 The Informational Role of Volume 29 3. 1 Standard Grossman-Stiglitz Model 31 3. 2 The No-Trad Result of the BEO Model 34 A Model with Nontradable Asset 37 3. 3 4 Volume and Volatility of Stock Returns 43 4. 1 Empirical and Numerical Results 45 4.
Author: Alan Kirman
Publisher: Springer Science & Business Media
ISBN: 3642564720
Category : Business & Economics
Languages : en
Pages : 340
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Book Description
This book analyses situations in which individual agents, who might be different from each other, interact and produce behaviour on the aggregate level which does not correspond to that of the average actor. This leads to aggregate outcomes which would be impossible to explain in a more standard approach. Aggregation generates structure and, as a result, interaction and heterogeneity can be handled and we no longer have to rely on the over-simplified reduction of the behaviour of the economy to that of a "rational" individual.
Author: Stefan Voß
Publisher: Springer Science & Business Media
ISBN: 3642564232
Category : Business & Economics
Languages : en
Pages : 465
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Book Description
This proceedings volume consists of selected papers presented at the Eighth International Conference on Computer-Aided Scheduling 0/Public Transport (CASPT 2000), which was held at the conference center of the Konrad rd Adenauer-Foundation in Berlin, Germany, from June 2pt to 23 , 2000. The CASPT 2000 is the continuation of aseries of international workshops and conferences presenting recent research and progress in computer-aided scheduling in public transport.Previous workshops and conferences were held in • Chicago (1975), • Leeds (1980), • Montreal (1983 and 1990), • Hamburg (1987), • Lisbon (1993) and • Cambridge, Mass. (1997).1 With CASPT 2000, our series of workshops and conferences celebrated th its 25 anniversary. Starting with a Workshop on Automated Techniques [or Scheduling 0/ Vehicle Operators [or Urban Public Transportation Services in 1975 the scope and purpose has broadened since and still continues to do so. The previous workshops and conferences were focused on public mass transit, and while this remained the primary focus ofthe 2000 conference, it included also computer-aided scheduling methods being developed and applied in re lated means of passenger transport systems. Commonalities regarding op erations research techniques such as, e.g., column generation techniques and 1 While there were no formal proceedings for the first workshop but only a p- printed copy of all papers issued to participants on arrival, the subsequent ones are weil documented as folIows: Wren, A. (Ed.) (1981). Computer Scheduling 0/ Public Transport. North Holland, Amsterdam.
Author: B.Philipp Kellerhals
Publisher: Springer Science & Business Media
ISBN: 3662219018
Category : Business & Economics
Languages : en
Pages : 243
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Book Description
Straight after its invention in the early sixties, the Kalman filter approach became part of the astronautical guidance system of the Apollo project and therefore received immediate acceptance in the field of electrical engineer ing. This sounds similar to the well known success story of the Black-Scholes model in finance, which has been implemented by the Chicago Board of Op tions Exchange (CBOE) within a few month after its publication in 1973. Recently, the Kalman filter approach has been discovered as a comfortable estimation tool in continuous time finance, bringing together seemingly un related methods from different fields. Dr. B. Philipp Kellerhals contributes to this topic in several respects. Specialized versions of the Kalman filter are developed and implemented for three different continuous time pricing models: A pricing model for closed-end funds, taking advantage from the fact, that the net asset value is observable, a term structure model, where the market price of risk itself is a stochastic variable, and a model for electricity forwards, where the volatility of the price process is stochastic. Beside the fact that these three models can be treated independently, the book as a whole gives the interested reader a comprehensive account of the requirements and capabilities of the Kalman filter applied to finance models. While the first model uses a linear version of the filter, the second model using LIBOR and swap market data requires an extended Kalman filter. Finally, the third model leads to a non-linear transition equation of the filter algorithm.
Author: Andranik Tangian
Publisher: Springer Science & Business Media
ISBN: 3642487734
Category : Business & Economics
Languages : en
Pages : 301
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Book Description
For several decades, scholars have developed methods for solving optimization problems which emerge in economics, econometrics, operations research, and other disciplines. A considerable effort has been made to construct equations from which constraints can be derived, but surprisingly little has been done to construct the other part of optimization models: the scalar-valued objective function, the constrained maximum or minimum of which gives the optimal solution. The given volume is intended to attract attention to the problem, to present the major achievements in the field and to stimulate further research and teaching.
Author: Nicolas Hadjisavvas
Publisher: Springer Science & Business Media
ISBN: 3642566456
Category : Mathematics
Languages : en
Pages : 422
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Book Description
Various generalizations of convex functions have been introduced in areas such as mathematical programming, economics, management science, engineering, stochastics and applied sciences, for example. Such functions preserve one or more properties of convex functions and give rise to models which are more adaptable to real-world situations than convex models. Similarly, generalizations of monotone maps have been studied recently. A growing literature of this interdisciplinary field has appeared, and a large number of international meetings are entirely devoted or include clusters on generalized convexity and generalized monotonicity. The present book contains a selection of refereed papers presented at the 6th International Symposium on Generalized Convexity/Monotonicity, and aims to review the latest developments in the field.
Author: Arvid Aulin
Publisher: Springer Science & Business Media
ISBN: 3642958613
Category : Business & Economics
Languages : en
Pages : 212
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Book Description
The author shows that the enormous gap between theory and facts in modern macroeconomics can only be eliminated by nonlinear macroeconomic dynamics with the following special characteristics: First of all, only certain group-theoretical invariants generate the correct growth cycles with irregularly varying lengths, not any stochastic process as usually applied for this purpose. Furthermore, a special extended value function and generalized human capital are needed for a correct representation of scientific and technological innovation. Finally, the correct nonlinear macroeconomic dynamics are not reducible to microeconomics, for both of the above mentioned reasons.
