Economic dynamics : theory, games and empirical studies / Chester W. Hurlington, editor.

Format:

Book

Contributor:

Hurlington, Chester W.

Language:

English

Subjects (All):

Economics.

Economics--Mathematical models.

Statics and dynamics (Social sciences).

Physical Description:

1 online resource (230 p.)

Edition:

1st ed.

Place of Publication:

New York : Nova Science Publishers, c2009.

Language Note:

English

Summary:

Contents: Preface; Transitional Dynamics and Welfare Effects of the Public Investment; Levy Processes and Option Pricing by Recursive Quadrature; Labor Market Imperfections and Endogenous Business Cycles; Analyzing Economic Policy Using High Order Perturbations; Invariance in Economic Dynamics and the Sustainable Development Issue; Endogenous Capital Utilization and Depreciation under Capital Maintenance in the AK Growth; Social Status, the Spirit of Capitalism, and the Term Structure of Interest Rates in Stochastic Production Economies; On the Investment-Uncertainty Relationship; Realized Volatility and Correlation Estimators under Non-Gaussian Microstructure Noise; Why Increased Knowledge Does Not Necessarily Improve Trading Success: A Monte-Carlo Simulation; Index.

Contents:

Intro

Economic Dynamics: Theory, Games and Empirical Studies

Contents

Preface

Transitional Dynamics and Welfare Effects of the Public Investment/Output Ratio

Abstract

1.Introduction

2.The Environment

3.The Equilibrium, the Calibration, the Simulation and the Government Problem

4.The Public Investment Policy under Alternative Tax Scenarios

5.Sensitivity Analysis

6.Conclusions

7.Appendix: Solving the Dynamics

References

Levy Processes and Option Pricing by Recursive Quadature

2.The Levy Market Model for Discrete Monitoring Path De-pendent Options

3.An Hybrid Quadrature Based Numerical Method

4.Numerical Experiments

5.Conclusions

Appendix. Error Analysis.

Labor Market Imperfections and Endogenous Business Cycles

Introduction

The Model

The Full Employment Case

The Model with Sticky Wages: The Basic Equations

The Steady State

The Unstability of the Stationary Solution

Conclusions

Appendix 1: Derivation of Equation (16).

Appendix 2: Proof of Proposition I

Appendix III: Proof of Proposition II

Analyzing Economic Policy Using High Order Perturbations

2.The Ramsey Optimal Growth Model with Capital Taxation

3.The Method of General Perturbations

4. Applying the Method of General Perturbations to a Permanent Change in the Rate of Capital Taxation

5.Welfare Calculations

6.Conclusion

Appendix

Invariance in Economic Dynamics and the Sustainable Development Issue

Introduction: Sustainable Development Issue and Economic Dynamics

2.Neoclassical Growth Theory and the Environment

3.Invariance and Sustainability

4.Discussion

5.Conclusion

References.

Endogenous Capital Utilization and Depreciation under Capital Maintenance in the AK Growth Model

2.The Economy

3.The Optimization Problem

4.The Dynamic System and the Closed-Form Solution

5.Balanced Growth Path and Comparative Statics

7.Appendix

Social Status, the Spirit of Capitalism, and the Term Structure of Interest Rates in Stochastic Production Economies

1. Introduction

2. The Model

3. An Explicit Solution

4. Comparative Static Analysis

5. Equilibrium Interest Rates

Untitled

7. Conclusion

Appendix A: The Steady-State Distribution for a Diffusion Process

Appendix B: The Case of Non-separable Utility Function

On the Investment-Uncertainty Relationship

2.The Model

3.Solution to the Model

4.The Trigger-Uncertainty Relationship

5.The Investment-Uncertainty Relationship

Realized Volatility and Correlation Estimators under Non-Gaussian Microstructure Noise

2.Realized Power Volatility and Correlation

3.Self-similar Processes

4.Behavior on Finite Samples: Simulation Experiments

5.Empirical Behaviors of the Estimators

6.Conclusion and Discussion

Why Increased Knowledge Does not Necessarily Improve Trading Success: A Monte-Carlo Simulation

2. Market Model

3. Monte-Carlo Simulation

4. Conclusion

Index.

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

1-60876-761-2

OCLC:

761862315