Markov - switching stochastic trends and economic fluctuations
Article Abstract:
A study on the short-run responses to permanent shocks and the effects of recessions in the long-run growth is presented. For this purpose, a Markov-switching common stochastic trends model is postulated. The findings of this are used to explore the short and long run asymmetric relationships among output, consumption and investment.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2005
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Option pricing with transaction costs using a Markov chain approximation
Article Abstract:
A procedure that optimally values the options in the presence of proportional transaction costs is developed. The effective algorithm that solves the problem of singular stochastic optimal control is discussed.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2004
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