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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
(Université de Montréal. Département de sciences économiques., 2001)
A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally ...
A Prudent Central Banker
(Université de Montréal. Département de sciences économiques., 2001)
This paper studies monetary policy in an economy where the central banker's preferences are asymmetric around optimal inflation. In particular, positive deviations from the optimum can be weighted more, or less, severely ...
Ranking Sets of Objects
(Université de Montréal. Département de sciences économiques., 2001)
We provide a survey of the literature on ranking sets of objects. The interpretations of those set rankings include those employed in the theory of choice under complete uncertainty, rankings of opportunity sets, set ...
Inflation Targeting Under Asymmetric Preferences
(Université de Montréal. Département de sciences économiques., 2001)
This paper develops and estimates a game-theoretical model of inflation targeting where the central banker's preferences are asymmetric around the targeted rate. In particular, positive deviations from the target can be ...
What Is a Commody? Two Axiomatic Anwers
(Université de Montréal. Département de sciences économiques., 2001)
We identify conditions under which preferences over sets of consumption opportunities can be reduced to preferences over bundles of \"commodities\". We distinguish ordinal bundles, whose coordinates are defined up to ...
Organizational Design of R&D Activities
(Université de Montréal. Département de sciences économiques., 2001)
This paper addresses the question of whether R&D should be carried out by an independent research unit or be produced in-house by the firm marketing the innovation. We define two organizational structures. In an integrated ...
An Eigenfunction Approach for Volatility Modeling
(Université de Montréal. Département de sciences économiques., 2001)
In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, ...
Trade Liberalization and the Profitability of Domestic Mergers
(Université de Montréal. Département de sciences économiques., 2001)
It is often thought that a tariff reduction, by opening up the domestic market to foreign firms, should lessen the need for a policy aimed at discouraging domestic mergers. This implicitly assumes that the tariff in question ...
A Theoretical Comparison Between Integrated and Realized Volatilies
(Université de Montréal. Département de sciences économiques., 2001)
In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for ...
Multiple Public Goods and Lexicographic Preferences Replacement Principle
(Université de Montréal. Département de sciences économiques., 2001)
We study the problem of locating two public goods for a group of agents with single-peaked preferences over an interval. An alternative specifies a location for each public good. In Miyagawa (1998), each agent consumes ...