Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

It is widely acknowledged that many financial markets exhibit a considerably greater degree of kurtosis (and sometimes also skewness) than is consistent with the Geometric Brownian Motion model of Black and Scholes (1973). Among the many alternative models that have been proposed in this context, two have become especially popular in recent years: models of jump-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to identifying simple criteria for judging the consistency of either model with data from a given market; our specific focus is on the patterns of skewness and kurtosis that arise in each case as the length of the interval of observations changes. We find that, regardless of the precise parameterization employed, these patterns are strikingly similar within each class of models, enabling a simple consistency test along the desired lines. As an added bonus, we find that for most parameterizations, the set of possible patterns differs sharply across the two models, so that data from a given market will typically not be consistent with both models. However, there exist exceptional parameter configurations under which skewness and kurtosis in the two models exhibit remarkably similar behavior from a qualitative standpoint. The results herein will be useful to empiricists, theorists and practitioners looking for parsimonious models of asset prices.

Bank assets.

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Capital assets pricing model. --- Capital --- Finance --- Investments --- Mathematical models.

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

invoking the fluctuation-dissipation theorems of Einstein and 2 more recently those of Callen and Kubo in order to get to manageable results. In this manner, great strides have been made in the development of the many-body problem without reaching the necessity to legitimize thermodynamics. Ther­ modynamics and statistical mechanics were used successful­ ly as bridges and guides to get the new ideas to conform to the macroscopic experiences (measurements). Hence the dis­ 3 interest of theoreticians. The frustration in attracting the at­ tention of the working physicists on this problem is vividly described in Carnap's (1978) account on the reception of his ideas and efforts at the Institute of Advanced Studies at Prin­ ceton where he worked on the Two Essays on Entropy; it al­ most amounted, he thought, to a conspiracy of silence. The priorities of theoretical physicists remain with the puzzles and the cranking at hand: Quantum Field Theory (QFT) and "creation and annihilation" physics, solid state physics, - to mention only a few research areas - command the attention of those working on the research frontiers. Thermodynamics is taken for granted and is thought to be an almost depleted research area. Whatever the subterfuges, the hand-waving arguments, the paedagogical red herrings, the procedures work and nothing can be gained by allocating intellectual re­ sources to resolve ambiguities with few, if any, expected rewards. Down deep, all believe that the regularization of the field will one day be accomplished.

Capital --- Kapitaal --- Science --- -Thermodynamics --- -Chemistry, Physical and theoretical --- Dynamics --- Mechanics --- Physics --- Heat --- Heat-engines --- Quantum theory --- Natural science --- Science of science --- Sciences --- Capital assets --- Fixed assets --- Economics --- Capitalism --- Infrastructure (Economics) --- Wealth --- Philosophy --- -Philosophy --- Thermodynamics --- Normal science --- Philosophy of science --- Chemistry, Physical and theoretical --- History. --- Economic theory. --- Physical chemistry. --- Biology—Philosophy. --- History, general. --- Economic Theory/Quantitative Economics/Mathematical Methods. --- Physical Chemistry. --- Philosophy of Biology. --- Chemistry, Theoretical --- Physical chemistry --- Theoretical chemistry --- Chemistry --- Economic theory --- Political economy --- Social sciences --- Economic man --- Annals --- Auxiliary sciences of history --- Capital. --- Philosophy.

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Knowledge management --- Gestion des connaissances --- Periodicals --- Périodiques --- E-journals --- Knowledge management. --- Business, Economy and Management --- Business Management --- Economics --- General and Others --- Organizational change and Development --- Quality Management --- -Knowledge management --- -658.403805 --- Management of knowledge assets --- Management --- Information technology --- Intellectual capital --- Organizational learning --- Electronic information resources --- -Periodicals

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This paper provides a new argument for “shock” versus “gradualism” in the implementation of trade policies. In the simple context of a small open economy with rational expectations, we consider the comparative welfare effects of eliminating an import tariff either immediately as an unanticipated shock, or gradually over a preannounced length of time. The gradualist policy introduces a distortion in consumption-accumulation decisions and generates welfare costs. And if the gradual change is extended over “too long” a period, these costs may exceed the long-run benefits of liberalization.

Investments: Commodities --- Exports and Imports --- Macroeconomics --- Taxation --- Open Economy Macroeconomics --- Trade Policy --- International Trade Organizations --- Macroeconomics: Consumption --- Saving --- Wealth --- International Investment --- Long-term Capital Movements --- Commodity Markets --- Public finance & taxation --- International economics --- Investment & securities --- Consumption --- Tariffs --- Trade liberalization --- Foreign assets --- Commodities --- Economics --- Tariff --- Commercial policy --- Investments, Foreign --- Commercial products