This paper highlights connections between the discrete and continuous approaches to optimal auction design with single and multi-dimensional types. We provide an interpretaion of an optimal auction design problem in terms of a linear program that is an instance of a parametric shortest path problem on a lattice. We also solve some cases explicitly in the discrete framework. JEL Classification: ...

  The main purpose of present study is to analyze the relationship between stock and exchange markets in two Asian countries, Iran and South Korea. A monthly time series of stock price and exchange rate are used over the period 2002: 05 - 2012: 03. The data is collected from the Central Bank of each country and WDI. The calculated stock return and real exchange rate change are used in analysis....

We use a Wicksellian single rotation framework to analyze the impact of the intertemporally fluctuating and stochastic mean-reverting interest rate process on the optimal harvesting threshold and thereby the expected length of the rotation period, when forest value is also stochastic following geometric Brownian motion and landowners are risk-averse. We provide an explicit solution for the two-...

we compare alternative monetary policies for iranian economy that this paper compares alternative monetary policy rules for iranian economy in faces to both internal and external shocks. for this purpose, we investigate the responses of macroeconomic variables respected to the money base and the terms of trade shocks, under three types of monetary rules including fixed exchange rate, inflation ...

the emphasis of this paper is the role of volatility indices on improvement artificial neural networks (anns) forecasting models for the daily usd/eur and usd/gbp exchange rates two volatility indices are used. first; the realized volatility, which is based on intra-daily data, and second the garch volatility. they are applied into the model in two ways. firstly, the lagged volatility index is ...

This paper develops a theory of regular Markov perfect equilibria in dynamic stochastic games. We show that almost all dynamic stochastic games have a finite number of locally isolated Markov perfect equilibria that are all regular. These equilibria are essential and strongly stable. Moreover, they all admit purification. JEL classification numbers: C73, C61, C62.

The paper proposes an Euler equation technique for analyzing the stability of differentiable stochastic programs. The main innovation is to use marginal reward directly as a Foster–Lyapunov function. This allows us to extend known stability results for stochastic optimal growth models, both weakening hypotheses and strengthening conclusions. JEL classification: C61; C62; O41

We provide necessary optimality conditions for a general class of discounted infinitehorizon dynamic optimization problems. As part of the resulting maximum principle we obtain explicit bounds on the adjoint variable, stronger than the transversality conditions in Arrow–Kurz form. r 2005 Elsevier B.V. All rights reserved. JEL classification: C60; C61

In a two-period pure exchange economy with financial assets, a temporary financial equilibrium is an equilibrium of the current spot and security markets given forecasts of future prices and returns. The temporary equilibrium model can then be interpreted as a Walrasian model where preferences depend on prices. This idenfication implies, among other consequences, the generic determinateness of ...