Pareto optimality and competitive equilibrium in infinite horizon economies

The paper presents a general model of a decentralized economy evolving over an infinite time horizon. Alternative notions of price systems, competitive equilibria, efficiency and optimality are introduced. The main results characterize conditions under which the two fundamental theorems of welfare economics are valid in such a general framework.     

Random dynamical systems: a review

Summary. This paper provides a review of some results on the stability of random dynamical systems and indicates a number of applications to stochastic growth models, linear and non-linear time series models, statistical estimation of invariant distributions, and random iterations of quadratic maps.Received: 16 August 2002, Revised: 9 January, 2003, JEL Classification Numbers: C1, C6, D8, D9. Correspondence to: Mukul MajumdarThanks are due to A. Goswami and B.V. Rao for their detailed comments on an earlier version.     

Forecasting Nevada gross gaming revenue and taxable sales using coincident and leading employment indexes

This article provides out-of-sample forecasts of Nevada gross gaming revenue (GGR) and taxable sales using a battery of linear and non-linear forecasting models and univariate and multivariate techniques. The linear models include vector autoregressive and vector error-correction models with and without Bayesian priors. The non-linear models include non-parametric and semi-parametric models, smooth transition autoregressive models, and artificial neural network autoregressive models. In addition to GGR and taxable sales, we employ recently constructed coincident and leading employment indexes for Nevada’s economy. We conclude that the non-linear models generally outperform linear models in forecasting future movements in GGR and taxable sales.     

Optimal time to sell a stock in the Black–Scholes model: comment on ‘Thou shalt buy and hold’, by A. Shiryaev,Z. Xu and X.Y. Zhou

We reconsider the problem of the optimal time to sell a stock studied by Shiryaev et al. (2008 Shiryaev, A, Xu, Z and Zhou, XY. 2008. Thou shalt buy and hold. Quant. Finan., 8: 765–776. [Taylor & Francis Online], [Web of Science ®] , [Google Scholar]) (following in this issue of Quantitative Finance) using path integral methods. These methods allow us to confirm the results obtained by these authors and extend them to the entire parameter region. We also obtain the full distribution of the time t_m at which the maximum of the price is reached for arbitrary values of the drift.     

Stochastic equilibrium: Concepts and computations for Lindley processes

This paper deals with the question of estimating an invariant distribution of Lindley processes using simulation techniques. The results are of interest in problems of resource management with supply-side uncertainty and constant harvesting.     

Legal form of the firm and overseas market choice in India’s software and IT industry

Drawing upon the economics, international business, and law literatures, we hypothesize that variations in governance characteristics, associated with firms being public limited companies, private limited companies, or unincorporated enterprises, influence the internationalization patterns of the software and information technology (IT) companies in India. The results provide some support for our hypotheses, as variations in legal form were found to significantly impact regional sales in the US and Canada, Europe, Latin America, and the Middle East. Organizational size and business type were also significantly related to sales in a number of regions. Implications of our findings and directions for future research are discussed.     

Optimal Local Exchange Carrier Size

Optimal firm size and patterns of returns to scaleamong the local exchange companies in the U.S.telecommunications industry are estimated for theyears: 1975, 1978, 1981, 1984, 1987 and 1990. Theindependent companies display increasing returns toscale, while the Baby Bells display constant ordecreasing returns to scale. The independentcompanies operate at a scale smaller than optimalsize, while the Baby Bells operate at a scale greaterthan optimal size. Efficiencies can be gained byindustry restructuring, by allowing independents toexpand their size while the Baby Bells can bedownsized to create smaller units.