Yongyang Cai

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Most current cost-benefit analyses of climate change policies suggest an optimal global climate policy that is significantly less stringent than the level required to meet the internationally agreed 2 °C target. This is partly because the sum of estimated economic damage of climate change across various sectors, such as energy use and changes in(More)
This paper introduces a dynamic stochastic integrated model of climate and economy (DSICE), and a numerical dynamic programming algorithm for its solution. More specifically, we solve an example with annual time periods, a six hundred year horizon, and shocks to the economic and climate system. Our dynamic programming methods solve such models on a laptop(More)
In this paper, we build an intraday model for volatility based on price change intensity. The quantity we model is thus named " volatensity ". The model is a combination of an Autoregressive Conditional Duration (ACD) structure resembling that of Engle and Russel (1998) and an additional term, inspired by the literature on Hawkes processes. The ACD(More)
Cai and Judd gratefully acknowledge NSF support (SES-0951576). The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of(More)