Search Results - subject:"Diffusion Model"

Simulated Maximum Likelihood Estimation for Latent Diffusion Models

Kleppe, Tore Selland; Yu, Jun; Skaug, Hans J. - School of Economics, Singapore Management University - 2012

In this paper a method is developed and implemented to provide the simulated maximum likelihood estimation of latent diffusions based on discrete data. The method is applicable to diffusions that either have latent elements in the state vector or are only observed at discrete time with a noise....

Persistent link: https://www.econbiz.de/10010539803

Warrant pricing under GARCH diffusion model

Wu, Xin-yu; Ma, Chao-qun; Wang, Shouyang - In: Economic modelling 29 (2012) 6, pp. 2237-2244

Persistent link: https://www.econbiz.de/10009673781

Jump spillovers in energy futures markets : implications for diversification benefits

Liu, Qingfu; Tu, Anthony H. - In: Energy economics 34 (2012) 5, pp. 1447-1464

Persistent link: https://www.econbiz.de/10009688077

An Examination of new product diffusion models

van de Capelle, Jean-Pierre - 2004

on parameter extraction techniques, which is continued in subsequent sections.The application of the Bass diffusion model … for the Xerox DocuTech family of products is discussed.The application of the Bass diffusion model in the digital color …

Persistent link: https://www.econbiz.de/10009459223

Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2004

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and...

Persistent link: https://www.econbiz.de/10005605330

Biomedical technology growth: a case study of forecasting in pulsed electromagnetic field therapy

Pretorius, Leon; Winzker, Dietmar H. - In: Foresight 13 (2011) 5, pp. 61-69

diffusion model are utilized to assess the growth rate and market penetration of pulsed electromagnetic field therapy (PEMF) as … data presented. Furthermore it is possible to simulate the PEMF therapy technology diffusion process with a Bass diffusion … model incorporating innovation imitation and market size coefficients. …

Persistent link: https://www.econbiz.de/10014743161

On the scale diffusivity of a 2-D liquid atomization process analysis

Dumouchel, C.; Grout, S. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 10, pp. 1811-1825

dimension and can be modeled by the scale entropy diffusion model developed to treat the evolution of turbulent interface. This … paper confirm the relevance of the scale entropy diffusion model to apprehend and characterize liquid atomization processes. …

Persistent link: https://www.econbiz.de/10010872987

Note: A Reply to "New Product Diffusion Decisions Under Supply Constraints"

Ho, Teck-Hua; Savin, Sergei; Terwiesch, Christian - In: Management Science 57 (2011) 10, pp. 1811-1812

In our prior work on product diffusions in presence of a capacity constraint, we postulated that a firm operating in such an environment should always attempt to fulfill as much of the present demand as is possible with the capacity constraint. In other words, the firm would never have demand...

Persistent link: https://www.econbiz.de/10010990550

Option Pricing Under a Mixed-Exponential Jump Diffusion Model

Cai, Ning; Kou, S. G. - In: Management Science 57 (2011) 11, pp. 2067-2081

jump size distributions. More precisely, we propose a jump diffusion model for asset prices whose jump sizes have a mixed …-tailed distributions. The mixed-exponential jump diffusion model can lead to analytical solutions for Laplace transforms of prices and …

Persistent link: https://www.econbiz.de/10010990633

Functional data analysis for volatility

Müller, Hans-Georg; Sen, Rituparna; Stadtmüller, Ulrich - In: Journal of Econometrics 165 (2011) 2, pp. 233-245

We introduce a functional volatility process for modeling volatility trajectories for high frequency observations in financial markets and describe functional representations and data-based recovery of the process from repeated observations. A study of its asymptotic properties, as the frequency...

Persistent link: https://www.econbiz.de/10011052331