Search Results - subject:"Diffusion processes"

Estimation of semiparametric locally stationary diffusion models

Koo, Bonsoo; Linton, Oliver - In: Journal of Econometrics 170 (2012) 1, pp. 210-233

This paper proposes a class of locally stationary diffusion processes. The model has a time varying but locally linear …

Persistent link: https://www.econbiz.de/10010664686

The double power law in income distribution : explanations and evidence

Toda, Alexis Akira - In: Journal of economic behavior & organization : JEBO 84 (2012) 1, pp. 364-381

Persistent link: https://www.econbiz.de/10009700448

Utility based pricing and hedging of jump diffusion processes with a view to applications

Zahn, Jochen Wolfgang - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-22

Persistent link: https://www.econbiz.de/10009685882

Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data

Wilfling, Bernd; Trede, Mark - 2004

floating rates into a currency union have been derived. Technically, these stochastic equilibrium models are diffusion … processes which have to be estimated by discretely sampled observations. Using daily exchange rate data prior to the Greek EMU …

Persistent link: https://www.econbiz.de/10010295399

Estimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek EMU Data

Wilfling, Bernd; Trede, Mark - HWWA Institut für Wirtschaftsforschung - 2004

Persistent link: https://www.econbiz.de/10010957409

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

RandD, innovation, and Economic Growth; An Empirical Analysis

Ulku, Hulya - International Monetary Fund (IMF) - 2004

This paper investigates the main postulations of the R&D based growth models that innovation is created in the R&D sectors and it enables sustainable economic growth, provided that there are constant returns to innovation in terms of R&D. The analysis employs various panel data techniques and...

Persistent link: https://www.econbiz.de/10005826633

Knowledge Spillover from Information and Communication Technology: A Comparative Study of Australia, Japan, South Korea and Taiwan

Dutta, Dilip; Otsuka, Kozo - School of Economics, Faculty of Arts and Social Sciences - 2004

This paper analyses the role of information and communication technology (ICT) in Australia, Japan, South Korea and Taiwan within a framework of endogenous growth theory. The focus of this study is ‘knowledge spillover' from ICT. The empirical results suggest that the knowledge spillover from...

Persistent link: https://www.econbiz.de/10009141887

Bootstrap Specification Tests for Diffusion Processes

Corradi, Valentina; Swanson, Norman R. - 2003

This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed …

Persistent link: https://www.econbiz.de/10010263219

Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - Centre Interuniversitaire de Recherche en Analyse des … - 2003

This paper studies the limit distributions of Monte Carlo estimators of diffusion processes. Two types of estimators … diffusion processes. Dans cet article, nous étudions les distributions limites d'estimateurs de Monte Carlo de processus de …

Persistent link: https://www.econbiz.de/10005100796