Search Results - subject:"Nonlinear diffusion"

Large deviation principle for spatial economic growth model on networks

Albeverio, Sergio; Mastrogiacomo, Elisa - In: Journal of mathematical economics 103 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014230373

A multifactor transformed diffusion model with applications to VIX and VIX futures

Bu, Ruijun; Jawadi, Fredj; Li, Yuyi - In: Econometric reviews 39 (2020) 1, pp. 27-53

Persistent link: https://www.econbiz.de/10012181537

Hybrid stochastic local unit roots

Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 215 (2020) 1, pp. 257-285

Persistent link: https://www.econbiz.de/10012439454

An empirical comparison of transformed diffusion models for VIX and VIX futures

Bu, Ruijun; Jawadi, Fredj; Li, Yuyi - In: Journal of international financial markets, … 46 (2017), pp. 116-127

Persistent link: https://www.econbiz.de/10011745478

Specification analysis in regime-switching continuous-time diffusion models for market volatility

Bu, Ruijun; Cheng, Jie; Hadri, Kaddour - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 65-80

Persistent link: https://www.econbiz.de/10011650223

Spatial Growth: The Distribution of Capital across Locations when Saving Rates are Exogenous

Xepapadeas, Anastasios; Yannacopoulos, Athanasios; … - Department of International and European Economic … - 2014

accumulation equation augmented by a nonlinear diffusion term, which characterizes spatial movements. Our results suggest that …

Persistent link: https://www.econbiz.de/10010959935

Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions

Lieberman, Offer; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

limit theory provided which leads to a new nonlinear diffusion process limit showing the form of the drift and conditional …

Persistent link: https://www.econbiz.de/10011184577

Spatial growth with exogenous saving rates

Xepapadeas, Anastasios; Yannacopoulos, Athanasios N. - In: Journal of mathematical economics 67 (2016), pp. 125-137

Persistent link: https://www.econbiz.de/10011666156

Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate"

Phillips, Peter C.B.; Yu, Jun - School of Economics, Singapore Management University - 2010

An error is corrected in Yu and Phillips (2001) (Econometrics Journal, 4, 210-224) where a time transformation was used to induce Gaussian disturbances in the discrete time equivalent model. It is shown that the error process in this model is not a martingale and the Dambis, Dubins-Schwarz (DDS)...

Persistent link: https://www.econbiz.de/10008725921

On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players

Kolokolʹcov, Vassilij N.; Troeva, Marianna; Yang, Wei - In: Dynamic games and applications : DGA 4 (2014) 2, pp. 208-230

Persistent link: https://www.econbiz.de/10010416216