Search Results - subject:"Probability approach"

Structural stochastic volatility in asset pricing dynamics: Estimation and model contest

Franke, Reiner; Westerhoff, Frank - 2011

In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It...

Persistent link: https://www.econbiz.de/10010304673

Quantifying survey expectations: What's wrong with the probability approach?

Breitung, Jörg; Schmeling, Maik - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2011

and Parkin (1975), the so-called "probability approach", we find that quantified expectations derived from the probability … approach display a surprisingly weak correlation with reported quantitative stock return forecasts. We trace the reason for …

Persistent link: https://www.econbiz.de/10009370463

Structural stochastic volatility in asset pricing dynamics: Estimation and model contest

Franke, Reiner; Westerhoff, Frank - Bamberg Economic Research Group on Government and … - 2011

Persistent link: https://www.econbiz.de/10009018206

Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds

Xiao, Tim - In: International Journal of Financial Markets and Derivatives 4 (2015) 1, pp. 1-25

This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk modelling. To correctly value hybrid defaultable financial instruments, e.g., convertible bonds, we present a new framework that relies on the probability distribution of a default jump rather...

Persistent link: https://www.econbiz.de/10011207829

Haavelmo’s Epistemology for an Inexact Science

Boumans, Marcel - In: History of Political Economy 46 (2014) 2, pp. 211-229

The first two chapters of Trygve Haavelmo’s Probability Approach provide a very rich epistemological framework for …

Persistent link: https://www.econbiz.de/10010775438

Trygve Haavelmo’s visit in Aarhus 1938-39

Bjerkholt, Olav - School of Economics and Management, University of Aarhus - 2007

immediately after his Aarhus stay leave for the United States, where he completed The Probability Approach in Econometrics (1944 … whether Haavelmo in Aarhus was already on a path towards the Probability Approach or, as suggested in the history of …

Persistent link: https://www.econbiz.de/10005198852

Application of Monte Carlo Simulation Technique to Design Flood Estimation: A Case Study for North Johnstone River in Queensland, Australia

Charalambous, James; Rahman, Ataur; Carroll, Don - In: Water Resources Management 27 (2013) 11, pp. 4099-4111

holistic approach of design flood estimation such as the Joint Probability Approach/Monte Carlo simulation can overcome some of …

Persistent link: https://www.econbiz.de/10010794367

Quantifying survey expectations: What’s wrong with the probability approach?

Breitung, Jörg; Schmeling, Maik - In: International Journal of Forecasting 29 (2013) 1, pp. 142-154

Carlson and Parkin (1975), the so-called “probability approach”, we find that quantified expectations derived from the probability … approach display a surprisingly weak correlation with the reported quantitative stock return forecasts. We trace the reason for …

Persistent link: https://www.econbiz.de/10011051436

A simple and precise method for pricing convertible bond with credit risk

Xiao, Tim - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 259-277

Persistent link: https://www.econbiz.de/10010259401

Structural stochastic volatility in asset pricing dynamics: Estimation and model contest

Franke, Reiner; Westerhoff, Frank - In: Journal of Economic Dynamics and Control 36 (2012) 8, pp. 1193-1211

Persistent link: https://www.econbiz.de/10010599367