Search Results - subject:"Quadratic approximation"

Linear-quadratic approximation, external habit and targeting rules

Levine, Paul; Pearlman, Joseph G.; Pierse, Richard - European Central Bank - 2007

We examine the linear-quadratic (LQ) approximation of non-linear stochastic dynamic optimization problems in macroeconomics, in particular for monetary policy. We make four main contributions: first, we draw attention to a general Hamiltonian framework for LQ approximation due to Magill (1977)....

Persistent link: https://www.econbiz.de/10005530953

On Linear Quadratic Approximations

Debortoli, Davide; Nunes, Ricardo - Volkswirtschaftliche Fakultät, … - 2006

of a distorted steady state, it is always possible and relatively simple to obtain a purely quadratic approximation to …

Persistent link: https://www.econbiz.de/10005626848

Linear-Quadratic Approximation, Efficiency and Target-Implementability

Levine, Paul; Pearlman, Joseph; Pierse, Richard - Society for Computational Economics - SCE - 2006

stochastic non-linear dynamic optimization problem with a linear-quadratic approximation. We show that a procedure proposed by …

Persistent link: https://www.econbiz.de/10005342982

Quadratic approximation and convergence of some bush-based algorithms for the traffic assignment problem

Xie, Jun; Nie, Yu; Yang, Xiaoguang - In: Transportation Research Part B: Methodological 56 (2013) C, pp. 15-30

analysis suggests that the root cause to this interesting behavior is the inaccurate quadratic approximation constructed on … related to OBA (Bar-Gera, 2002). LUCE’s promise comes mainly from its use of the greedy method for solving the quadratic … approximation of node-based subproblems, which determines the search direction. While the greedy algorithm accelerates the solution …

Persistent link: https://www.econbiz.de/10010703226

Quadratic approximation for nonconvex penalized estimations with a diverging number of parameters

Lee, Sangin; Kim, Yongdai; Kwon, Sunghoon - In: Statistics & Probability Letters 82 (2012) 9, pp. 1710-1717

We propose an approximated penalized estimator (APE) that covers various statistical models and nonconvex penalties including the smoothly clipped absolute deviation (SCAD) penalty (Fan and Li, 2001) as a special case. The APE achieves the oracle property with a diverging number of parameters...

Persistent link: https://www.econbiz.de/10011039940

Welfare Effects of Monetary Policy Rules in a Model with Nominal Rigidities and Credit Market Frictions

Paustian, Matthias - Econometric Society - 2004

modelâ€™s nonlinear dynamics are captured by a quadratic approximation to the policy function. The firms net worth crucially …

Persistent link: https://www.econbiz.de/10005702718

Ordering Policy Rules with an Unconditional Welfare Measure

Damjanovic, Tatiana; Damjanovic, Vladislav; Nolan, Charles - Scottish Institute for Research in Economics (SIRE) - 2011

The unconditional expectation of social welfare is often used to assess alternative macroeconomic policy rules in applied quantitative research. It is shown that it is generally possible to derive a linear - quadratic problem that approximates the exact non-linear problem where the unconditional...

Persistent link: https://www.econbiz.de/10010550787

Ordering policy rules with an unconditional welfare measure

Damjanovic, Tatiana; Damjanovic, Vladislav; Nolan, Charles - Scottish Institute for Research in Economics (SIRE) - 2011

The unconditional expectation of social welfare is often used to assess alternative macroeconomic policy rules in applied quantitative research. It is shown that it is generally possible to derive a linear-quadratic problem that approximates the exact non-linear problem where the unconditional...

Persistent link: https://www.econbiz.de/10010550798

Chapter 14. Optimal Monetary Stabilization Policy

Woodford, Michael - In: Handbook of monetary economics : volume 3, (pp. 723-828). 2010

This chapter reviews the theory of optimal monetary stabilization policy in New Keynesian models, with particular emphasis on developments since the treatment of this topic in Woodford (2003). The primary emphasis of the chapter is on methods of analysis that are useful in this area, rather than...

Persistent link: https://www.econbiz.de/10014025628

On the quadratic valuation of American call options: challenging the functional form

Andrikopoulos, Andreas - In: International Journal of Financial Markets and Derivatives 1 (2009) 1, pp. 41-48

This paper extends the framework of semi-analytical approximations to the valuation of American options by exploring the performance of competing functional forms for the value of an American option. The value function of the early exercise premium is modelled as a product of two functions, one...

Persistent link: https://www.econbiz.de/10008755233