Search Results - subject:"STochastic process"

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 946-957

Persistent link: https://www.econbiz.de/10015053510

Testing for strict stationarity via the discrete fourier transform

Fu, Zhonghao; Gao, Shang; Su, Liangjun; Wang, Xia - In: Econometric theory 40 (2024) 3, pp. 511-557

Persistent link: https://www.econbiz.de/10015055106

Do business cycles result from stochastic shocks?

Zhu, Yi - In: Macroeconomic dynamics 28 (2024) 5, pp. 1150-1160

Persistent link: https://www.econbiz.de/10015055140

Expressive mortality models through Gaussian process kernels

Risk, Jimmy; Ludkovski, Mike - In: ASTIN bulletin : the journal of the International … 54 (2024) 2, pp. 327-359

Persistent link: https://www.econbiz.de/10015055291

Option pricing under market maker's inventory risk : a case study of China

Deng, Zhijian; Yao, Yuhang - In: Finance research letters 66 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10015057717

Minimally incomplete sampling and convergence of adaptive play in 2 x 2 games

Holdahl, Ethan; Nouweland, Anne van den - In: Economic theory bulletin 12 (2024) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014582870

Bringing parametric mortality indexes to practice : a generalized CBD model with stochastic socioeconomic differentials in mortality improvements

Zhou, Kenneth Q.; Li, Johnny S.-H.; Lyu, Pintao - In: The Geneva papers on risk and insurance - issues and … 49 (2024) 2, pp. 295-319

Persistent link: https://www.econbiz.de/10014583147

Optimal trend-following rules in two-state regime-switching models

Zakamulin, Valeriy; Giner, Javier - In: The journal of asset management : a major new, … 25 (2024) 4, pp. 327-348

Persistent link: https://www.econbiz.de/10014583459

Dynamic Stochastic General Equilibrium Models : Real Business Cycles Models: Closed and Open Economy

Gil, Hamilton Galindo; Montecinos Bravo, Alexis; Ortiz, … - 2024

An Overview of RBC models -- Dynare Foundations: solving and simulating DSGE models -- RBC model with analytical solution -- RBC model with constant labor -- RBC model with variable labor -- RBC model with shock to investment and variable use of capital -- Small Open Economy RBC -- Dynamic...

Persistent link: https://www.econbiz.de/10014631749

Complex-Valued Econometrics with Examples in R : Modelling, Regression and Applications

Svetunʹkov, Sergej Gennadʹevič; Svetunkov, Ivan - 2024

Chapter 1. Introduction to theory of complex variables -- Chapter 2. Simple Complex Linear Regression -- Chapter 3. Correlation analysis of complex random variables -- Chapter 4. Multiple Complex Linear Regression -- Chapter 5. Assumptions of Complex Linear Models -- Chapter 6. Complex Dynamic...

Persistent link: https://www.econbiz.de/10014631750