Search Results - subject:"State variables"

Stochastic default risk estimation evidence from the South African financial market

Alfeus, Mesias; Fitzhenry, Kirsty; Lederer, Alessia - In: Computational economics 64 (2024) 3, pp. 1715-1756

Persistent link: https://www.econbiz.de/10015143953

Nowcasting GDP through the lens of economic states

Boudt, Kris; De Block, Arno; Langenus, Geert; Reusens, Peter - 2023

. For this end, we also construct new state variables for measuring the similarity of economic time periods using news data …

Persistent link: https://www.econbiz.de/10014550264

Nowcasting GDP through the lens of economic states

Boudt, Kris; De Block, Arno; Langenus, Geert; Reusens, Peter - 2023

. For this end, we also construct new state variables for measuring the similarity of economic time periods using news data …

Persistent link: https://www.econbiz.de/10014450791

The global determinants of international equity risk premiums

Londono, Juan M.; Xu, Nancy R. - In: Management science : journal of the Institute for … 70 (2024) 9, pp. 6374-6394

Persistent link: https://www.econbiz.de/10015138071

Maximum likelihood estimation of latent Markov models using closed-form approximations

Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu - In: Journal of econometrics 240 (2024) 2, pp. 1-49

Persistent link: https://www.econbiz.de/10015075088

The global determinants of international equity risk premiums

Londono, Juan M.; Xu, Nancy R. - 2021

Persistent link: https://www.econbiz.de/10012590216

Pricing of American Parisian option as executive option based on the least-squares Monte Carlo approach

Zhuang, Yangyang; Tang, Pan - In: The journal of futures markets 43 (2023) 10, pp. 1469-1496

Persistent link: https://www.econbiz.de/10014339456

Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model

Lee, Chien-Chiang; Lee, Hsiang-Tai - In: Global finance journal 55 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014248631

Mind the gap!: Stylized dynamic facts and structural models

Canova, Fabio; Ferroni, Filippo - 2020

We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but q1 q variables are used in an empirical model. Identified shocks are linear combinations of current and past values of all structural disturbances and do not...

Persistent link: https://www.econbiz.de/10012653027

Mind the gap! : stylized dynamic facts and structural models

Canova, Fabio; Ferroni, Filippo - 2020

Persistent link: https://www.econbiz.de/10012315456

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