Search Results - subject:"factor modelling"

A source of funding for illicit activities or a solution to crime? : evidence from remittance inflows to Jamaica

Kufuor, Nana Kwabena; Williams, Kevin - In: Journal of international development : the journal of … 36 (2024) 1, pp. 3-25

Persistent link: https://www.econbiz.de/10014472558

A parametric factor model of the term structure of mortality

Haldrup, Niels; Rosenskjold, Carsten P. T. - In: Econometrics 7 (2018) 1, pp. 1-22

The prototypical Lee-Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are designed to influence the age groups...

Persistent link: https://www.econbiz.de/10012696224

A parametric factor model of the term structure of mortality

Haldrup, Niels; Rosenskjold, Carsten P. T. - In: Econometrics : open access journal 7 (2019) 1/9, pp. 1-22

Persistent link: https://www.econbiz.de/10012025646

The multivariate supOU stochastic volatility model

Barndorff-Nielsen, Ole Eiler; Stelzer, Robert - School of Economics and Management, University of Aarhus - 2009

)OU stochastic volatility models can be combined with a factor modelling approach. …)OU stochastic volatility models can be combined with a factor modelling approach. AMS Subject Classification 2000: Primary: 62M10 …, 91B28 Secondary: 60G51, 91B84 JEL Classification: C1, C5, G0, G1 Keywords: factor modelling, L´evy bases, linear …

Persistent link: https://www.econbiz.de/10008566316

Alpha or Not Alpha: The Case of the Hedge Fund Industry

Pirotte, Hugues; Tuchschmid, Nils - Solvay Brussels School of Economics and Management, … - 2014

Since the Markowitz mean-variance framework of 1952 and the subsequent discoveries of the CAPM and the APT, finance researchers have always strived to produce a reference performance measure adjusted for risk. With such a measure, any supplemental return would be denominated as “alpha”. But...

Persistent link: https://www.econbiz.de/10011163409

Organisational innovation: A Proposal for measurement

Weerawardena, Jay - 2004

In spite of the prominence assigned to innovation in the strategic marketing literature particularly in the area of competitive strategy there have been several inadequacies in the conceptualization and measurement of the innovation construct. Responding to the need for a comprehensive measure,...

Persistent link: https://www.econbiz.de/10009448259

An optimal consumption model with stochastic volatility

Fleming, Wendell H.; Hernández-Hernández, Daniel - In: Finance and Stochastics 7 (2003) 2, pp. 245-262

We consider an optimal consumption and investment model in continuous time, which is an extension of the original Merton's problem. In the proposed model, the asset prices are affected by correlated economic factors, modelled as diffusion processes. Writing the value function in a special form,...

Persistent link: https://www.econbiz.de/10005613432