Search Results - subject:"factorization"

System reduction and the accuracy of solutions of DSGE models: A note

Heiberger, Christopher; Klarl, Torben; Maußner, Alfred - 2012

generalized Schur factorization since it allows for a flexible formulation of the model and exempts the researcher from …

Persistent link: https://www.econbiz.de/10010332647

Long-term factorization of affine pricing kernels

Qin, Likuan; Linetsky, Vadim - In: Mathematics and financial economics 11 (2017) 4, pp. 479-498

Persistent link: https://www.econbiz.de/10011900582

Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123

Persistent link: https://www.econbiz.de/10011765022

Long-term risk : a martingale approach

Qin, Likuan; Linetsky, Vadim - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 299-312

Persistent link: https://www.econbiz.de/10011738495

Mining user movement similarity based on massive GPS trajectory data with temporal effects

Yuan, Hua; Lu, Feng; Yu, Qian - In: Journal of electronic commerce research : JECR 18 (2017) 4, pp. 303-316

Persistent link: https://www.econbiz.de/10011780037

Ultra-fast pricing barrier options and CDSs

Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-27

Persistent link: https://www.econbiz.de/10011734044

An algorithmic analysis of the BMAP/MSP/1 generalized processor-sharing queue

Ghosh, Souvik; Banik, A. D. - In: Computers & operations research : and their … 79 (2017), pp. 1-11

Persistent link: https://www.econbiz.de/10011672809

On the numerical accuracy of first-order approximate solutions to DSGE models

Heiberger, Christopher; Klarl, Torben; Maußner, Alfred - In: Macroeconomic dynamics 21 (2017) 7, pp. 1811-1826

Persistent link: https://www.econbiz.de/10011805958

Infinite-variance, alpha-stable shocks in monetary SVAR: Final working-paper version

Hannsgen, Greg - 2011

This paper adumbrates a theory of what might be going wrong in the monetary SVAR literature and provides supporting empirical evidence. The theory is that macroeconomists may be attempting to identify structural forms that do not exist, given the true distribution of the innovations in the...

Persistent link: https://www.econbiz.de/10010286529

"Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version"

Hannsgen, Greg - Levy Economics Institute - 2011

Persistent link: https://www.econbiz.de/10009251300

A service of the

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