Search Results - subject:"moment matching"

Pricing of discretely sampled arithmetic Asian options, under the Hull-White interest rate model

Kim, Bara; Kim, Jeongsim; Yoon, Hyungkuk; Lee, Jinyoung - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015135005

Parameter estimation for a bivariate beta distribution with arbitrary beta marginals and positive correlation

Trick, Susanne; Rothkopf, Constantin A.; Jäkel, Frank - In: METRON 81 (2023) 2, pp. 163-180

algorithm for estimating the parameters of the distribution using moment matching. We evaluate this inference method in a …

Persistent link: https://www.econbiz.de/10015191610

Implementation of variance reduction techniques applied to the pricing of investment certificates

Bottasso, Anna; Fusaro, Michelangelo; Giribone, Pier … - In: Risk management magazine 18 (2023) 1, pp. 19-42

, Moment Matching and Control Variates. …

Persistent link: https://www.econbiz.de/10014327175

The inflationary effects of sectoral reallocation

Ferrante, Francesco; Graves, Sebastian; Iacoviello, Matteo - 2023

Persistent link: https://www.econbiz.de/10014286786

On the goodness-of-fits of the generalized lambda distribution on high-frequency stock index returns

Owusu Junior, Peterson; Jeyasreedharan, Nagaratnam; … - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-20

) for high-frequency 5-min returns sampled from the DJI30 Index. Applying Moment Matching (MM) and Maximum Likelihood …

Persistent link: https://www.econbiz.de/10015074104

On the goodness-of-fits of the generalized lambda distribution on high-frequency stock index returns

Owusu Junior, Peterson; Jeyasreedharan, Nagaratnam; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-20

) for high-frequency 5-min returns sampled from the DJI30 Index. Applying Moment Matching (MM) and Maximum Likelihood …

Persistent link: https://www.econbiz.de/10013426215

A simple approach to overcome the problems arising from the Keynesian stability condition

Franke, Reiner - In: European Journal of Economics and Economic Policies: … 14 (2017) 1, pp. 48-69

The Keynesian stability condition is a necessary assumption for the IS equilibrium concept to make economic sense. With reasonable values for the saving parameter(s), however, it typically implies excessively strong multiplier effects. This is more than a cosmetic issue, not least because any...

Persistent link: https://www.econbiz.de/10014363285

Identification of prior information via moment-matching

Sacht, Stephen - 2014

to the unit interval, in order to allow for a more diffuse prior distribution. Second, we combine the Moment-Matching (MM …-stage estimation procedure - the so-called Moment-Matching based Bayesian (MoMBay) estimation approach - where we take the point …

Persistent link: https://www.econbiz.de/10010330305

Identification of prior information via moment-matching

Sacht, Stephen - Institut für Volkswirtschaftslehre, … - 2014

Persistent link: https://www.econbiz.de/10010954809

A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains

Gospodinov, Nikolay; Lkhagvasuren, Damba - 2013

This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains …

Persistent link: https://www.econbiz.de/10010397710