Search Results - subject:"stochastic differential equations"

On the Estimation of Term Structure Models and An Application to the United States

International Monetary Fund (IMF); International … - 2010

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...

Persistent link: https://www.econbiz.de/10008727797

Upper and lower bounds on dynamic risk indifference prices in incomplete markets

De Scheemaekere, Xavier - Centre Emile Bernheim, Solvay Brussels School of … - 2010

Persistent link: https://www.econbiz.de/10008492330

Adaptive LASSO-type estimation for ergodic diffusion processes

Gregorio, Alessandro De; Iacus, Stefano - Dipartimento di Economia, Management e Metodi … - 2010

The LASSO is a widely used statistical methodology for simultaneous estimation and variable selection. In the last years, many authors analyzed this technique from a theoretical and applied point of view. We introduce and study the adaptive LASSO problem for discretely observed ergodic diffusion...

Persistent link: https://www.econbiz.de/10009324401

On Securitization, Market Completion and Equilibrium Risk Transfer

Horst, Ulrich; Pirvu, Traian A.; Reis, Gonçalo Dos - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

We propose an equilibrium framework within which to price financial securities written on non- tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences are described by a convex dynamic risk measure generated by the solution of...

Persistent link: https://www.econbiz.de/10008592381

A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions

Hurn, Stan; McClelland, Andrew; Lindsay, Kenneth - National Centre for Econometric Research (NCER) - 2010

-dimensional stochastic differential equations. The transitional density is taken to be a time-varying multivariate Gaussian where the first …

Persistent link: https://www.econbiz.de/10008694498

Complete closed-form solution to a stochastic growth model and corresponding speed of economic recovery

Feicht, Robert; Stummer, Wolfgang - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2010

differential equations. For this framework, we solve completely explicitly the problem of a social planner who seeks to maximize …, effectiveness of labor A, and labor force L; the corresponding dynamics is modelled by a system of three interrelated stochastic …

Persistent link: https://www.econbiz.de/10008695033

Oversampling of stochastic processes

Pollock, D.S.G. - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2010

Discrete-time ARMA processes can be placed in a one-to-one correspondence with a set of continuous-time processes that are bounded in frequency by the Nyquist value of ð radians per sample period. It is well known that, if data are sampled from a continuous process of which the maximum...

Persistent link: https://www.econbiz.de/10008464935

Adaptive LASSO-type estimation for ergodic diffusion processes

Iacus, Stefano Maria; De Gregorio, Alessandro - 2010

Persistent link: https://www.econbiz.de/10011752309

Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes

Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2009

Accurate scenario simulation methods for solutions of multi-dimensional stochastic differential equations find … methods have been developed over the years. However, the simulation of solutions of some stochastic differential equations can …-dimensional stochastic differential equations with solutions that can be simulated exactly. This avoids several of the theoretical and …

Persistent link: https://www.econbiz.de/10008506967

Quasi-exact Approximation of Hidden Markov Chain Filters

Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2009

differential equations to filtering. Stochastic differential equations with multiplicative noise naturally occur as Zakai equation …This paper studies the application of exact simulation methods for multi-dimensional multiplicative noise stochastic …

Persistent link: https://www.econbiz.de/10008506969