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Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already … estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined … with the particle filtering method is used as the estimation framework. Within the framework, we propose a novel approach …

Persistent link: https://www.econbiz.de/10014362627

Risk aversion in share auctions : estimating import rrents from TRQs in Switzerland

Häfner, Samuel - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 419-470

This paper analyzes risk aversion in discriminatory share auctions. I generalize the k‐step share auction model of Kastl (2011, 2012) and establish that marginal profits are set‐identified for any given coefficient of constant absolute risk aversion. I also derive necessary conditions for...

Persistent link: https://www.econbiz.de/10014308566

Estimation of the global number of vapers: 82 million worldwide in 2021

Jerzyński, Tomasz; Stimson, Gerry V. - In: Drugs, Habits and Social Policy 24 (2023) 2, pp. 91-103

Purpose Nicotine is consumed by one in five of the global adult population, mostly by smoking tobacco cigarettes. Modern electronic cigarettes came onto the market from around 2007 and have considerable potential to improve population health by displacing tobacco smoking. The purpose of this...

Persistent link: https://www.econbiz.de/10014707698

The mediating roles of GDP on the relationship between income inequality and life expectancy

Chuang, Chia-Chang - In: Asian Academy of Management journal 26 (2021) 2, pp. 101-116

This study examined the mediation effect of gross domestic product (GDP) on the relationship between life expectancy and income inequality based on data from 23 Organisation for Economic Co-operation and Development (OECD) countries for 2004 through 2014. To form a theoretical framework, Preston...

Persistent link: https://www.econbiz.de/10013286694

Formation of the forecasting model for Ukrainian : German migration system

Mulʹska, Olʹha; Baranyak, Ihor - In: Economy and forecasting : scientific journal (2019) 2, pp. 119-136

Persistent link: https://www.econbiz.de/10012939954

Productivity convergence and divergence in Latin America, 1970-2014

Kollias, Chrēstos; Tzeremes, Panayiotis; Tzeremes, … - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 315-337

The paper examines Latin American countries' productivity growth levels and their convergence patterns utilizing nonparametric frontier approaches. Utilizing a sample of 17 Latin American countries for the period 1970-2014 it estimates various productivity indexes alongside with their main...

Persistent link: https://www.econbiz.de/10012886332

Stock market investment and inflation : evidence from the United States and Canada

Sami, Janesh - In: Review of Economic Analysis : REA 13 (2021) 3, pp. 339-365

This paper examines the long-run relationship between goods prices and stock prices to understand whether stock market investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive distributed lag (ARDL) cointegration test developed by...

Persistent link: https://www.econbiz.de/10012886334

Shape evolution of the interest rate term structure

Chen, Biwei - In: Review of Economic Analysis : REA 13 (2021) 4, pp. 427-457

This paper adopts a novel approach to studying the evolution of interest rate term structure over the U.S. business cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct shapes and find the less frequent shapes intrinsically...

Persistent link: https://www.econbiz.de/10012886359

Disentangling permanent and transitory monetary shocks with a nonlinear taylor rule

Lafuente, Juan Angel; Monfort, Mercedes; Pérez, Rafaela; … - In: Economics : the open-access, open-assessment journal 15 (2021) 1, pp. 150-162

This article provides an estimation method to decompose monetary policy innovations into persistent and transitory … evolution of monetary shocks. This alternative formulation allows us to perform the maximum likelihood estimation for all the …

Persistent link: https://www.econbiz.de/10012887149

Corruption and international trade : a re-assessment with intra-national flows

Esteve Pérez, Silviano; Gil-Pareja, Salvador; … - In: Economics : the open-access, open-assessment journal 15 (2021) 1, pp. 187-198

This study re-examines the impact of corruption on international trade accounting for both inter- and intra-national flows in line with the latest advances in the gravity equation literature. Using a wide sample of countries for the period 1995-2017, our results show that the non-inclusion of...

Persistent link: https://www.econbiz.de/10012887151