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On the Approximate Maximum Likelihood Estimation for Diffusion Processes
Chang, Jinyuan; Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2011
The transition density of a diffusion process does not admit an explicit expression in general, which prevents the full maximum likelihood estimation (MLE) based on discretely observed sample paths. Aït-Sahalia [J. Finance 54 (1999) 1361–1395; Econometrica 70 (2002) 223–262] proposed asymptotic...
Persistent link: https://www.econbiz.de/10011108755
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Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach
Li, Minqiang - Volkswirtschaftliche Fakultät, … - 2014
Many derivatives products are directly or indirectly associated with integrated diffusion processes. We develop a general perturbation method to price those derivatives. We show that for any positive diffusion process, the hitting time of its integrated process is approximately normally...
Persistent link: https://www.econbiz.de/10011113493
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Expansion formulae for local Lévy models
Stefano, Pagliarani; Pascucci, Andrea; Candia, Riga - Volkswirtschaftliche Fakultät, … - 2011
We propose a novel method for the analytical approximation in local volatility models with Lèvy jumps. In the case of Gaussian jumps, we provide an explicit approximation of the transition density of the underlying process by a heat kernel expansion: the approximation is derived in two ways,...
Persistent link: https://www.econbiz.de/10009367966
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Government Spending and Consumer Attitudes Toward Risk, Time Preference, and Intertemporal Substitution: An Econometric Analysis
Hatzinikolaou, Dimitris; Ahking, Francis - Volkswirtschaftliche Fakultät, … - 1995
consumer toward risk, time preference, and intertemporal substitution. The null hypothesis is that a growing government sector … does not affect the consumer's behavior, and the alternative is that it causes him to become less risk averse, more …
Persistent link: https://www.econbiz.de/10011107306
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Sophisticated gambler’s ruin and survival chances
Mehta, Salil - Volkswirtschaftliche Fakultät, … - 2013
risk neutral probabilities associated an adjustment to asymmetrical views. …
Persistent link: https://www.econbiz.de/10011107373
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Risk preference elicitation without the confounding effect of probability weighting
Drichoutis, Andreas; Lusk, Jayson - Volkswirtschaftliche Fakultät, … - 2012
In this paper we show that the wildly popular Holt and Laury (2002) risk preference elicitation method confounds … estimates of the curvature of the utility function, the traditional notion of risk preference, with an estimate of the extent to … that our new method yields significantly different levels of implied risk aversion than the Holt and Laury task even after …
Persistent link: https://www.econbiz.de/10011107621
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Risk, ambiguity and sovereign rating
Di Caro, Paolo - Volkswirtschaftliche Fakultät, … - 2014
Decisions of investing in sovereign assets involve both risk and ambiguity. Ambiguity arises from unknown elements …
Persistent link: https://www.econbiz.de/10011107677
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A justification for the role of audits?: adoption of International Financial Reporting Standards (IFRS) and jurisdictional analyses (Brazil, China,Japan and South Africa)
Ojo, Marianne - Volkswirtschaftliche Fakultät, … - 2014
between systemic risk and information asymmetries – hence the justification for greater focus on information channels as well …
Persistent link: https://www.econbiz.de/10011107937
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Mechanizm wczesnego ostrzegania firm inwestycyjnych
Staszkiewicz, Piotr W. - Volkswirtschaftliche Fakultät, … - 2013
The entire market of Polish financial broker-dealer was examined. The research was conducted on the first year of implementation of the capital requirements disclosure. There was identified a relation between accounting and supervisory disclosure requirements. A relation between audit opinions...
Persistent link: https://www.econbiz.de/10011108192
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Rescue costs and financial risk
Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2014
(including external risk factors); the policy implications of this analysis are projected after evaluating two fundamental issues …
Persistent link: https://www.econbiz.de/10011108272