Showing 1 - 10 of 494
Correlation matrices have many applications, particularly in marketing and financial economics - such as in risk management, option pricing and to forecast demand for a group of products in order to realize savings by properly managing inventories, etc. Various methods have been proposed by...
Persistent link: https://www.econbiz.de/10005790260
Using method of Lagrange multipliers, an attempt has been taken in this paper to derive mathematical formulation to devise optimal purchasing policy in order to maximize utility function subject to multiple constrained, in this particular illustration, two constraints: 1) budget constraint, and...
Persistent link: https://www.econbiz.de/10011110846
Health fluctuations render the outcome of any treatment switch uncertain, so that decision makers might have to wait for more information before optimally switching treatments. This paper sets up a stochastic model that provides an optimal rule for the timing of treatment switch. The results of...
Persistent link: https://www.econbiz.de/10011118532
The constant-relative-risk-aversion (CRRA) utility function is now predominantly used in quantitative macroeconomic studies. This function, however, is not bounded and thus creates problems when applying the standard tools of dynamic programming. This paper devises a method for "bounding" the...
Persistent link: https://www.econbiz.de/10005835410
This paper examines the changes induced by the actual financial crisis in the dynamic relation between the currency rates and the differentials of the interest rates from Romania and euro area. In the framework of the Uncovered Interest Rate Parity hypothesis we apply the Vector Autoregressive...
Persistent link: https://www.econbiz.de/10011108395
In this study we investigated several most popular Loss Given Default (LGD) models (LSM, Tobit, Three-Tiered Tobit, Beta Regression, Inflated Beta Regression, Censored Gamma Regression) in order to compare their performance. We show that for a given input data set, the quality of the model...
Persistent link: https://www.econbiz.de/10011108554
This study examines the relationship between stock market index and macroeconomic variables in Thailand. The results from Johansen cointegration test shows that the variables are cointegrated. Thus there exists a long-run relationship between the stock market index and a set of four...
Persistent link: https://www.econbiz.de/10011109781
We study a dynamic limit order market where agents may invest into a trading technology that grants them a speed advantage over others. Being fast is valuable because it allows limit orders to be revised quickly in the light of new information and therefore reduces the risk of being picked off....
Persistent link: https://www.econbiz.de/10011109990
This study examines the relationship between stock market index and macroeconomic variables in Thailand. The results from Johansen cointegration test shows that the variables are cointegrated. Thus there exists a long-run relationship between the stock market index and a set of four...
Persistent link: https://www.econbiz.de/10011110759
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high frequency trading technology. Special order types are...
Persistent link: https://www.econbiz.de/10011111120