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Affine mortality models with jumps : parameter estimation and forecasting
Garces, Len Patrick Dominic M.; Kolar, Jovana; Sherris, … - 2022
Persistent link: https://www.econbiz.de/10013534309
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Stochastic processes of limited frequency and the effects of oversampling
Pollock, David Stephen G. - 2017
Persistent link: https://www.econbiz.de/10011581636
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
Persistent link: https://www.econbiz.de/10014490330
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Explicit solution of inventory problems with delivery lags
Bar-Ilan, Avner; Sulem, Agnès - 1991
Persistent link: https://www.econbiz.de/10000910119
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When do inventories destabilize the economy? : An analytical approach to (S,s) policies
Wang, Pengfei; Wen, Yi; Xu, Zhiwei - 2011
Conventional wisdom has it that inventory investment destabilizes the economy be-cause it is procyclical to sales. Khan … the existing (S,s) inventory literature that relies on the Krusell-Smith (1998) numerical solution methods, we … characterize (S,s) inventory policies in closed form despite the large state space in our general equilibrium model. Standard log …
Persistent link: https://www.econbiz.de/10009008699
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Analysis of numerical errors
Peralta-Alva, Adrian; Santos, Manuel - 2012
Persistent link: https://www.econbiz.de/10009681262
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Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han; Fei, Yijie; Yu, Jun - 2023
Persistent link: https://www.econbiz.de/10014329798
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Transit trade
Carballo, Jerónimo; Schaur, Georg; Graziano, Alejandro; … - 2016 - This version: March 2016
In this paper, we estimate the effects of transit systems that substantially streamline administrative processing of trade flows. In so doing, we use a unique dataset that consists of the entire universe of El Salvador's export transactions over the period 2007-2013 and includes information on...
Persistent link: https://www.econbiz.de/10011521273
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Pitfalls in estimating jump-diffusion models
Honoré, Peter - 1998
Persistent link: https://www.econbiz.de/10000994072
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A representation and calculation of the long-memory Ornstein-Uhlembeck process
Høg, Esben P. - 1998
Persistent link: https://www.econbiz.de/10001411168