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The ultra long run (ULR) discount rates are key inputs for valuing pension funds, life annuities, or firms with long run investments due to low carbon transition. However the corresponding zero-coupon bonds are only actively traded up to a last liquid point (LLP) such as 20 years, say. This...
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The Susceptible-Infected-Recovered (SIR) model is the cornerstone of epidemiological models. However, this specification depends on two parameters only, which implies a lack of flexibility and the difficulty to replicate the volatile reproduction numbers observed in practice. We extend the...
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We introduce Negative Binomial Autoregressive (NBAR) processes for (univariate and bivariate) count time series. The univariate NBAR process is defined jointly with an underlying intensity process, which is autoregressive gamma. The resulting count process is Markov, with negative binomial...
Persistent link: https://www.econbiz.de/10012926158
Whereas data on return volatilities are available for a large number of assets, this is less frequently the case of covolatilities. We introduce an approach based on static and dynamic Wishart models to solve this problem of missing data. We first discuss the identification of the parameter of...
Persistent link: https://www.econbiz.de/10014238991
The recursive prediction and filtering formulas of the Kalman filter are difficult to implementin nonlinear state space models. For Gaussian linear state space models, or for models with qualitativestate variables, the recursive formulas of the filter require the updating of a finite number...
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