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Traditional exchange rate models fail to explain stylized facts such as the high volatility or high trading volumes in an adequate way. Contemporary research has therefore increasingly turned to model the foreign exchange market in a more realistic setting, highlighting for instance the high...
Persistent link: https://www.econbiz.de/10005537565
This paper presents a computational model of learning which is intended to capture some basic observations of recent studies of game experiments. Furthermore it should give a satisfactory explanation for the coordinating behavior in the context of evolutionary games.In a repeated simple...
Persistent link: https://www.econbiz.de/10005537575
Various consistency proofs for the kernel density estimator have been developed over the last few decades. Important milestones are the pointwise consistency and almost sure uniform convergence with a fixed bandwidth on the one hand and the rate of convergence with a fixed or even a variable...
Persistent link: https://www.econbiz.de/10010981087
The time-continuous discrete-state Markov process is a model for rating transitions. One parameter, namely the intensity to migrate to an adjacent rating state, implies an ordinal rating to have an intuitive metric. State-specific intensities generalize the state-stationarity. Observing Markov...
Persistent link: https://www.econbiz.de/10010984930
We model credit rating histories as continuous-time discrete-state Markov processes. Infrequent monitoring of the debtors’ solvency will result in erroneous observations of the rating transition times, and consequently in biased parameter estimates. We develop a score test against such...
Persistent link: https://www.econbiz.de/10011052213
For a continuous-time Markov process, occasionally, only discrete-time observations are available. For a simple sample of homogeneous Markov jump processes with an absorbing state, observed each on a stochastic grid of time points, we establish asymptotic normality of the maximum likelihood...
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For a continuous-time Markov process, commonly, only discrete-time observations are available. We analyze multiple observations of a homogeneous Markov jump process with an absorbing state. We establish consistency of the maximum likelihood estimator, as the number of Markov processes increases....
Persistent link: https://www.econbiz.de/10010998628