Showing 1 - 10 of 36
Stochastic di®erential equations (SDEs) are central to much of modern finance theory and have been widely used to model the behaviour of key variables such as the instantaneous short-term interest rate, asset prices, asset returns and their volatility. The explanatory and/or predictive...
Persistent link: https://www.econbiz.de/10009437988
describes the use of the Gallant-Tauchen efficient method of moments (EMM) technique for diagnostic checking of stochastic differential equations (SDEs) estimated from financial market data. The EMM technique is a simulation-based method that uses the score function of an auxiliary model as the...
Persistent link: https://www.econbiz.de/10009475564
Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a...
Persistent link: https://www.econbiz.de/10009483276
Dynamic term structure models (DTSMs) price interest rate derivatives based on the modelimplied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. In contrast, option pricing in practice often takes...
Persistent link: https://www.econbiz.de/10009440749
The paper analyzes foreign investment and asset prices in a context of uncertainty over future government policy. The model endogenizes the process of learning by foreign investors facing a potentially opportunistic government, which chooses strategically the timing of a policy reversal in order...
Persistent link: https://www.econbiz.de/10009460048
he paper analyses foreign investment and asset prices in a context of uncertainty over future government policy. The model endogenizes the process of learning by foreign investors facing a potentially opportunistic government, which chooses strategically the timing of a policy reversal in order...
Persistent link: https://www.econbiz.de/10009460195
The paper analyses foreign investment and asset prices in a context of uncertainty over future government policy. The model endogenizes the process of learning by foreign investors facing a potentially opportunistic government, which chooses strategically the timing of a policy reversal in order...
Persistent link: https://www.econbiz.de/10009460360
Doctor of Philosophy
Persistent link: https://www.econbiz.de/10009464056
Hochdimensionale Regressionsprobleme, die sich dynamisch entwickeln, sind in zahlreichen Bereichen der Wissenschaft anzutreffen. Die Dynamik eines solchen komplexen Systems wird typischerweise mittels der Zeitreiheneigenschaften einer geringen Anzahl von Faktoren analysiert. Diese Faktoren...
Persistent link: https://www.econbiz.de/10009467069
An vielen verschiedenen Stellen der angewandten Statistik sind die zu untersuchenden Objekte abhängig von stetigen Parametern. Typische Beispiele in Finanzmarktapplikationen sind implizierte Volatilitäten, risikoneutrale Dichten oder Zinskurven. Aufgrund der Marktkonventionen sowie weiteren...
Persistent link: https://www.econbiz.de/10009467092