Showing 1 - 10 of 446
This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models with time varying correlations. The model proposed and considered here combines features of the classical factor model with that of the heavy tailed univariate...
Persistent link: https://www.econbiz.de/10009441545
In this dissertation we propose a new model which captures observed features of asset prices. The model reproduces the skewness and fat tails of asset returns by introducing a discretized variance gamma process as the driving innovation process, in addition to a double gamma process to reflect...
Persistent link: https://www.econbiz.de/10009450636
The applicability of learning and experience curves for predicting future costs of solar technologies is assessed, and … systems manufacture are discussed, and procedures for using learning and experience curves to predict costs are outlined … learning and aggregated cost curves for these surrogates estimated. If the surrogate learning curves apply, they can be used to …
Persistent link: https://www.econbiz.de/10009435662
Machine learning has emerged as a important tool for separating signal events from associated background in high energy … particle physics experiments. This paper describes a new machine learning method based on ensembles of rules. Each rule …
Persistent link: https://www.econbiz.de/10009436712
forecasting methods employ cumulative production volume instead of time as the crucial explanatory variable, following Wright … literature on learning curves (experience curves), providing substantial empirical evidence for a simple (often power law … the so-called experience effect or learning effect is due to simple economies of scale. For instance, Goddard (1982 …
Persistent link: https://www.econbiz.de/10009476085
In this thesis two contributions are made to the area of mathematical finance. First, in order to explain the non-trivial skewness and kurtosis that is observed in the time series data of constant maturity swap (CMS) rates, we employ the pure jump Levy processes, i.e. in particular Variance...
Persistent link: https://www.econbiz.de/10009450715
This dissertation explores the applicability of recently developed simulation-based econometric methods to the analysis of spatial price determination and integration of markets. As such a measure of market integration is developed within the context of well-known point-location competitive...
Persistent link: https://www.econbiz.de/10009431196
Stochastic Volatility (SV) models play an integral role in modeling time varyingvolatility, with widespread application in finance. Due to the absence of a closed form likelihoodfunction, estimation is a challenging problem. In the presence of outliers, and the highkurtosis prevalent in...
Persistent link: https://www.econbiz.de/10009431241
This dissertation explores the microeconomic and aggregate implications of an array of employmentadjustment frictions. Chapter 1 investigates the JOBS Bank, a unique employment adjustment cost that prevailed in the domestic automobile industry for nearly 20 years. The JOBS Bank required...
Persistent link: https://www.econbiz.de/10009477492
Thesis (Ph. D.)--University of Rochester. Dept. of Economics, 2011.
Persistent link: https://www.econbiz.de/10009482967