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Thünen-Vorlesung: 6 1/2-Wechselkurse
Streissler, Erich - In: Die Zukunft des Sozialstaats : Jahrestagung des Vereins …, (pp. 79-111). 2000
Persistent link: https://www.econbiz.de/10001456108
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Malliavin calculus for the estimation of the U.S. dollar/euro exchange rate when the volatility is stochastic
Abutaleb, Ahmed; Papaioannou, Michael G. - In: Global information technology and competitive financial …, (pp. 71-101). 2006
Persistent link: https://www.econbiz.de/10003380428
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Preisträgheit und reale Wechselkursdynamik : die Persistenz realer Wechselkurse in dynamischen stochastischen Gleichgewichtsmodellen
Heil, Volker - 2003
Dieses Arbeitspapier untersucht Erklärungen für das hohe Mass an Persistenz und Volatilität des realen Wechselkurses. Dabei wird dem Ansatz gefolgt, dass die Schwankungen des realen Wechselkurses zurückzuführen sind auf exogene Schocks in Interaktion mit trägen Güterpreisen. Der Fokus...
Persistent link: https://www.econbiz.de/10011525120
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Uncertainty in currency mispricing
Clements, Kenneth W.; Lan, Yihui; Si, Jiawei - In: Applied economics 50 (2018) 20, pp. 2297-2312
Persistent link: https://www.econbiz.de/10011850129
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Exact maximum likelihood and Bayesian estimation of the stochastic volatility model
Motta, Anderson C. O.; Hotta, Luiz K. - In: Brazilian review of econometrics : the review of the … 23 (2003) 2, pp. 183-226
Persistent link: https://www.econbiz.de/10002091175
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Stochastic volatilities and correlations, extreme values and modeling the macroeconomic environment, under which Brazilian banks operate
Barnhill, Theodore M.; Souto, Marcos - 2007
Persistent link: https://www.econbiz.de/10003629457
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Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate
Souto, Marcos - 2007
appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …
Persistent link: https://www.econbiz.de/10014399716
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A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)
Rabinovitz, Yedidya - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-22
Persistent link: https://www.econbiz.de/10011778269
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Risk-neutral densities : advanced methods of estimating nonnormal options underlying asset prices and returns
Santos, André; Guerra, João - In: The journal of risk model validation 14 (2020) 2, pp. 41-64
Persistent link: https://www.econbiz.de/10014335959