Showing 1 - 10 of 20
Persistent link: https://www.econbiz.de/10011757876
Persistent link: https://www.econbiz.de/10011895544
We present a Simple SIR Macro Model to study the economic impact of an epidemic in a model were agent types are unobservable. We solve for the decentralized economy equilibrium and for optimal solution (subject to the constraint that the planner cannot differentiate between agent types). We find...
Persistent link: https://www.econbiz.de/10012254257
Persistent link: https://www.econbiz.de/10003899076
Persistent link: https://www.econbiz.de/10009373085
The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...
Persistent link: https://www.econbiz.de/10009009682
Persistent link: https://www.econbiz.de/10010511552
Persistent link: https://www.econbiz.de/10003781013
We propose a multivariate dynamic intensity peaks-over-threshold model to capture extreme events in a multivariate time series of returns. The random occurrence of extreme events exceeding a threshold is modeled by means of a multivariate dynamic intensity model allowing for feedback effects...
Persistent link: https://www.econbiz.de/10011336494
Persistent link: https://www.econbiz.de/10011777185