Showing 1 - 10 of 13,261
The finite state Markov-Chain approximation method developed by Tauchen (1986) and Tauchen and Hussey (1991) is widely used in economics, finance and econometrics in solving for functional equations where state variables follow an autoregressive process. For highly persistent processes, the...
Persistent link: https://www.econbiz.de/10008516581
Persistent link: https://www.econbiz.de/10005537812
We provide a Matlab quadratic optimization tool based on Markowitz's citical line algorithm that significantly outperforms standard software packages and a recently developed operations research algorithm. As an illustration: For a 2000 asset universe our method needs less than a second to...
Persistent link: https://www.econbiz.de/10005730958
We provide a Matlab quadratic optimization tool based on Markowitz's critical line algorithm that significantly outperforms standard software packages and a recently developed operations research algorithm. As an illustration: For a 2000 asset universe our method needs less than a second to...
Persistent link: https://www.econbiz.de/10005212469
We extend the short rate model of Vasicek (1977) to include jumps in the local mean. Conditions ensuring existence of a unique equivalent martingale measure are given, implying that the model is arbitrage-free and complete. We develop efficient numerical methods for computation of zero coupon...
Persistent link: https://www.econbiz.de/10005166867
AMS classifications: 35R35; 60G40; 65D15; 90C33;
Persistent link: https://www.econbiz.de/10011091365
Ever since the Asian Financial Crisis, concerns have risen over whether policy-makers have sufficient tools to maintain financial stability. The ability to predict financial disturbances enables the authorities to take precautionary action to minimize their impact. In this context, the...
Persistent link: https://www.econbiz.de/10005423023
Borrowing from our experience in agent-based computational economic research from `bottom-up', this paper considers economic system as multi-level dynamical system that micro-level agents' interaction leads to structural transition in meso-level, which results in macro-level market dynamics with...
Persistent link: https://www.econbiz.de/10011167236
Dieser Beitrag gibt einen Überblick über aktuelle Forschungsprojekte des Instituts für Arbeitsmarkt- und Berufsforschung (IAB), die sich alle auf unterschiedliche Weise mit der Behebung von Problemen mit Missing Data befassen. Hierzu gehören einerseits Projekte, die Stichproben verwenden wie...
Persistent link: https://www.econbiz.de/10010264645
The Scaled Model of Error has gained considerable popularity during the past ten years as a device for computing probabilistic population forecasts of the cohort-component type. In this report we investigate how sensitive probabilistic population forecasts produced by means of the Scaled Model...
Persistent link: https://www.econbiz.de/10010285585