Author: Hao Zhou
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 50
Book Description
Jump-diffusion Term Structure and Ito Conditional Moment Generator
Author: Hao Zhou
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 50
Book Description
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 50
Book Description
Jump-diffusion Processes and Affine Term Structure Models
Author: J. Benson Durham
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 84
Book Description
Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to estimate. Without analytical answers to the partial difference differential equation (PDDE) for bond prices implied by jump-diffusion processes, one must find a numerical solution to the PDDE or exactly solve an approximate PDDE. Although the literature focuses on a single linearization technique to estimate the PDDE, this paper outlines alternative methods that seem to improve accuracy. Also, closed-form solutions, numerical estimates, and closed-form approximations of the PDDE each ultimately depend on the presumed distribution of jump sizes, and this paper explores a broader set of possible densities that may be more consistent with intuition, including a bi-modal Gaussian mixture. GMM and MLE of one- and two-factor jump-diffusion models produce some evidence for jumps, but sensitivity analyses suggest sizeable confidence intervals around the parameters.
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 84
Book Description
Affine term structure models in which the short rate follows a jump-diffusion process are difficult to solve, and the parameters of such models are hard to estimate. Without analytical answers to the partial difference differential equation (PDDE) for bond prices implied by jump-diffusion processes, one must find a numerical solution to the PDDE or exactly solve an approximate PDDE. Although the literature focuses on a single linearization technique to estimate the PDDE, this paper outlines alternative methods that seem to improve accuracy. Also, closed-form solutions, numerical estimates, and closed-form approximations of the PDDE each ultimately depend on the presumed distribution of jump sizes, and this paper explores a broader set of possible densities that may be more consistent with intuition, including a bi-modal Gaussian mixture. GMM and MLE of one- and two-factor jump-diffusion models produce some evidence for jumps, but sensitivity analyses suggest sizeable confidence intervals around the parameters.
Nonparametric Econometric Methods
Author: Qi Li
Publisher: Emerald Group Publishing
ISBN: 1849506248
Category : Business & Economics
Languages : en
Pages : 570
Book Description
Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.
Publisher: Emerald Group Publishing
ISBN: 1849506248
Category : Business & Economics
Languages : en
Pages : 570
Book Description
Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.
Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility
Author: Tim Bollerslev
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 56
Book Description
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 56
Book Description
Pricing Interest-Rate Derivatives
Author: Markus Bouziane
Publisher: Springer Science & Business Media
ISBN: 3540770666
Category : Business & Economics
Languages : en
Pages : 207
Book Description
The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.
Publisher: Springer Science & Business Media
ISBN: 3540770666
Category : Business & Economics
Languages : en
Pages : 207
Book Description
The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.
Term Structure of Interest Rates with Regime Shifts
Author: Ravi Bansal
Publisher:
ISBN:
Category : Interest rate risk
Languages : en
Pages : 70
Book Description
Publisher:
ISBN:
Category : Interest rate risk
Languages : en
Pages : 70
Book Description
Îto Conditional Moment Generator and the Estimation of Short Rate Processes
Author: Hao Zhou
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 52
Book Description
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 52
Book Description
ASTIN Bulletin
New Tests of the New-Keynesian Phillips Curve
Author: Jeremy Bay Rudd
Publisher:
ISBN:
Category : Phillips curve
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category : Phillips curve
Languages : en
Pages : 44
Book Description
The Cyclical Behavior of Short-term and Long-term Job Flows
Author: Andrew Figura
Publisher:
ISBN:
Category : Job creation
Languages : en
Pages : 56
Book Description
Publisher:
ISBN:
Category : Job creation
Languages : en
Pages : 56
Book Description