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Îto Conditional Moment Generator and the Estimation of Short Rate Processes

Îto Conditional Moment Generator and the Estimation of Short Rate Processes PDF Author: Hao Zhou
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 52

Book Description

Îto Conditional Moment Generator and the Estimation of Short Rate Processes

Îto Conditional Moment Generator and the Estimation of Short Rate Processes PDF Author: Hao Zhou
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 52

Book Description

Jump-diffusion Term Structure and Ito Conditional Moment Generator

Jump-diffusion Term Structure and Ito Conditional Moment Generator PDF Author: Hao Zhou
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 50

Book Description

Parameter Estimation in Stochastic Volatility Models

Parameter Estimation in Stochastic Volatility Models PDF Author: Jaya P. N. Bishwal
Publisher: Springer Nature
ISBN: 3031038614
Category : Mathematics
Languages : en
Pages : 634

Book Description
This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.

Diverging Measures of Capacity Utilization

Diverging Measures of Capacity Utilization PDF Author: Norman Morin
Publisher:
ISBN:
Category : Industrial capacity
Languages : en
Pages : 36

Book Description
"In the wake of the recent recovery in manufacturing production, the capacity utilization rates published by the Federal Reserve Board (FRB) have rebounded much more slowly than those published by the Institute for Supply Management (ISM). As a result, some observers have speculated that the manufacturing sector may have considerably less slack than is indicated by the FRB measures. Our view is that the two characterizations of manufacturing slack are not as incongruent as they first appear. This paper discusses the practical and conceptual differences between these measures of capacity utilization, and concludes that the recent divergence simply reflects the character of the latest business cycle"--Abstract.

Measuring Capital and Technology

Measuring Capital and Technology PDF Author: Carol Corrado
Publisher:
ISBN:
Category : Investment
Languages : en
Pages : 74

Book Description
"Business outlays on intangible assets are usually expensed in economic and financial accounts. Following Hulten (1979), this paper develops an intertemporal framework for measuring capital in which consumer utility maximization governs the expenditures that are current consumption versus those that are capital investment. This framework suggests that any business outlay that is intended to increase future rather than current consumption should be treated as capital investment. Applying this principle to newly developed estimates of business spending on intangibles, we find that, by about the mid-1990s, business investment in intangible capital was as large as business investment in traditional, tangible capital. Relative to official measures, our framework portrays the U.S. economy as having had higher gross private saving and, under plausible assumptions, fractionally higher average annual rates of change in real output and labor productivity from 1995 to 2002"--Abstract.

An Empirical Test of a Two-factor Mortgage Valuation Model

An Empirical Test of a Two-factor Mortgage Valuation Model PDF Author: Chris Downing
Publisher:
ISBN:
Category : Default (Finance)
Languages : en
Pages : 58

Book Description

Nationwide Branching and Its Impact on Market Structure, Quality and Bank Performance

Nationwide Branching and Its Impact on Market Structure, Quality and Bank Performance PDF Author: Astrid A. Dick
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 64

Book Description

Transparency and Monetary Policy

Transparency and Monetary Policy PDF Author: Seth B. Carpenter
Publisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 38

Book Description

Temporary Partial Expensing in a General-equilibrium Model

Temporary Partial Expensing in a General-equilibrium Model PDF Author: Rochelle Mary Edge
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 68

Book Description
"This paper uses a dynamic general-equilibrium model with a nominal tax system to consider the effects of temporary partial expensing allowances on investment and other macroeconomic aggregates"--Abstract.

Coordination, Fair Treatment and Inflation Persistence

Coordination, Fair Treatment and Inflation Persistence PDF Author: John Christopher Driscoll
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 54

Book Description

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