Macro-Micro, Trends vs. Noise, and SSA - II

We describe some details of extensions of the Macro Micro (MM) model. Applications include a long-term real-world PFE risk simulation, including realistic quasi-random Macro trends. The details elaborated here include the use of the 3rd order skew Green function to obtain micro mean reversion, a random time distribution for the Macro component, sliding down the yield curve, and approximate no-arbitrage in the MM model

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Year of publication:	2016
Authors:	Dash, Jan
Other Persons:	Yang, Xipei (contributor) ; Bondioli, Mario (contributor)
Publisher:	[2016]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (27 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 11, 2016 erstellt
Other identifiers:	10.2139/ssrn.2808170 [DOI]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C63 - Computational Techniques ; E44 - Financial Markets and the Macroeconomy ; f65 ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012987064