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~source:"econstor"
~subject:"Theorie"
~subject:"Volatilität"
~subject:"Zeitreihenanalyse"
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Search: subject:"Markov"
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Theorie
Volatilität
Zeitreihenanalyse
Markovscher Prozess
89
Markov switching
77
Schätzung
61
Markov chain Monte Carlo
54
Markov Chain Monte Carlo
52
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42
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35
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29
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28
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108
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Lux, Thomas
4
van Dijk, Herman K.
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3
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3
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3
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71
Sustaining social security
Gonzalez-Eiras, Martin
;
Niepelt, Dirk
-
2005
intergenerational transfers naturally arise in a
Markov
perfect equilibrium, even in the absence of altruism, commitment, or trigger …
Persistent link: https://www.econbiz.de/10010261297
Saved in:
72
Non-linearities in the relation between the exchange rate and its fundamentals
Altavilla, Carlo
;
De Grauwe, Paul
-
2005
account for non-linearity in the exchange rate process by adopting a
Markov
-switching vector error correction model (MSVECM …
Persistent link: https://www.econbiz.de/10010261347
Saved in:
73
Optimal fiscal policy over the business cycle
Occhino, Filippo
-
2005
the Ramsey equilibrium can be sustained by the threat to revert to a
Markov
perfect equilibrium. We find that, for …, Commitment, Time-consistency, Ramsey equilibrium,
Markov
perfect equilibria, Sustainable equilibria. …
Persistent link: https://www.econbiz.de/10010263265
Saved in:
74
Estimation and evaluation of a segmented markets monetary model
Landon-Lane, John S.
;
Occhino, Filippo
-
2005
that follows a Taylor-type interest rate rule. The model is estimated using
Markov
chain Monte Carlo techniques and is …
Persistent link: https://www.econbiz.de/10010274506
Saved in:
75
A diffusion approximation to the
Markov
chains model of the financial market and the expected riskless profit under selling of call and put options
Nagaev, Alexander V.
;
Nagaev, Sergei A.
;
Kunst, Robert M.
-
2005
a homogeneous
Markov
chain. In the focus of attention is the expected value of the guaranteed profit of the investor … that arises when the jumps of the stock price are bounded. The suggested diffusion approximation for the
Markov
chain …
Persistent link: https://www.econbiz.de/10010293729
Saved in:
76
Time series properties of a rating system based on financial ratios
Krüger, Ulrich
;
Stötzel, Martin
;
Trück, Stefan
-
2005
This paper provides an overview on classical and new methods for testing time series properties of migration matrices. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be considered to be constant through time. Further,...
Persistent link: https://www.econbiz.de/10010295907
Saved in:
77
Time Series of Count Data: Modelling and Estimation
Jung, Robert
;
Kukuk, Martin
;
Liesenfeld, Roman
-
2005
this requires Monte Carlo procedures like simulated Maximum likelihood or
Markov
Chain Monte-Carlo. The methods including …
Persistent link: https://www.econbiz.de/10010296244
Saved in:
78
The Decline in German Output Volatility: A Bayesian Analysis
Liesenfeld, Roman
;
Hogrefe, Jens
;
Aßmann, Christian
-
2005
Empirical evidence suggests a sharp volatility decline of the growth in U.S. gross domestic product (GDP) in the mid-1980s. Using Bayesian methods, we analyze whether a volatility reduction can also be detected for the German GDP. Since statistical inference for volatility processes critically...
Persistent link: https://www.econbiz.de/10010296255
Saved in:
79
Matrix measures and random walks
Studden, W. J.
;
Reuther, Bettina
;
Dette, Holger
;
Zygmunt, M.
-
2005
matrix. We derive sufficient conditions such that the blocks of the n-step transition matrix of the
Markov
chain can be …
Persistent link: https://www.econbiz.de/10010296686
Saved in:
80
Testing Homogeneity of Time-Continuous Rating Transitions
Lawrenz, Claudia
;
Tschiersch, Patrick
;
Weißbach, Rafael
-
2005
matrices within a time-continuous
Markov
model, thereby using continuous-time rating transitions provided by internal rating …
Persistent link: https://www.econbiz.de/10010296695
Saved in:
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