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In many real phenomena the behaviour of a certain variable, subjected to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a...
Persistent link: https://www.econbiz.de/10005062565
In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...
Persistent link: https://www.econbiz.de/10005556389
In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...
Persistent link: https://www.econbiz.de/10005119144
Montecarlo methods can be used to price derivatives for which closed evaluation formulas are not available or difficult to derive. A drawback of the method can be its high computational cost, especially if applied to basket options, whose payoffs depend on more than one asset. This article...
Persistent link: https://www.econbiz.de/10005134920
We propose an approximate static hedging procedure for multivariate derivatives. The hedging portfolio is composed of statically held simple univariate options, optimally weighted minimizing the variance of the difference between the target claim and the approximate replicating portfolio. The...
Persistent link: https://www.econbiz.de/10005413086
A simple transform of a standard uniform variate is given for simulation of the maximum attained by a Wiener process with drift, conditioned upon the level attained by the process over an arbitrary time interval. The transform arises directly from inversion of the joint distribution function of...
Persistent link: https://www.econbiz.de/10005561500