Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10000958083
Persistent link: https://www.econbiz.de/10000958387
Persistent link: https://www.econbiz.de/10000958392
Persistent link: https://www.econbiz.de/10000961609
"In contrast with a growing literature on the drivers of aggregate volatility in developing countries, its consequences in terms of individual incomes have received less attention. This paper looks at the impact of cyclical output fluctuations and extreme output events (crises) on unemployment,...
Persistent link: https://www.econbiz.de/10011394189
Persistent link: https://www.econbiz.de/10010524180
We consider forward rate rate models of HJM type, as well as more general infinite dimensional SDEs, where the volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework we use the previously developed Hilbert space realization...
Persistent link: https://www.econbiz.de/10001664233
In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the...
Persistent link: https://www.econbiz.de/10001714621
Persistent link: https://www.econbiz.de/10000969940
Persistent link: https://www.econbiz.de/10000984774