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Numerical aspects of Bayesian VAR-modeling

Kadiyala, K. Rao; Karlsson, Sune - 1994

Persistent link: https://www.econbiz.de/10000885969

A comparison between bias approximations applied to bivariate VAR models

Brännström, Tomas - 1994

Persistent link: https://www.econbiz.de/10000893698

A latent factor model of European exchange rate risk premia

Alexius, Annika; Sellin, Peter - 1997

Persistent link: https://www.econbiz.de/10000958083

Nonlinearities and regime shifts in financial time series

Åsbrink, Stefan E. - 1997

Persistent link: https://www.econbiz.de/10000958387

A new non-linear GARCH model

Hagerud, Gustaf E. - 1997

Persistent link: https://www.econbiz.de/10000958392

Essays on exchange rates, prices and interest rates

Alexius, Annika - 1997

Persistent link: https://www.econbiz.de/10000961609

Evaluating portfolio performance with stochastic discount factors

Dahlquist, Magnus; Söderlind, Paul - 1997

Persistent link: https://www.econbiz.de/10000962236

Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the...

Persistent link: https://www.econbiz.de/10002577852

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

A numerical analysis of the evolutionary stability of learning rules

Josephson, Jens (contributor) - 2001 - [Elektronische Ressource]

; Evolutionary game theory ; Evolutionary Stability ; Learning in games ; Belief learning ; Reinforcement learning …

Persistent link: https://www.econbiz.de/10001622441