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Finite dimensional realizations of forward price term structure models
Gaspar, Raquel M. (contributor) - 2004 - [Elektronische Ressource]
use the Lie algebra methodology of Björk et al. to investigate under what conditions on the volatility structure of the …
Persistent link: https://www.econbiz.de/10002450616
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Finite dimensional Markovian realizations for stochastic volatility forward rate models
Björk, Tomas (contributor); Landén, Camilla (contributor);  … - 2002 - [Elektronische Ressource], This version: May 6, 2002
volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … conditions for the existence of a finite dimensional Markovian realizations for the stochastic volatility models. We illustrate … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …
Persistent link: https://www.econbiz.de/10001664233
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The market impact of short-sale constraints
Nilsson, Roland - 2005
Persistent link: https://www.econbiz.de/10002993690
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A smooth permanent surge process
González, Andrés (contributor) - 2004 - [Elektronische Ressource]
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10002465176
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A new approach to the derivation of asset price bounds
Rodríguez Longarela, Iñaki (contributor) - 2001 - [Elektronische Ressource], Rev. October 19, 2001
since a volatility constraint on the stochastic discount factor is a particular case of a restriction on this distance. We …
Persistent link: https://www.econbiz.de/10001600073
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A note on the pricing of real estate index linked swaps
Björk, Tomas (contributor); Clapham, Eric (contributor) - 2002 - [Elektronische Ressource]
correct and that the true theoretical price of the swap is in fact equal to zero. This result is shown to hold regardless of …
Persistent link: https://www.econbiz.de/10001645586
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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
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A numerical analysis of the evolutionary stability of learning rules
Josephson, Jens (contributor) - 2001 - [Elektronische Ressource]
In this paper I define an evolutionary stability criterion for learning rules. Using Monte Carlo simulations, I then apply this criterion to a class of learning rules that can be represented by Camerer and Ho's (1999) model of learning. This class contains perturbed versions of reinforcement and...
Persistent link: https://www.econbiz.de/10001622441
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A method to generate multivariate data with moments arbitrary close to the desired moments
Lyhagen, Johan (contributor) - 2001 - [Elektronische Ressource]
We show how it is possible to generate multivariate data which have moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the...
Persistent link: https://www.econbiz.de/10001629177
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Likelihood-based cointegration tests in heterogeneous panels
Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000991637