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A reassessment of the cost-effectiveness of hormone replacement therapy in Sweden : results based on the Women's Health Initiative randomised controlled trial

Zethraeus, Niklas; Borgström, Fredrik; Jönsson, Bengt; … - 2004 - [Elektronische Ressource]

medical evidence found in the Women's Health Initiative (WHI). Within a model framework using an individual state transition … model the cost-effectiveness of 50-60 year old women with menopausal symptoms is assessed in Sweden. The Markov model has a … high probability that HRT is a cost-effective strategy for women with menopausal symptoms. -- cost-effectiveness analysis …

Persistent link: https://www.econbiz.de/10002482555

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models

Meitz, Mika (contributor); Saikkonen, Pentti (contributor) - 2004 - [Elektronische Ressource], First version October 2004, revised December 2005 and April 2007

This paper studies a class of Markov models which consist of two components. Typically, one of the components is observable and the other is unobservable or 'hidden'. Conditions under which (a form of) geometric ergodicity of the unobservable component is inherited by the joint process formed of...

Persistent link: https://www.econbiz.de/10002465203

Finite dimensional realizations of forward price term structure models

Gaspar, Raquel M. (contributor) - 2004 - [Elektronische Ressource]

In this paper we study a fairly general Wiener driven model for the term structure of forward prices. The model, under a fixed martingale measure, Q, consists of two infinite dimensional stochastic differential equations (SDEs). The first system is a standard HJM model for (forward) interest...

Persistent link: https://www.econbiz.de/10002450616

Univariate nonlinear time series models

Teräsvirta, Timo (contributor) - 2005 - [Elektronische Ressource]

In this paper developments in the analysis of univariate nonlinear time series are considered. First a number of commonly used nonlinear models are presented. The next section is devoted to methods of testing linearity, which is an important part of nonlinear model building. Techniques of...

Persistent link: https://www.econbiz.de/10002679532

Stochastic better-supply dynamics in games

Josephson, Jens (contributor) - 2000 - [Elektronische Ressource]

In Young (1993, 1998) agents are recurrently matched to play a finite game and almost always play a myopic best reply to a frequency distribution based on a sample from the recent history of play. He proves that in a generic class of finite n-player games, as the mutation rate tends to zero,...

Persistent link: https://www.econbiz.de/10001600008

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 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

Stochastic adaption in finite games played by heterogeneous populations

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

In this paper, I analyze stochastic adaptation in finite n-player games played by heterogeneous populations of myopic best repliers, better repliers and imitators. In each period, one individual from each of n populations, one for each player role, is drawn to play and chooses a pure strategy...

Persistent link: https://www.econbiz.de/10001622442

Evolution and learning in games

Josephson, Jens - 2001

Persistent link: https://www.econbiz.de/10001628157

On the geometry of interest rate models

Björk, Tomas (contributor) - 2003 - [Elektronische Ressource]

In this paper, which is a substantial extension of the earlier essay Björk (2001), we give an overview of some recent work on the geometric properties of the evolution of the forward rate curve in an arbitrage free bond market. The main problems to be discussed are as follows. 1. When is a...

Persistent link: https://www.econbiz.de/10001825531

Stochastic stability and equilibrium selection in games

Matros, Alexander - 2001

Persistent link: https://www.econbiz.de/10001582793