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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
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
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On seasonal error correction when the processes include different numbers of unit roots
Lyhagen, Johan (contributor); Löf, Mårten (contributor) - 2001 - [Elektronische Ressource], Rev. March 15, 2001
forecast mean squared error criterion and certain parameter estimation results indicate that, in practice, a cointegration …We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of … forecast, is an ordinary VAR model, also in annual differences. -- Seasonal cointegration ; forecasting …
Persistent link: https://www.econbiz.de/10001600047
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Solution of macromodels with Hansen-Sargent robust policies : summary and some extensions
Giordani, Paolo (contributor); Söderlind, Paul (contributor) - 2002 - [Elektronische Ressource], Rev. May 15, 2003
We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the...
Persistent link: https://www.econbiz.de/10001664234
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Error correction in DHSY
Eliasson, Ann-Charlotte (contributor);  … - 2002 - [Elektronische Ressource]
In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has...
Persistent link: https://www.econbiz.de/10001714625
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Modelling the demand for M3 in the unified Germany
Wolters, Jürgen; Teräsvirta, Timo; Lütkepohl, Helmut - 1996
Persistent link: https://www.econbiz.de/10000936487
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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
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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
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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
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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
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Stochastic adaption in finite games played by heterogeneous populations
Josephson, Jens (contributor) - 2001 - [Elektronische Ressource]
size. -- Bounded rationality ; Evolutionary game theory ; Imitation ; Better replies ; Markov chain ; Stochastic stability …
Persistent link: https://www.econbiz.de/10001622442