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Forecasting and estimating multiple change-point models with an unknown number of change points
Koop, Gary M. (contributor); Potter, Simon M. (contributor) - 2004 - [Elektronische Ressource]
"This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter...
Persistent link: https://www.econbiz.de/10002521761
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Trading risk and volatility in interest rate swap spreads
Kambhu, John (contributor) - 2004 - [Elektronische Ressource]
This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …
Persistent link: https://www.econbiz.de/10001936329
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Nonparametric pricing of multivariate contingent claims
Rosenberg, Joshua V. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001751999
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Forecasting recessions using the yield curve
Chauvet, Marcelle (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001630849
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How stable is the predictive power of the yield curve? : Evidence from Germany and the United States
Estrella, Arturo (contributor);  … - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001512206
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Modeling uncertainty : predictive accuracy as a proxy for predictive confidence
Rich, Robert W. (contributor); Tracy, Joseph S. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001751995
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Evaluating the riskiness of initial public offerings: 1980 - 2000
Peristiani, Stavros C. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001752009
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Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?
Lettau, Martin (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001590071
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Why use debit instead of credit? : consumer choice in a trillion-dollar market
Zinman, Jonathan (contributor) - 2004 - [Elektronische Ressource]
Debit cards are overtaking credit cards as the most prevalent form of electronic payment at the point of sale, yet the determinants of a ubiquitous consumer choice - "debit or credit?" - have received relatively little scrutiny. Several stylized facts suggest that debit-card use is driven by...
Persistent link: https://www.econbiz.de/10002521756