Similar Search Results

Continuous time regime switching model applied to foreign exchange rate.

Goutte, Stéphane; Zou, Benteng - HAL - 2012

Modified Cox-Ingersoll-Ross model is employed, combining with Hamilton (1989) type Markov regime switching framework, to study foreign exchange rates, where all parameter values depend on the value of a continuous time Markov chain. Basing on real data of some foreign exchange rates, the...

Persistent link: https://www.econbiz.de/10009422114

Should vocational education be taxed? Lessons from a matching model with generalists and specialists

Cerdan, Ophélie; Decreuse, Bruno - HAL - 2011

Should education become more vocational or more general? We address this question in two steps. We first build and solve a two-sector matching model with generalists and specialists. Generalists pursue jobs in both sectors; however, they come second in job queues. Specialists seek for jobs in a...

Persistent link: https://www.econbiz.de/10008877005

Cross-currency smile calibration

Turinici, Gabriel; Laillat, Marc - HAL - 2009

We document the numerical aspects of the calibration of cross-currency options on the local volatility framework. We …

Persistent link: https://www.econbiz.de/10008789152

Control-theoretic framework for a quasi-Newton local volatility surface inversion

Turinici, Gabriel - HAL - 2009

We investigate in this paper the recovery of the local volatility surface in a parametric framework similar to that of Coleman, Li and Verma [4]. The quality of a surface is assessed through a functional which is optimized; the specificity of the approach is to separate the optimization on the...

Persistent link: https://www.econbiz.de/10008789569

Calibration of local volatility using the local and implied instantaneous variance

Turinici, Gabriel - HAL - 2009

We document the calibration of the local volatility in terms of local and implied instantaneous variances; we first …

Persistent link: https://www.econbiz.de/10008791649

Elasticity optimism

Imbs, Jean; Méjean, Isabelle - HAL - 2009

Estimates of the elasticity of substitution between domestic and foreign varieties are small in macroeconomic data, and substantially larger in disaggregated studies. This may be an artifact of heterogeneity. We use disaggregated multilateral trade data to structurally identify elasticities of...

Persistent link: https://www.econbiz.de/10008793729

Coupling Index and Stocks

Jourdain, Benjamin; Sbai, Mohamed - HAL - 2008

stochastic volatility model for each stock with volatility driven by the index. This result is useful in a calibration …

Persistent link: https://www.econbiz.de/10008794165

On the imaginative constructivist nature of design: a theoretical approach

Kazakci, Akin Osman - HAL - 2012

in the current design research. By contrast, in other fields such as Mathematics or Psychology, the notion of … approach. We consider the roots of constructivism in math- ematics, namely the Intuitionist Mathematics, in order to shed light … features of intuitionist constructivism is the intro- duction of incomplete objects into the heart of mathematics by means of …

Persistent link: https://www.econbiz.de/10010603632

Long Memory Process in Asset Returns with Multivariate GARCH innovations

Mootamri, Imene - HAL - 2011

The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a multivariate process exhibiting long term dependence in stock returns. More precisely, the long term dependence is examined in the first conditional moment of US stock returns...

Persistent link: https://www.econbiz.de/10009644795

Detrending Persistent Predictors

Boucher, Christophe; Maillet, Bertrand - HAL - 2011

Researchers in finance very often rely on highly persistent - nearly integrated - explanatory variables to predict returns. This paper proposes to stand up to the usual problem of persistent regressor bias, by detrending the highly auto-correlated predictors. We find that the statistical...

Persistent link: https://www.econbiz.de/10010605314