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Financial institutions and the wealth of nations: tales of development
Tong, Jian; Chenggang, Xu - London School of Economics (LSE) - 2004
Interactions between economic development and financial development are studied by looking at the roles of financial institutions in selecting R&D projects (including for both imitation and innovation). Financial development is regarded as the evolution of the financing regimes. The...
Persistent link: https://www.econbiz.de/10010928613
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Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery
Schroeder, Anna Louise; Fryzlewicz, Piotr - London School of Economics (LSE) - 2013
Persistent link: https://www.econbiz.de/10010745222
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Financial institutions and the wealth of nations: tales of development
Tong, Jian; Xu, Cheng-Gang - London School of Economics (LSE) - 2004
Interactions between economic development and financial development are studied by looking at the roles of financial institutions in selecting R&D projects (including for both imitation and innovation). Financial development is regarded as the evolution of the financing regimes. The...
Persistent link: https://www.econbiz.de/10010745283
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Tweets, Google trends and sovereign spreads in the GIIPS
Dergiades, Theologos; Milas, Costas; Panagiotidis, Theodore - London School of Economics (LSE) - 2013
We examine whether the information contained in social media (Twitter & Facebook) and web search queries (Google) influences financial markets. Using a multivariate system and focussing on Eurozone’s peripheral countries, the GIIPS (Greece, Ireland, Italy, Portugal and Spain), we show that...
Persistent link: https://www.econbiz.de/10010745713
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To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied
Fan, Jianqing; Hall, Peter; Yao, Qiwei - London School of Economics (LSE) - 2007
In the analysis of microarray data, and in some other contemporary statistical problems, it is not uncommon to apply hypothesis tests in a highly simultaneous way. The number, N say, of tests used can be much larger than the sample sizes, n, to which the tests are applied, yet we wish to...
Persistent link: https://www.econbiz.de/10010884486
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LARCH, leverage, and long memory
Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - London School of Economics (LSE) - 2004
Persistent link: https://www.econbiz.de/10010884511
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A Haar-Fisz technique for locally stationary volatility estimation
Fryzlewicz, Piotr; Sapatinas, Theofanis; Subba Rao, Suhasini - London School of Economics (LSE) - 2006
new wavelet thresholding algorithm for volatility estimation in this model, in which Haar wavelets are combined with the …We consider a locally stationary model for financial log-returns whereby the returns are independent and the volatility … variance-stabilising Fisz transform. The resulting volatility estimator is mean-square consistent with a near-parametric rate …
Persistent link: https://www.econbiz.de/10010884578
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Measuring subjective well-being for public policy
Dolan, Paul; Layard, Richard; Metcalfe, Robert - London School of Economics (LSE) - 2011
Persistent link: https://www.econbiz.de/10010884617
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Brownian excursions outside a corridor and two-sided Parisian options
Dassios, Angelos; Wu, Shanle - London School of Economics (LSE) - 2011
In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by using a four states semi-Markov model. In mathematical finance, these results have an important application in the valuation of double barrier Parisian options. In this paper, we obtain an explicit...
Persistent link: https://www.econbiz.de/10010884699
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On initial-condition sensitivity and prediction in nonlinear stochastic systems
Yao, Qiwei; Tong, Howell - London School of Economics (LSE) - 1995
Persistent link: https://www.econbiz.de/10010884703