Similar Search Results

Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary

Tzavalis, Elias; Wang, Shijun - School of Economics and Finance, Queen Mary - 2003

This paper presents a new numerical method for pricing American call options when the volatility of the price of the … volatility changes, we derive an integral representation of an American call price and the early exercise premium which holds … under stochastic volatility. This representation is used to develop a numerical method for pricing the American options …

Persistent link: https://www.econbiz.de/10005106439

Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains

Chourdakis, Kyriakos - School of Economics and Finance, Queen Mary - 2000

under very general assumptions about its stochastic process, incorporating volatility and jumps that can follow virtually …

Persistent link: https://www.econbiz.de/10005106423

A Dynamic Factor Analysis of Financial Contagion in Asia

Cipollini, Andrea; Kapetanios, George - School of Economics and Finance, Queen Mary - 2003

In this paper we compared the performance of country specific and regional indicators of reserve adequacy in predicting, out of sample, the balance of payment crisis affecting the South East Asian region during the 1997-98 period. A Dynamic Factor method was used to retrieve reserve adequacy...

Persistent link: https://www.econbiz.de/10005106296

Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis

Cipollini, Andrea; Kapetanios, George - School of Economics and Finance, Queen Mary - 2005

In this paper we compare the performance of a regional indicator of vulnerability in predicting, out of sample, the crisis events affecting the South East Asian region during the 1997-98 period. A Dynamic Factor method was used to retrieve the vulnerability indicator and stochastic simulation is...

Persistent link: https://www.econbiz.de/10005106320

A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions

Kapetanios, George; Marcellino, Massimiliano - School of Economics and Finance, Queen Mary - 2003

The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new methodology for estimating factors from large datasets based on state space models, discuss its...

Persistent link: https://www.econbiz.de/10005106328

Factor-GMM Estimation with Large Sets of Possibly Weak Instruments

Kapetanios, George; Marcellino, Massimiliano - School of Economics and Finance, Queen Mary - 2006

This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. We consider cases where the unobserved factors are the optimal instruments but also cases where the factors are not necessarily the optimal instruments but can...

Persistent link: https://www.econbiz.de/10005106388

A Generalized Endogenous Grid Method for Non-concave Problems

Fella, Giulio - School of Economics and Finance, Queen Mary - 2011

This paper extends Carroll's (2006) endogenous grid method and its combination with value function iteration by Barillas and Fernández-Villaverde (2007) to non-concave problems. The method is illustrated using a consumer problem in which consumers choose both durable and non-durable...

Persistent link: https://www.econbiz.de/10009001853

Block Bootstrap and Long Memory

Kapetanios, George; Papailias, Fotis - School of Economics and Finance, Queen Mary - 2011

We consider the issue of Block Bootstrap methods in processes that exhibit strong dependence. The main difficulty is to transform the series in such way that implementation of these techniques can provide an accurate approximation to the true distribution of the test statistic under...

Persistent link: https://www.econbiz.de/10009140909

Adaptive Models and Heavy Tails

Monache, Davide Delle; Petrella, Ivan - School of Economics and Finance, Queen Mary - 2014

-t distributed innovations as well as time-varying volatility. Meaningful restrictions are imposed to the model parameters, so as to …

Persistent link: https://www.econbiz.de/10011099069

Long-term Nexus of Industrial Pollution and Income in China

Qin, Duo - School of Economics and Finance, Queen Mary - 2010

This study examines the long-run relationship between industrial pollution and income in China using provincial panel data. Four types of pollutants are modelled: waste water, solid wastes, soot and SO<sub>2</sub> emission. Two types of income effects are considered: the scale and growth effects. The study...

Persistent link: https://www.econbiz.de/10008480083

1
2
3
4
5
6
7
8
Next
Last