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Modeling the US short-term interest rate by mixture autoregressive processes
Lanne, Markku; Saikkonen, Pentti - 2000
A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the paper and further informal checks the model is capable of capturing both of the typical characteristics of the...
Persistent link: https://www.econbiz.de/10009612047
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The response of long-term interest rates to news about monetary policy actions : empirical evidence for the US and Germany
Nautz, Dieter; Wolters, Jürgen - 1998
We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions … tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore …, its empirical test sheds new light on the importance of expectations theory for the determinants of the term structure of …
Persistent link: https://www.econbiz.de/10009578577
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Credit risk modeling and valuation : an introduction
Giesecke, Kay - 2002
Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or … issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk …
Persistent link: https://www.econbiz.de/10009625799
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Cointegrating smooth transition regressions with applications to the Asian currency crisis
Saikkonen, Pentti; Choi, In - 2000
This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...
Persistent link: https://www.econbiz.de/10009612025
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Forecasting performance of market share attraction models : a comparison of different models assuming that competitors’ actions are forecasts
Klapper, Daniel; Herwartz, Helmut - 1998
Persistent link: https://www.econbiz.de/10009578563
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Structural vector autoregressive models and monetary policy analysis
Holtemöller, Oliver - 2002
possibility is to adopt restrictions from economic theory. The purpose of this paper is to investigate the implications of the …
Persistent link: https://www.econbiz.de/10009620773
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Low-probability insurance decisions : the role of concern
Schade, Christian D.; Kunreuther, Howard; Kaas, Klaus Peter - 2002
On the basis of a real high stakes insurance experiment with small probabilities of losses, we demonstrate that concern is a more important driver of WTP for insurance than subjective probability estimates when there is ambiguity surrounding the estimate. Concern is still important when...
Persistent link: https://www.econbiz.de/10009621421
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The false consensus effect disappears if representative information and monetary incentives are given
Engelmann, Dirk; Strobel, Martin - 1999
In this paper we present an experiment on the false consensus effect. Unlike previous experiments, we provide monetary incentives for revealing the actual estimation of others' behavior. In each session and round sixteen subjects make a choice between two options simultaneously. Then they...
Persistent link: https://www.econbiz.de/10009581106
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Lag selection in subset VAR models with an application to a US monetary system
Brüggemann, Ralf; Lütkepohl, Helmut - 2000
Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...
Persistent link: https://www.econbiz.de/10009583885
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A fractionally integrated model with a mean shift for the US and the UK real oil prices
Gil-Alaña, Luis A. - 2000
In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the...
Persistent link: https://www.econbiz.de/10009611543