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Examining the Nelson-Siegel Class of Term Structure Models
Pooter, Michiel De - Tinbergen Instituut - 2007
In this paper I examine various extensions of the Nelson and Siegel (1987) model with the purpose of fitting and forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in-sample fit of the term structure. However, I show that the...
Persistent link: https://www.econbiz.de/10011256459
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Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS
Diks, Cees; Weide, Roy van der - Tinbergen Instituut - 2003
This paper considers a simple Continuous Beliefs System (CBS) toinvestigate the effects on price dynamics of several behavioralassumptions: (i) herd behaviour; (ii) a-synchronous updating ofbeliefs; and (iii) heterogeneity in time horizons (memory) amongagents. The recently introduced concept of...
Persistent link: https://www.econbiz.de/10011256802
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The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations
Nawata, Kazumitsu; McAleer, Michael - Tinbergen Instituut - 2013
This discussion paper led to a publication in <I>Economics Letters</I> (2014). Vol. 123(3), pages 291-294.<P> Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but...</p></i>
Persistent link: https://www.econbiz.de/10011256925
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Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
Pooter, Michiel D. de; Ravazzolo, Francesco; Dijk, Dick van - Tinbergen Instituut - 2007
We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of models that have been used in the literature. We assess the relevance of parameter uncertainty by examining the added value of using Bayesian inference compared to frequentist estimation techniques,...
Persistent link: https://www.econbiz.de/10011257353
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A Real Option Perspective on Valuing Gas Fields
Zhao, Lin; Wijnbergen, Sweder van - Tinbergen Instituut - 2013
Real option theory has remained a fringe field; practitioners believe it is not practically applicable in complex real world environments. We show that this view is mistaken. We apply real option theory to a highly complex energy problem with unhedgeable risk, time varying volatilities and...
Persistent link: https://www.econbiz.de/10011257259
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Is there really a Green Paradox?
Ploeg, Frederick van der; Withagen, Cees - Tinbergen Instituut - 2010
in a Ramsey growth model with exhaustible oil reserves, an infinitelyelastic supply of renewables, stock-dependent oil …) below thatof renewables. There are then two regimes. If the oil stock is small, the social optimum path consists of … aninitial oil-only phase followed by a renewables-only phase. With a lower cost of renewables or a lowerdiscount rate, more oil …
Persistent link: https://www.econbiz.de/10011256971
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Counting with Combined Splitting and Capture-Recapture Methods
Dupuis, Paul; Kaynar, Bahar; Ridder, Ad; Rubinstein, Reuven - Tinbergen Instituut - 2011
This discussion paper resulted in a publication in <Stochastic Models</I> (2012). Volume 28(3), pages 478-502.<P> We apply the splitting method to three well-known counting problems, namely 3-SAT, random graphs with prescribed degrees, and binary contingency tables. We present an enhanced version of the splitting method...</p></stochastic>
Persistent link: https://www.econbiz.de/10011255459
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Stochastic User Equilibrium Traffic Assignment with Price-sensitive Demand: Do Methods matter (much)?
Weijde, Adriaan Hendrik van der; Berg, Vincent A.C. van den - Tinbergen Instituut - 2013
We compare three stochastic user equilibrium traffic assignment models multinomial probit, nested logit, and generalized nested logit), using a congestible transport network. We test the models in two situations: one in which they have theoretically equivalent coefficients, and one in which they...
Persistent link: https://www.econbiz.de/10011255611
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Optimal Balanced Control for Call Centers
Bhulai, Sandjai; Farenhorst-Yuan, Taoying; Heidergott, Bernd - Tinbergen Instituut - 2010
In this paper we study a challenging call center operation problem. The goal of our analysis is to identify an optimal policy for allocating tasks to agents. As a first step, we discuss promising randomized policies and use stochastic approximation for finding the optimal randomized policy when...
Persistent link: https://www.econbiz.de/10011255616
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Modelling Issues in Kernel Ridge Regression
Exterkate, Peter - Tinbergen Instituut - 2011
Kernel ridge regression is gaining popularity as a data-rich nonlinear forecasting tool, which is applicable in many different contexts. This paper investigates the influence of the choice of kernel and the setting of tuning parameters on forecast accuracy. We review several popular kernels,...
Persistent link: https://www.econbiz.de/10011255762