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Exchange rates, interest groups and commodity price (dis)-agreements
Kofman, Paul; Viaene, Jean-Marie - 1997
Persistent link: https://www.econbiz.de/10000976092
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Learning in cobweb experiments
Hommes, Cars H.; Sonnemans, Joep; Tuinstra, Jan; … - 2003
Different theories of expectation formation and learning usually yield different outcomes for realized market prices in dynamic models. The purpose of this paper is to investigate expectation formation and learning in a controlled experimental environment. Subjects are asked to predict the next...
Persistent link: https://www.econbiz.de/10011333266
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Multivariate stochastic volatility
Daníelsson, Jón - 1995
Persistent link: https://www.econbiz.de/10000913125
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An analytically tractable interest rate model with humped volatility
Mercurio, Fabio; Moraleda Novo, Juan Manuel - 1996
Persistent link: https://www.econbiz.de/10000939515
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000980737
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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments
Sluis, Pieter J. van der - 1998
Persistent link: https://www.econbiz.de/10000981248
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Structural stability tests with unknown breakpoint for the efficient method of moments with application to stochastic volatility models
Sluis, Pieter J. van der - 1998
Persistent link: https://www.econbiz.de/10000985438
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Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation
Jiang, George J.; Sluis, Pieter J. van der - 1998
Persistent link: https://www.econbiz.de/10000986291
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Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der - 1997
Persistent link: https://www.econbiz.de/10000968763
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A hybrid joint moment ratio test for financial times series
Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000994244