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A probabilistic solution to high-dimensional continuous-time macro and finance models
Ji, Huang - 2023
This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...
Persistent link: https://www.econbiz.de/10014331249
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The short-term effects of generative artificial intelligence on employment : evidence from an online labor market
Hui, Xiang; Reshef, Oren; Zhou, Luofeng - 2023
Generative Artificial Intelligence (AI) holds the potential to either complement knowledge workers by increasing their productivity or substitute them entirely. We examine the short-term effects of the recent release of the large language model (LLM), ChatGPT, on the employment outcomes of...
Persistent link: https://www.econbiz.de/10014323255
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Risk matters : a comment
Born, Benjamin; Pfeifer, Johannes - 2014
rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more …
Persistent link: https://www.econbiz.de/10010354846
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Computation of business-cycle models with the Generalized Schur Method
Heer, Burkhard; Maußner, Alfred - 2009
We describe an algorithm that is able to compute the solution of a singular linear difference system under rational expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example. -- stochastic dynamic general equilibrium ; linear solution methods ;...
Persistent link: https://www.econbiz.de/10003922867
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On the tree-cutting problem under interest rate and forest value uncertainty
Alvarez, Luis H. R.; Koskela, Erkki - 2003
Persistent link: https://www.econbiz.de/10011505937
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Does risk aversion accelerate optimal forest rotation under uncertainty?
Alvarez, Luis H. R.; Koskela, Erkki - 2004
volatility increases, while higher risk aversion decreases the optimal harvesting threshold. Moreover, under risk aversion … increased forest value volatility decreases the optimal harvesting threshold, while it has no effect under risk neutrality …. Numerical illustrations indicate that higher interest rate volatility will raise the expected rotation period at an increasing …
Persistent link: https://www.econbiz.de/10011450936
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On the estimation of the volatility-growth link
Launov, Andrey; Posch, Olaf; Wälde, Klaus - 2014
It is common practice to estimate the volatility-growth link by specifying a standard growth equation such that the … a biased and inconsistent estimate of the volatility-growth link. Our simulations show that this effect is large. Once … variance equation must include relevant control variables to estimate the volatility-growth link. …
Persistent link: https://www.econbiz.de/10010418202
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Oil prices and GCC stock markets : new evidence from smooth transition models
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10011859438
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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R.; Rottmann, Horst - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...
Persistent link: https://www.econbiz.de/10011897589
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Jump processes in natural gas markets
Mason, Charles F.; Wilmot, Neil - 2014
Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in...
Persistent link: https://www.econbiz.de/10010235818