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User-Friendly Parallel Computations with Econometric Examples

Creel, Michael - Society for Computational Economics - SCE - 2005

This paper shows how a high level matrix programming language may be used to perform Monte Carlo simulation, bootstrapping, estimation by maximum likelihood and GMM, and kernel regression in parallel on symmetric multiprocessor computers or clusters of workstations. The implementation of...

Persistent link: https://www.econbiz.de/10005343007

Wavelet Optimized Finite-Difference Approach to Solve Jump-Diffusion type Partial Differential Equation for Option Pricing

Rahman, Mohammad R.; Thulasiram, Ruppa K.; … - Society for Computational Economics - SCE - 2005

interest in recent years in a new type of basis functions called wavelets. A given wavelet basis is generated from a single … different scales, it is possible to mimic the behavior of any function; this property of wavelets is called multiresolution … characteristics. We have used wavelets to develop an optimum finite differencing of the differential equations manifested by complex …

Persistent link: https://www.econbiz.de/10005132673

Stock returns and economic activity; evidence from wavelet analysis

Gallegati, Marco - Society for Computational Economics - SCE - 2005

Many empirical studies have analyzed the interations between the stock market and aggregate economic activity by examining either their short run or long run relationships, as the time series methodologies employed (cointegration analysis) may separate out just two time scales in economic time...

Persistent link: https://www.econbiz.de/10005537491

Financial Development and Property Valuation

Hussain, Sikandar; Ebrahim, M. Shahid - Society for Computational Economics - SCE - 2005

This paper investigates the impact of financial development on property valuation in a rational expectations framework by modeling the agency theoretic perspective of risk averse investors (property owners) and financiers (banks/ capital markets). In contrast to previous research, we consider a...

Persistent link: https://www.econbiz.de/10005537514

Solving SDGE Models: Approximation About The Stochastic Steady State

Juillard, Michel; Kamenik, Ondra - Society for Computational Economics - SCE - 2005

Recently, there has been many applications of perturbation methods for solving stochastic dynamic general equilibrium models. However, in standard applications of the perturbation method, the Taylor expansion is always computed around the deterministic steady state. Because of nonlinearities,...

Persistent link: https://www.econbiz.de/10005342992

Alternative Characterizations of the European Continuous-Installment Option Valuation Problem

Roko, Ilir; Ciurlia, Pierangelo - Society for Computational Economics - SCE - 2005

This paper is concerned with the pricing of European continuous-installment options where the aim is to determine the initial premium given the installment payments schedule. The particular feature of this pricing problem is the determination, along with the initial premium, of an optimal...

Persistent link: https://www.econbiz.de/10005343002

Automated detection and explanation of exceptional values in a datamining environment

Daniels, Hennie; Caron, Emiel - Society for Computational Economics - SCE - 2005

In this paper, we describe an extension of the datamining framework with automated causal diagnosis, offering the possibility to automatically detect and explain exceptional values to support business decision tasks. This functionality can be built into the conventional OLAP (On-Line Analytical...

Persistent link: https://www.econbiz.de/10005343014

An Overview of Automatic Differentiation

Utke, Jean; Hovland, Paul D - Society for Computational Economics - SCE - 2005

We provide an overview of automatic differentiation (AD), a technique for the efficient computation of derivatives of functions defined in some programming language. We give a short explanation of how AD works, indicate the anticipated cost of derivatives computed using AD, and survey what AD...

Persistent link: https://www.econbiz.de/10005343043

Multi-Step Perturbation Solution of Nonlinear Rational Expectations Models

Chen, Baoline; Zadrozny, Peter A. - Society for Computational Economics - SCE - 2005

This paper develops and illustrates the multi-step generalization of the standard single-step perturbation (SSP) method or MSP. In SSP, we can think of evaluating at x the computed approximate solution based on x0, as moving from x0 to x in "one big step" along the straight-line vector x-x0. By...

Persistent link: https://www.econbiz.de/10005343044

Higher-Order Perturbation Solutions to Dynamic, Discrete-Time Rational Expectations Models: Methods and an Application to Optimal Monetary Policy

Swanson, Eric; Anderson, Gary; Levin, Andrew - Society for Computational Economics - SCE - 2005

We present an algorithm and software routines for computing nth-order approximate solutions to dynamic, discrete-time rational expectations models around a nonstochastic steady state. We apply these routines to investigate the optimal monetary policy with commitment in an optimizing-agent model...

Persistent link: https://www.econbiz.de/10005343047