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Cointegration and common trends on the West German labour market
Carstensen, Kai; Hansen, Gerd - In: Empirical economics : a journal of the Institute for … 25 (2000) 3, pp. 475-493
Persistent link: https://www.econbiz.de/10001502476
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The trade and FDI effects of EMU enlargement
Brouwer, Jelle; Paap, Richard; Viaene, Jean-Marie - 2007
investment and a relationship between trade and exchange rate volatility that depend on the sign of bilateral trade balances …
Persistent link: https://www.econbiz.de/10011372974
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10011302131
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001
methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …
Persistent link: https://www.econbiz.de/10011313921
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The role of credit constraints and government subsidies in farmland valuations in the US : an options pricing model approach
Mishra, Ashok K.; Moss, Charles B.; Erickson, Kenneth W. - In: Empirical economics : a journal of the Institute for … 34 (2008) 2, pp. 285-297
Persistent link: https://www.econbiz.de/10003674879
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A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which … vary according to whether they are in low or high volatility regimes. …
Persistent link: https://www.econbiz.de/10011479769
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Pricing American interest rate claims with humped volatility models
Moraleda Novo, Juan Manuel; Vorst, Ton - 1996
Persistent link: https://www.econbiz.de/10000939517
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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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A comparison of biased simulation schemes for stochastic volatility models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - 2008 - This version: February 6, 2008
simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where …
Persistent link: https://www.econbiz.de/10011349176
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Optimal Fourier inversion in semi-analytical option pricing
Lord, Roger; Kahl, Christian - 2007 - This version: 10th May 2007
At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...
Persistent link: https://www.econbiz.de/10011349177