Showing 1 - 10 of 114
This paper shows that the presence of conditional staging in R&D (Research & Development) has a critical impact on portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option-like characteristics, correlation between projects plays a...
Persistent link: https://www.econbiz.de/10011373815
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10011809984
Persistent link: https://www.econbiz.de/10001699714
Persistent link: https://www.econbiz.de/10000151691
Persistent link: https://www.econbiz.de/10001718624
Persistent link: https://www.econbiz.de/10002695544
Persistent link: https://www.econbiz.de/10002983309
Persistent link: https://www.econbiz.de/10003073152
This paper considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of accounting for the leverage effect. We adopt simulation-based methods to address key challenges in parameter estimation, the filtering of time-varying volatility, and...
Persistent link: https://www.econbiz.de/10014433826
Persistent link: https://www.econbiz.de/10001633083