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Criticism of the Black-Scholes Model: But Why Is It Still Used? (The Answer Is Simpler than the Formula).
Yalincak, Orhun Hakan - Volkswirtschaftliche Fakultät, … - 2005
The Black Scholes Model (BSM) is one of the most important concepts in modern financial theory both in terms of approach and applicability. The BSM is considered the standard model for valuing options; a model of price variation over time of financial instruments such as stocks that can, among...
Persistent link: https://www.econbiz.de/10011211858
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The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt
Ezzat, Hassan - Volkswirtschaftliche Fakultät, … - 2012
Modeling volatility during a financial crisis where massive shocks are generated presents an ideal environment for … investigating the dynamics of volatility during periods of extreme fluctuations for comparison with volatility during more tranquil … periods. The objective of this paper is to study volatility of daily stock returns listed on the Egyptian Exchange during the …
Persistent link: https://www.econbiz.de/10011111235
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Stochastic conditonal range, a latent variable model for financial volatility
Galli, Fausto - Volkswirtschaftliche Fakultät, … - 2014
In this paper I introduce a latent variable augmented version of the conditional autoregressive range (CARR) model. The new model, called stochastic conditional- range (SCR) can be estimated by Kalman filter or by efficient importance sampling depending on the hypotheses on the distributional...
Persistent link: https://www.econbiz.de/10011112722
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Stochastic conditonal range, a latent variable model for financial volatility
Galli, Fausto - Volkswirtschaftliche Fakultät, … - 2014
In this paper we introduce a parameter driven model for the dynamics of range, the stochastic conditional range (SCR). We propose to estimate its parameters by Kalman filter, importance sampling and simulated maximum likelihood depending on the hypotheses on the distributional form of the...
Persistent link: https://www.econbiz.de/10011113646
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Forecasting Coherent Volatility Breakouts
Didenko, Alexander; Dubovikov, Michael; Poutko, Boris - Volkswirtschaftliche Fakultät, … - 2015
The paper develops an algorithm for making long-term (up to three months ahead) predictions of volatility reversals … minimal covers with decreasing scale is used to decompose volatility into two dynamic components: specific and structural. We … introduce two separate models for both, based on different principles and capable of catching long uptrends in volatility. To …
Persistent link: https://www.econbiz.de/10011267868
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The macroeconomic impact of the income tax reductions in Malta
Grech, Aaron George - Volkswirtschaftliche Fakultät, … - 2015
This paper presents estimates of the possible macroeconomic impact of the reductions in income tax introduced in the Budgets for 2013 and 2014. The simulations are based on the structural macro-econometric model described in Grech and Micallef (2014). The impact of the reductions on Government...
Persistent link: https://www.econbiz.de/10011267882
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Forecasting the yield curve: art or science?
Molenaars, Tomas K.; Reinerink, Nick H.; Hemminga, Marcus A. - Volkswirtschaftliche Fakultät, … - 2015
The objective of our work is to analyze the forecast performance of the dynamic Nelson-Siegel yield curve model and, for comparison, the first order autoregressive (AR(1)) model applied to a set of US bond yield data that covers a large timespan from November 1971 to December 2008. As a...
Persistent link: https://www.econbiz.de/10011249366
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Comment on "Multinational Firms and Backward Linkages" by Ping Lin and Kamal Saggi
Keane, Michael - Volkswirtschaftliche Fakultät, … - 2005
I highlight some of the key econometric problems facing the literature on FDI spillovers. For the most part, the existing literature takes the approach of estimating production functions in which the total factor productivity (TFP) of the domestic firms in a particular industry/country is...
Persistent link: https://www.econbiz.de/10011250912
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Linkages between Defense Spending and Income Inequality in Iran
Shahbaz, Muhammad; Sherafatian-Jahromi, Reza; Malik, … - Volkswirtschaftliche Fakultät, … - 2015
This paper contributes in economic literature by investigating the impact of defense spending on income inequality in case of Iran using time series data over the period of 1971-2011. For this purpose, we have applied the ARDL bounds testing approach to cointegration for long run relationship in...
Persistent link: https://www.econbiz.de/10011253061
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On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The central banks introduce and implement the monetary and financial stabilities policies, going from the accurate estimations of national macro-financial indicators such as the Gross Domestic Product (GDP). Analyzing the dependence of the GDP on the time, the central banks accurately estimate...
Persistent link: https://www.econbiz.de/10011258833