In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical...

Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...

We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...

A solution method is derived in this paper for solving a system of linear rational-expectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of...

Exploratory factor analysis (EFA) is an important tool in data analyses, particularly in social science. Usually four steps are carried out which contain an large number of options. One important option is the number of factors and the association of variables with a factor. Our tools aim to...

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...

We state conditions for existence and uniqueness of equilibria in evolutionary models with an infinity of locally and globally interacting agents. Agents face repeated discrete choice problems. Their utility depends on the actions of some designated neighbors and the average choice throughout...