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Interest Rates, Exchange Rates and World Monetary Policy
Floyd, John E. - 2010
A Theoretical Framework -- Specifications and Assumptions -- Underlying Equilibrium Growth Paths -- Variations in Employment -- Some Important Implications -- Exchange Rate Overshooting -- Exchange Rate Determination -- Issues Regarding Exchange Rate Determination -- Time Series Properties of...
Persistent link: https://www.econbiz.de/10013521314
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Exchange Rates and Macroeconomic Dynamics
Karadeloglou, Pavlos V. (ed.); Terraza, Virginie (ed.) - 2008
This book looks at the PPP persistence puzzle, and econometric aspects of exchange rate dynamics and their implications. It also explores the importance of exchange rate dynamics in the pass-through effects (PTE) and the econometric aspects of the exchange rates dynamics linked to structural...
Persistent link: https://www.econbiz.de/10012054166
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Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System
Kömm, Holger - 2016 - 1st ed. 2016
This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring system, using first, a sequence of competing...
Persistent link: https://www.econbiz.de/10014018810
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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Gregoriou, Greg N. (ed.); Pascalau, Razvan (ed.) - 2011
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets
Persistent link: https://www.econbiz.de/10012053890
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Inflation versus Price-Level Targeting : Bayesian Estimation of a Small Open DSGE Model for Switzerland
Heim, Lukas - 2015
Monetary Policy in Switzerland Comparison of Inflation and Price-Level Targeting Bayesian Estimation of a Small Open DSGE Model …
Persistent link: https://www.econbiz.de/10012819094
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David (contributor) - 2008
This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the … between individuals can be substantial in terms of regulatory capital. The last chapter proposes the estimation of a Markov …
Persistent link: https://www.econbiz.de/10013520959
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Gesundheitsökonomische Bewertung von Präventionsmaßnahmen : Eine Markov-Modellierung zur Analyse der Kosten-Effektivität juveniler Bewegungsförderung
Liersch, Sebastian - 2016
Wirtschaftlichkeitsuntersuchungen und gesundheitsökonomische Evaluation -- Methodik der Entscheidungsanalyse -- Entwicklung eines Markov-Modells -- Ergebnisse der Basisfallbetrachtung, Sensitivitäts- und Szenarioanalysen des Fallbeispiels.
Persistent link: https://www.econbiz.de/10013414512
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Performance Analysis of Closed Queueing Networks
Lagershausen, Svenja - 2013
1. Introduction -- 2. Closed Queueing Networks -- 3. Literature Review -- 4. Decomposition Approach -- 5. Markov-chain Approach -- 6. Distribution of the Time between Processing Starts -- 7. Conclusion
Persistent link: https://www.econbiz.de/10014552591
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Markov Chains : Models, Algorithms and Applications
Ching, Wai-Ki - 2013 - 2nd ed. 2013
. Chapter 1 gives a brief introduction to the classical theory on both discrete and continuous time Markov chains. The … relationship between Markov chains of finite states and matrix theory will also be highlighted. Some classical iterative methods …-order Markov chain models, particularly a class of parsimonious higher-order Markov chain models. Efficient estimation methods for …
Persistent link: https://www.econbiz.de/10014016579
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Simulation stochastischer Systeme : Eine anwendungsorientierte Einführung
Waldmann, Karl-Heinz - 2016
Inhaltsverzeichnis -- Einführung -- Erzeugung von Zufallsvariablen -- Ereignisorientierte Simulation -- Output Analyse: Statistische Auswertung der Simulationsergebnisse -- Statische Simulationsmodelle -- Input Analyse: Festlegung der Eingabegrößen -- Varianzreduzierende Verfahren --...
Persistent link: https://www.econbiz.de/10014019624