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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

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

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

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

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

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

Informationsgewinnung aus Optionspreisen : Eine empirische Analyse des US-Dollar/Euro-Wechselkurses

Locht, Nicole van de - 2009

empirisch beobachtete Abweichung von der ungedeckten Zinsparität beim US-Dollar/Euro-Wechselkurs erklären kann. Außerdem …

Persistent link: https://www.econbiz.de/10014015223

Econometric Analysis of Count Data

Winkelmann, Rainer (contributor) - 2008 - Fifth edition

The book provides graduate students and researchers with an up-to-date survey of statistical and econometric techniques for the analysis of count data, with a focus on conditional distribution models. Proper count data probability models allow for rich inferences, both with respect to the...

Persistent link: https://www.econbiz.de/10013520920

Recent Advances in Estimating Nonlinear Models : With Applications in Economics and Finance

Ma, Jun - 2014

Specification and Estimation: Using Mixed Frequency Datasets -- Chapter 3 Testing for Neglected Nonlinearity Using Regularized … Function in Persistent Nonlinear Times Series Models -- Chapter 10 Small Area Estimation with Correctly Specified Linking …This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights …

Persistent link: https://www.econbiz.de/10014016985

Dynamic and Stochastic Multi-Project Planning

Melchiors, Philipp - 2015

This book deals with dynamic and stochastic methods for multi-project planning. Based on the idea of using queueing networks for the analysis of dynamic-stochastic multi-project environments this book addresses two problems: detailed scheduling of project activities, and integrated order...

Persistent link: https://www.econbiz.de/10012402101