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The Search for Chaos and Nonlinearities in Swedish Stock Index Returns
Amilon, Henrik; Byström, Hans - 1998
Numerous empirical studies have shown evidence of nonlinearities in financial time series, which can be of both a deterministic and a stochastic nature. Chaos is an example of the former, and heteroscedasticity in the conditional variance an example of the latter. We apply a test, the BDS test,...
Persistent link: https://www.econbiz.de/10013208396
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Estimating nonlinear heterogeneous agents models with neural networks
Kase, Hanno; Melosi, Leonardo; Rottner, Matthias - 2022
Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models feasible. These simplifications include approximating the true nonlinear dynamics of the model, disregarding aggregate uncertainty or assuming that all agents are identical. While...
Persistent link: https://www.econbiz.de/10013479448
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A test for serial dependence using neural networks
Kapetanios, George - 2007
Testing serial dependence is central to much of time series econometrics. A number of tests that have been developed and used to explore the dependence properties of various processes. This paper builds on recent work on nonparametric tests of independence. We consider a fact that characterises...
Persistent link: https://www.econbiz.de/10010284152
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Measuring the performance of banks: Theory, practice, evidence, and some policy implications
2013
episodes of financial distress and they also have an incentive to increase risk to exploit the cost-of-funds subsidy of … relationship to size requires untangling cost and profit from decisions about risk versus expected-return because both cost and … higher levels of risk-taking. Studies of banking cost that ignore endogenous risk-taking find little evidence of scale …
Persistent link: https://www.econbiz.de/10010334246
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The performance of financial institutions: Modeling, evidence, and some policy implications
Hughes, Joseph P.; Mester, Loretta J. - 2018
charters from episodes of financial distress, and they also have an incentive to increase risk to exploit the cost … relationship to size requires untangling cost and profit from decisions about risk versus expected return because both cost and … higher levels of risk-taking. Studies of commercial banking cost that ignore endogenous risk-taking find little evidence of …
Persistent link: https://www.econbiz.de/10012028612
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The global financial crisis: how similar? How different? How costly?
Claessens, Stijn; Kose, M. Ayhan; Terrones, Marco E. - 2010
This paper provides a brief analysis of three major questions raised in the context of the recent global financial crisis. First, how similar is the crisis to previous episodes? We argue that the crisis featured some close similarities to earlier ones, including the presence of credit and asset...
Persistent link: https://www.econbiz.de/10010273680
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The Chicago Fed DSGE Model
Brave, Scott A.; Campbell, Jeffrey R.; Fisher, Jonas D. M. - 2012
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …
Persistent link: https://www.econbiz.de/10010292149
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Bayesian semiparametric multivariate GARCH modeling
Jensen, Mark J.; Maheu, John M. - 2012
This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given...
Persistent link: https://www.econbiz.de/10010292242
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Decomposing changes in the aggregate labor force participation rate
Hotchkiss, Julie L. - 2009
This paper presents a simple methodology for decomposing changes in the aggregate labor force participation rate (LFPR) over time into demographic group changes in labor force participation behavior and in population share. The purpose is to identify the relative importance of behavioral changes...
Persistent link: https://www.econbiz.de/10010292316
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Simulation-based valuation of project finance: does model complexity really matter?
Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010
forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …
Persistent link: https://www.econbiz.de/10010305715