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Risk management with thinly traded securities : methodology and implementation
Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013
risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …
Persistent link: https://www.econbiz.de/10011303812
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Three forewords
Phelps, Edmund S. - 2008
Persistent link: https://www.econbiz.de/10009304941
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Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
Dueker, Michael (contributor) - 2005
"A pair of simple modifications to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal. Such recursions are broadly applicable to macroeconometric models that have one or more probit-type equation, such as vector...
Persistent link: https://www.econbiz.de/10003115151
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MCMC based estimation of term structure models
Mikkelsen, Peter - 2001
Persistent link: https://www.econbiz.de/10001634331
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Trend inflation in Sweden
Österholm, Pär; Poon, Aubrey - 2022
In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the period - although in general at a level below the...
Persistent link: https://www.econbiz.de/10012818429
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A Hodrick-Prescott filter with automatically selected jumps
Maranzano, Paolo; Pelagatti, Matteo - 2024
The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...
Persistent link: https://www.econbiz.de/10014578421
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A constant gain learning framework to understand the behaviour of US inflation and unemployment in the 2nd half of 20th century
Raamasrinivas, M.Venkata; Srinivasan, Naveen - 2020
Persistent link: https://www.econbiz.de/10013470993
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Contracts on the labour demand curve vs. efficient contracts : incentives and employment
Vetter, Henrik; Steen Mikkelsen, Inge - 1994
Persistent link: https://www.econbiz.de/10000887125
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Diffusion of multiple information : on information resilience and the power of segregation
Tabasso, Nicole - 2015
We introduce two pieces of information, denoted memes, into a diffusion process in which memes are transmitted when individuals meet and forgotten at an exogenous rate. At most one meme can be transmitted at a meeting, which introduces opportunity costs in the process. Individuals differ...
Persistent link: https://www.econbiz.de/10011279690
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Incentive compatible core and competitive equilibria in differential information economies
Forges, Françoise; Heifetz, Aviad; Minelli, Enrico - 1999
Persistent link: https://www.econbiz.de/10001428880