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these findings by estimating gravity type models for German regional export activity within the EU. The results show that …
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, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …
Persistent link: https://www.econbiz.de/10009728982
The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear … power in small samples. -- Panel cointegration Test ; likelihood ratio ; time trend ; Monte Carlo study …
Persistent link: https://www.econbiz.de/10003796158
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The Two-Stage Least Squares (2-SLS) is a well known econometric technique used to estimate the parameters of a multi-equation (or simultaneous equations) econometric model when errors across the equations are not correlated and the equation(s) concerned is (are) over-identified or exactly...
Persistent link: https://www.econbiz.de/10014216212
The least squares Monte Carlo method of Longstaff and Schwartz (2001) has become a standard numerical method for option pricing with many potential risk factors. An important choice in the method is the number of regressors to use and using too few or too many regressors leads to biased results....
Persistent link: https://www.econbiz.de/10013091061
Many problems in financial engineering involve the estimation of unknown conditional expectations across a time interval. Often Least Squares Monte Carlo techniques are used for the estimation. One method that can be combined with Least Squares Monte Carlo is the "Regress-Later" method. Unlike...
Persistent link: https://www.econbiz.de/10013062813
In the Longstaff-Schwartz Least-Squares Monte Carlo (LSM) method for American option pricing, the early-exercise strategy is based on a regression of future option values on current state variables. The dependence between continuation values and future cash flows results in potential model...
Persistent link: https://www.econbiz.de/10014236840
Credit value adjustment (CVA) and related charges have emerged as important risk factors following the Global Financial Crisis. These charges depend on uncertain future values of underlying products, and are usually computed by Monte Carlo simulation. For products that cannot be valued...
Persistent link: https://www.econbiz.de/10013001225