Showing 1 - 10 of 76
Persistent link: https://www.econbiz.de/10005671973
This paper studies a classical extension of the Black and Scholes model of option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties. We study here the...
Persistent link: https://www.econbiz.de/10005780419
We prove that the recently proposed informational herding models are but special cases of a standard single person experimentation model with myopia. We then re-interpret the incorrect herding outcome as a familiar failure of complete learning in an optimal experimentation problem.
Persistent link: https://www.econbiz.de/10005748998
Persistent link: https://www.econbiz.de/10005207484
The paper proposes an original class of conditionally heteroskedastic models aimed to capture a new concept of asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also, positive and negative changes are governed by different...
Persistent link: https://www.econbiz.de/10005669219
An extremely simple proof of the K-K-M-S Theorem is given involving only Brouwer's fixed point theorem and some elementary calculus.
Persistent link: https://www.econbiz.de/10005669307
Procedures for estimating a linear single-equation model by means of panel data with errors-in-variables are considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods. The differenced equations can be estimated by using as...
Persistent link: https://www.econbiz.de/10005198071
We investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law numbers for...
Persistent link: https://www.econbiz.de/10005776529
Persistent link: https://www.econbiz.de/10005443489
This paper considers estimation and inference in panel vector autoregressions with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood estimator based on a transformed likelihood function is proposed and shown to be...
Persistent link: https://www.econbiz.de/10005618398