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Closed Form Integration of Artificial Neural Networks With Some Applications to Finance

Gottschling, Andreas; Haefke, Christian; White, Halbert - 1999

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

Persistent link: https://www.econbiz.de/10005843731

Testing for Concordance Ordering

Cebrian, Ana C.; Denuit, Michel; Scaillet, Olivier - 2002

This paper delevops a tools to analyse the ordering of concordance of random vectors.

Persistent link: https://www.econbiz.de/10005843302

Nonparametric Tests for Positive Quadrant Dependence

Denuit, Michel; Scaillet, Olivier - 2001

This papfer deals with distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent.

Persistent link: https://www.econbiz.de/10005843307

Model Risk for European Stock Index Options

Gençay, Ramo; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as theBlack-Scholes model with … constant volatility. In this paper, we examine the best performing parametric models against nonparametric alternatives. In … optionpricing formula are risk pricing tools, an accurate estimation of the unknown option pricing function is essential for pricing …

Persistent link: https://www.econbiz.de/10005857988

Firm Specific Wage Spread in Germany - Decomposition of regional differences in inter firm wage dispersion

Görzig, Bernd; Gornig, Martin; Werwatz, Axel - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

structures. A non-parametric decomposition is used to analyse firm level difference between the wage spread in the two major …

Persistent link: https://www.econbiz.de/10005861315

When did the 2001 recession really start?

Polzehl, Jörg; Spokoiny, Vladimir; Stărică, Cătălin - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

The paper develops a non-parametric, non-stationary framework for business-cycle dating based on an innovative … macroeconomic time series relevant to the dating of the business cycle as well as for the estimation of their joint dynamic. Since … the business cycle is defined as the common dynamic of some set of macroeconomic indicators, its estimation depends …

Persistent link: https://www.econbiz.de/10005861467

Oil shocks and optimal monetary policy

Montoro, Carlos - Bank for International Settlements / Monetary and … - 2010

In practice, central banks have been confronted with a trade-off between stabilising inflation and output when dealing with rising oil prices. This contrasts with the result in the standard New Keynesian model that ensuring complete price stability is the optimal thing to do, even when an oil...

Persistent link: https://www.econbiz.de/10005870912

Elastic Oil. A primer on the economics of explorationand production

Mohn, Klaus - Universitetet <Stavanger> / School of Business …

Predictions from the original geophysical approach to oil explorationand production suggest that oil production will develop according to a predeterminedand inflexible bell-shaped trajectory, quite independent of variables relatingto technological development, economics, and policy. Exploring...

Persistent link: https://www.econbiz.de/10009305228

Petroleum taxation: Experience and issues

Løvås, Kjell; Osmundsen, Petter - Universitetet <Stavanger> / School of Business …

Topical issues in petroleum tax design are in this chapter discussed by means of a tax model for anet income tax system (Norway) and a representative PSA regime. We analyse the entire lifecycle of a typical petroleum project, i.e., the exploration decision is included. Many petroleumtax systems...

Persistent link: https://www.econbiz.de/10009305230

Macro Wine in Financial Skins: The Oil-FXInterdependence

Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

This paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of therelevant literature, the present approach takes a financial markets perspective using daily data. The fast-running...

Persistent link: https://www.econbiz.de/10005860502