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Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies
Nkusu, Mwanza - International Monetary Fund (IMF) - 2011
a panel vector autoregressive (PVAR) model. The impulse response functions (IRFs) attribute to NPL a central role in the …
Persistent link: https://www.econbiz.de/10009203534
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Option pricing with sparse grids
Mertens, Thomas - Society for Computational Economics - SCE - 2005
We investigate the suitability of sparse grids for solving high-dimensional option pricing and interest rate models numerically. Starting from the partial differential equation, we try to - at least partially - break the curse of dimensionality through sparse grids which will result from a...
Persistent link: https://www.econbiz.de/10005132688
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A proof of convergence for the combination technique for the Laplace equation using tools of symbolic computation
Bungartz, H.; Griebel, M.; Röschke, D.; Zenger, C. - In: Mathematics and Computers in Simulation (MATCOM) 42 (1996) 4, pp. 595-605
with meshwidth h and O(h−2) grid points, the order O(h2) of the discretization error was shown in (Hofman, 1967), if g …. The crucial task of the proof, i.e. the determination of the discretization error on rectangular grids with arbitrary …
Persistent link: https://www.econbiz.de/10011050597
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Some recent theory for autoregressive count time series
Tjøstheim, Dag - In: TEST: An Official Journal of the Spanish Society of … 21 (2012) 3, pp. 413-438
from an ordinary autoregressive model the difficulties in extending standard theory of statistical inference to count time …In this paper an overview is given over recent theoretical developments in autoregressive count time series. The focus … is on generalized autoregressive models where the autoregressive structure is incorporated via a link function. Starting …
Persistent link: https://www.econbiz.de/10010994325
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Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers
Temme, Johannes - In: Computational Statistics 76 (2012) 1, pp. 21-41
We consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Lévy model with finite time horizon. We discretize the model by restricting portfolio adjustments to an equidistant discrete time grid. Under minimal assumptions we prove convergence of the...
Persistent link: https://www.econbiz.de/10010847680
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Discretization of Lévy semistationary processes with application to estimation
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - School of Economics and Management, University of Aarhus - 2014
Motivated by the construction of the Itô stochastic integral, we consider a step function method to discretize and simulate volatility modulated Lévy semistationary processes. Moreover, we assess the accuracy of the method with a particular focus on integrating kernels with a singularity at...
Persistent link: https://www.econbiz.de/10010885056
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The distribution of the maximum of the multivariate AR(p) and multivariate MA(p) processes
Withers, Christopher S.; Nadarajah, Saralees - In: Statistics & Probability Letters 95 (2014) C, pp. 48-56
We give the cumulative distribution function (cdf) of Mn, the (element-wise) maximum of a sequence of n observations from a multivariate AR(p) process. We do the same for a multivariate MA(p) process. Solutions are first given in terms of repeated integrals and then for the case, where the...
Persistent link: https://www.econbiz.de/10010939476
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Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV
Lahaye, Jerome; Shaw, Philip - In: Economics Letters 125 (2014) 1, pp. 43-46
This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized …
Persistent link: https://www.econbiz.de/10010939493
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Integer linear programming models for topology optimization in sheet metal design
Fügenschuh, Armin; Fügenschuh, Marzena - In: Mathematical Methods of Operations Research 68 (2008) 2, pp. 313-331
The process of designing new industrial products is in many cases solely based on the intuition and experience of the responsible design engineer. The aid of computers is restricted to visualization and manual manipulation tools. We demonstrate that the design process for conduits, which are...
Persistent link: https://www.econbiz.de/10010999713
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Discretization of information collecting situations and continuity of compensation rules
Brânzei, R.; Scotti, F.; Tijs, S.; Torre, A. - In: Mathematical Methods of Operations Research 57 (2003) 2, pp. 299-308
A canonical procedure is described, which associates to each infinite information collecting situation a related information collecting situation with finite state and action spaces, in such a way that the two corresponding IC-games are near to each other. Compensations for informants are then...
Persistent link: https://www.econbiz.de/10010999716