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Unemployment rate in ECCAS countries : structural changes and stochastic convergence

Bouanza, Jean Roméo Félix Kouika; Ndinga, Mathias … - In: Modern economy 11 (2020) 11, pp. 1810-1835

Persistent link: https://www.econbiz.de/10012523457

An approximation scheme for option pricing under two-state continuous CAPM

Safdari-Vaighani, Ali; Ahmadian, Davood; Javid-Jahromi, Roja - In: Computational economics 57 (2021) 4, pp. 1373-1385

Persistent link: https://www.econbiz.de/10012543380

Kosovo: EU trade relations : a dynamic panel poisson approach

Gashi, Petrit; Hisarciklilar, Mehtap; Pugh, Geoff - In: Applied economics 49 (2017) 26, pp. 2642-2654

Persistent link: https://www.econbiz.de/10011819653

Implications of macroeconomic volatility in the Euro area

Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent quantity during estimation. Only a limited number of...

Persistent link: https://www.econbiz.de/10011978764

Implications of macroeconomic volatility in the Euro area

Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018

Persistent link: https://www.econbiz.de/10011871462

From bond yield to macroeconomic instability : a parsimonious affine model

Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135

Persistent link: https://www.econbiz.de/10011802489

European competitiveness : a semiparametric stochastic metafrontier analysis at the firm level

Verschelde, Marijn; Dumont, Michel; Rayp, Glenn; … - 2014

Persistent link: https://www.econbiz.de/10010441324

Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model

Hout, Karel J. in 't; Lamotte, Pieter - In: The journal of computational finance 26 (2023) 4, pp. 101-137

Persistent link: https://www.econbiz.de/10014342075

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21

In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than...

Persistent link: https://www.econbiz.de/10012174118

Testing for stochastic convergence : the case of the Cohesion countries

Chapsa, X.; Athanasenas, A. L.; Tabakis, Nikolaos M. - In: European research studies 21 (2018) 2, pp. 38-47

Persistent link: https://www.econbiz.de/10012220086