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Solving asset pricing models with stochastic volatility
De Groot, Oliver - In: Journal of economic dynamics & control 52 (2015), pp. 308-321
Persistent link: https://www.econbiz.de/10011474217
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Large-scale empirical tests of the Markov Tree model
Bhat, Harish S.; Kumar, Nitesh - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 280-318
The Markov Tree model is a discrete-time option pricing model that accounts for short-term memory of the underlying asset. In this work, we compare the empirical performance of the Markov Tree model against that of the Black-Scholes model and Heston's stochastic volatility model. Leveraging a...
Persistent link: https://www.econbiz.de/10011312214
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Measuring exchange rate fluctuations risk using the value-at-risk
Akhtekhane, Saeed Shaker; Mohammadi, Parastoo - In: Journal of applied finance & banking 2 (2012) 3, pp. 65-79
The paper intends to measure the daily Value-at-Risk (VaR) for Rial-Euro exchange rate fluctuations risk. Since in this … case we deal with a single risk factor, so we will not use the Monte Carlo simulation method to measure the VaR and we will … distribution and historical simulation with exponentially weighted data and without weighting is used to calculate VaR. Finally …
Persistent link: https://www.econbiz.de/10009565377
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A study of the machine learning approach and the MGARCH-BEKK model in volatility transmission
Joshi, Prashant; Wang, Jinghua; Busler, Michael - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-9
This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetric volatility transmission on both markets. We...
Persistent link: https://www.econbiz.de/10013163552
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What do aggregate saving rates (not) show?
Ponomarenko, Alexey; Ponomarenko, Alexey - 2018
The aggregate saving indicator does not directly reflect changes in individuals’ microeconomic behavior. From the official statistics’ point of view, households choose between spending, which generates additional income and consumption in the economy, and setting money aside, which does not....
Persistent link: https://www.econbiz.de/10011806421
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A tractable framework for analyzing a class of nonstationary Markov models
Maliar, Lilia; Maliar, Serguei; Taylor, John B.; … - In: Quantitative economics : QE ; journal of the … 11 (2020) 4, pp. 1289-1323
We consider a class of infinite‐horizon dynamic Markov economic models in which the parameters of utility function, production function, and transition equations change over time. In such models, the optimal value and decision functions are time‐inhomogeneous: they depend not only on state...
Persistent link: https://www.econbiz.de/10012316588
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Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model
Demary, Markus - 2010
This agent-based financial market model is a generalization of the model of Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as introduced by Demary (Who Does a Currency...
Persistent link: https://www.econbiz.de/10003935223
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Lohnimpulse und Wirtschaftswachstum : eine Simulationsanalyse für die Eurozone
Limbers, Jan; Petersen, Thieß; Böhmer, Michael - In: Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 96 (2016) 2, pp. 122-127
Seit der globalen Finanz- und Wirtschaftskrise und der sich daran anschließenden Staatsschuldenkrise stellt sich die Frage, ob die Krisenländer durch eine Verbesserung ihrer internationalen preislichen Wettbewerbsfähigkeit auf einen stabilen Wachstumspfad zurückkehren können, z.B. durch...
Persistent link: https://www.econbiz.de/10011428854
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The evolving transmission of uncertainty shocks in the United Kingdom
Mumtaz, Haroon - In: Econometrics : open access journal 4 (2016) 1, pp. 1-18
propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time …
Persistent link: https://www.econbiz.de/10011505897
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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35
This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...
Persistent link: https://www.econbiz.de/10011539896