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Asymptotic Behaviour of Randomised Fractional Volatility Models
Horvath, Blanka - 2018
We study the asymptotic behaviour of a class of small-noise diffusions driven by fractional Brownian motion, with random starting points. Different scalings allow for different asymptotic properties of the process (small-time and tail behaviours in particular). In order to do so, we extend some...
Persistent link: https://www.econbiz.de/10012933302
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Testing the existence of moments for GARCH processes
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 227 (2022) 1, pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
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Matching as a stochastic process
Bolle, Friedel; Otto, Philipp E. - In: Jahrbücher für Nationalökonomie und Statistik 236 (2016) 3, pp. 323-348
Persistent link: https://www.econbiz.de/10011659929
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Divergence and convergence in Scarf cycle environments : experiments and predictability in the dynamics of general equilibrium systems
Gillen, Benjamin J.; Hirota, Masayoshi; Hsu, Ming; … - In: Economic theory 71 (2021) 3, pp. 1033-1084
Persistent link: https://www.econbiz.de/10012584409
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A simple nonparametric test for the equality of autocorrelation structures of two stochastic processes, with application to experimental data
Pudney, Stephen E.; Deadman, Derek F.; Clark, F. - 1997
Persistent link: https://www.econbiz.de/10000654971
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SMS : a program package for simulation and gaming of stochastic market processes and learning behavior
Witt, Ulrich; Perske, Joachim - 1982
Persistent link: https://www.econbiz.de/10000011570
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Essays in economic theory
Becker, Ralf Michael - 2002
Persistent link: https://www.econbiz.de/10003779122
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Adaptive microfoundations for emergent macroeconomics
Gaffeo, Edoardo; Delli Gatti, Domenico; Desiderio, Saul; … - In: Eastern economic journal 34 (2008) 4, pp. 441-463
Persistent link: https://www.econbiz.de/10003791378
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Portfolio optimization with risk control by stochastic dominance constraints
Dentcheva, Darinka; Ruszczyński, Andrzej P. - In: Stochastic programming : the state of the art ; in …, (pp. 189-211). 2011
Persistent link: https://www.econbiz.de/10008798656
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An experimental study of costly coordination
Goeree, Jacob K.; Holt, Charles A. - In: Games and economic behavior 51 (2005) 2, pp. 349-364
Persistent link: https://www.econbiz.de/10002940130