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Fiscal policies and credit regimes : a TVAR approach
Ferraresi, Tommaso; Roventini, Andrea; Fagiolo, Giorgio - 2013
In the present work we investigate how the state of credit markets non-linearly affects the impact of fiscal policies. We estimate a Threshold Vector Autoregression (TVAR) model on U.S quarterly data for the period 1984-2010. We employ the spread between BAA-rated corporate bond yield and...
Persistent link: https://www.econbiz.de/10009702294
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Fiscal Policies and Credit Regimes : A TVAR Approach
Ferraresi, Tommaso - 2014
In the present work we investigate how the state of credit markets non-linearly affects the impact of fiscal policies. We estimate a Threshold Vector Autoregression (TVAR) model on U.S quarterly data for the period 1984-2010. We employ the spread between BAA-rated corporate bond yield and...
Persistent link: https://www.econbiz.de/10013064619
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Fiscal policies and credit regimes : a TVAR approach
Ferraresi, Tommaso; Roventini, Andrea; Fagiolo, Giorgio - In: Journal of applied econometrics 30 (2015) 7, pp. 1047-1072
Persistent link: https://www.econbiz.de/10011431724
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Fiscal policies and credit regimes : a TVAR approach
Ferraresi, Tommaso; Roventini, Andrea; Fagiolo, Giorgio - 2013
Persistent link: https://www.econbiz.de/10009713770
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Multiplier optimization for constant proportion portfolio insurance (cppi) strategy
Biedova, Olga; Steblovskaya, Victoria - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10012270906
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Interpretation of Lagrange multipliers in nonlinear pricing problem
Berg, Kimmo; Ehtamo, Harri - In: Optimization letters 4 (2010) 2, pp. 275-285
Persistent link: https://www.econbiz.de/10003958326
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Solving an optimization packing problem of cricles and non-convex polygons with rotations in a multiply connected region
Stoyan, Y. G.; Zlotnik, M. V.; Chugay, A. M. - In: Journal of the Operational Research Society : OR 63 (2012) 3, pp. 379-391
Persistent link: https://www.econbiz.de/10009509207
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Interior point methods in DEA to determine non-zero multiplier weights
Bougnol, M. L.; Dulá, José H.; Rouse, P. - In: Computers & operations research : and their … 39 (2012) 3, pp. 698-708
Persistent link: https://www.econbiz.de/10009384600
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A convex stochastic optimization problem arising from portfolio selection
Jin, Hanqing; Xu, Zuo Quan; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 18 (2008) 1, pp. 171-183
Persistent link: https://www.econbiz.de/10003643506
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Optimal solutions of multiplier DEA models
Podinovski, Victor V.; Bouzdine-Chameeva, Tatiana - In: Journal of productivity analysis : an official journal … 56 (2021) 1, pp. 45-68
Persistent link: https://www.econbiz.de/10012589174