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Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices

Roy, Subrata - In: Theoretical and applied economics : GAER review 28 (2021) 2/627, pp. 259-284

Persistent link: https://www.econbiz.de/10012693493

Modellierung der Abhängigkeitsstruktur von Ausfallkörben : eine Betrachtung für den Spezialfall des Duo-Baskets

Lehmann, Christoph - 2016

Persistent link: https://www.econbiz.de/10013441241

Asset price and wealth dynamics with heterogeneous expectations : a deterministic nonlinear structural model approach

Florian Heitger - 2010

Based on a classical financial market model different model variants known from the literature are discussed and analyzed, each focussing on modeling financial markets as a nonlinear dynamic system by introducing the formation of (heterogeneous) beliefs about future asset prices into the model...

Persistent link: https://www.econbiz.de/10009428980

Is there Chaos on the German Labor Market? / Ist der deutsche Arbeitsmarkt chaotisch?

Neugart, Michael - In: Jahrbücher für Nationalökonomie und Statistik 218 (1999) 5-6, pp. 658-673

test German labor market data for the null hypothesis of an i.i.d. process with the BDS test. As several processes … core to German labor market dynamics. Chaos does not occur. … Arbeitsmarkt mit Hilfe des BDS Tests auf Nichtlinearitäten untersucht. Da der Nachweis deterministischer Nichtlinearitäten über den …

Persistent link: https://www.econbiz.de/10014608718

Evaluating a class of nonlinear time series models

Heinen, Florian - 2010

tests against serial correlation, no remaining nonlinearity and parameter constancy. We also consider evaluation by …

Persistent link: https://www.econbiz.de/10010270400

The dynamics of real exchange rates: A reconsideration

Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...

Persistent link: https://www.econbiz.de/10010289015

Essays on nonlinear and explosive time series : with applications to financial markets

Kaufmann, Hendrik - 2014

Bias correction, explosive behavior, non-linearity, model selection, persistence, specification testing. - Bias …

Persistent link: https://www.econbiz.de/10010395343

Generalized autocontours : evaluation of multivariate density models

González-Rivera, Gloria; Sun, Yingying - In: International journal of forecasting 31 (2015) 3, pp. 799-814

Persistent link: https://www.econbiz.de/10011474574

Chaotic interest rate rules

Benhabib, Jess; Schmitt-Grohé, Stephanie; Uribe, Martín - 2001

A growing empirical and theoretical literature argues in favor of specifying monetary policy in the form of Taylor-type interest rate feedback rules. That is, rules whereby the nominal interest rate is set as an increasing function of inflation with a slope greater than one around an intended...

Persistent link: https://www.econbiz.de/10010318350

The Good, the bad, and the ugly: an inquiry into the causes and nature of credit cycles

Matsuyama, Kiminori - 2004

This paper builds models of nonlinear dynamics in the aggregate investment and borrower net worth and uses them to study the causes and nature of endogenous credit cycles. The basic model has two types of projects: the Good and the Bad. The Bad is highly productive, but, unlike the Good, it...

Persistent link: https://www.econbiz.de/10010266314