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Settlement Gap Risk
Kappen, Christian - 2017
decomposes into a component driven by market movements and a component driven by settlement payments. In this article, we …. The settlement induced component of gap risk, which we call Settlement Gap Risk (SGR), can be the dominant source of gap …
Persistent link: https://www.econbiz.de/10012941878
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A Monte Carlo study of some tests of model adequacy in time series analysis
Hall, Anthony D.; McAleer, Michael - 1987 - Rev.
Persistent link: https://www.econbiz.de/10000724797
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GARP violation, economic enironment distortions and shadow prices : evidence from household expenditure panel data
Diaye, Marc-Arthur; Gardes, Françoise; Starzec, Krzysztof - In: Annales d'économie et de statistique 90 (2008), pp. 3-33
Persistent link: https://www.econbiz.de/10003910503
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The world according to GARP : non-parametric tests of demand theory and rational behavior
Diaye, Marc-Arthur; Gardes, François; Starzec, Krzysztof - 2001
Persistent link: https://www.econbiz.de/10001620425
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Rational inattention in the frequency domain
Jurado, Kyle - In: Journal of economic theory 208 (2023), pp. 1-23
Persistent link: https://www.econbiz.de/10014390487
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Assessor Rationality Across Differing Forecast Series
Vonnegut, Andrew - 2015
Extensive empirical studies on the rationality of expectations as defined by Muth have revolved around tests on a … single series of forecast data, with results differing widely across studies. Rationality as an assessor characteristic has … long been of interest in economic theory and practice. However, as non-replicated events, single series tests do not …
Persistent link: https://www.econbiz.de/10014138043
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Cointegration and aggregation
Körösi, Gábor - 1991
Persistent link: https://www.econbiz.de/10013392833
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Further evidence on the usefulness of real-time datasets for economic forecasting
Fernández, Andrés; Swanson, Norman R. - In: Quantitative finance and economics 1 (2017) 1, pp. 2-25
Persistent link: https://www.econbiz.de/10012137708
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A bootstrapped spectral test for adequacy in weak ARMA models
Zhu, Ke; Li, Wai Keung - In: Journal of econometrics 187 (2015) 1, pp. 113-130
Persistent link: https://www.econbiz.de/10011498788
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The rational inattention filter
Maćkowiak, Bartosz; Matějka, Filip; Wiederholt, Mirko - 2017
Dynamic rational inattention problems used to be difficult to solve. This paper provides simple, analytical results for dynamic rational inattention problems. We start from the benchmark rational inattention problem. An agent tracks a variable of interest that follows a Gaussian process. The...
Persistent link: https://www.econbiz.de/10011636897