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Potential games in volatile environments

Staudigl, Mathias - In: Games and economic behavior 72 (2011) 1, pp. 271-287

Persistent link: https://www.econbiz.de/10009243211

Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility

Zhang, Yumo - 2022

This paper investigates the optimal asset-liability management problems for two managers subject to relative performance concerns in the presence of stochastic inflation and stochastic volatility. The objective of the two managers is to maximize the expected utility of their relative terminal...

Persistent link: https://www.econbiz.de/10014237372

Modeling exchange rate dynamics in Egypt : observed and unobserved volatility

Rofael, Dina; Hosni, Rana - In: Modern economy 6 (2015) 1, pp. 65-80

Persistent link: https://www.econbiz.de/10011285372

A new model of inflation, trend inflation, and long-run inflation expectations

Chan, Joshua; Clark, Todd E.; Koop, Gary - 2015

Persistent link: https://www.econbiz.de/10011386660

Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models

Gagliardini, Patrick; Ghysels, Eric; Rubin, M. - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560

Persistent link: https://www.econbiz.de/10011987633

Inflation trends in Asia : implications for central banks

Garcia, Juan Angel; Poon, Aubrey - 2019

Trend inflation estimates for 12 of the largest Asian economies over 1995-2018 offer important insights on inflation dynamics and inflation expectations. The disinflationary shocks that hit the region since 2014 were partly transitory, but their effects have been different depending on the...