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Towards a theory of life satisfaction accounting for stability, change and volatility in 25-year life trajectories in Germany

Headey, Bruce; Muffels, Ruud J. A. - 2016

An adequate theory of Life Satisfaction (LS) needs to take account of both factors that tend to stabilise LS and those that change it. The most widely accepted theory in psychology - setpoint theory - focussed solely on stability. That theory is now regarded as inadequate since several national...

Persistent link: https://www.econbiz.de/10011502854

Zeta Estimates of Wealth Volatility and Financial Planning Horizon

Grable, John - 2015

The intention of this study was to document how closely households follow normative descriptions of financial behavior in relation to their financial planning horizon. Modern Portfolio Theory predicts that households, in general, exhibit risk aversion. Aversion to wealth volatility should...

Persistent link: https://www.econbiz.de/10013030409

Particle Filters for Markov Switching Stochastic Volatility Models

Yun, Bao; Chiarella, Carl; Kang, Boda - 2012

This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility models in which the regime state is governed by a first-order Markov chain. We proposes an ongoing updated Dirichlet distribution to estimate the transition probabilities of the...

Persistent link: https://www.econbiz.de/10014164616

A managed volatility investment strategy for pooled annuity products

Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as …

Persistent link: https://www.econbiz.de/10013363078

Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined …The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already … mathematics for the dynamics of asset prices and their volatility. Calibrating it to real data would be very useful in many …

Persistent link: https://www.econbiz.de/10014362627

Why is Old Workers' Labor Market More Volatile? Unemployment Fluctuations Over the Life-Cycle

Hairault, Jean-Olivier - 2014

Since the last recession, it is usually argued that older workers are less affected by the economic downturn because their unemployment rate rose less than the one of prime-age workers. This view is a myth: older workers are more sensitive to the business cycle. We document volatilities of...

Persistent link: https://www.econbiz.de/10013055568