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Time varying hierarchical archimedean copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010
There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...
Persistent link: https://www.econbiz.de/10003953027
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Time varying hierarchical archimedean copulae
Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2010
There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...
Persistent link: https://www.econbiz.de/10010270704
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Venture Capital Optimal Investment Portfolio Strategies Selection in Diffusion - Type Financial Systems in Global Capital Markets with Nonlinearities
Ledenyov, Dimitri - 2017
strategies selection, evaluation of the possible returns on the investments, and implementation of exit strategies for the …
Persistent link: https://www.econbiz.de/10012971891
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Meritocracy across countries
Bandiera, Oriana; Kotia, Ananya; Lindenlaub, Ilse; … - 2024
Are labor markets in higher-income countries more meritocratic, in the sense that worker-job matching is based on … the role of worker-job matching in development accounting, we build an equilibrium matching model that allows for cross … determine match feasibility; (ii) technology, which determines the returns to matching; and (iii) idiosyncratic matching …
Persistent link: https://www.econbiz.de/10014520525
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National and international business cycle effects of housing crises
Jannsen, Nils - 2009
Housing crises usually go hand in hand with a long lasting recession and a considerable loss in output. We first re-examine the effects of a housing crises on the business cycle based on historical crises. Then we estimate the international spill-over-effects if several huge industrial countries...
Persistent link: https://www.econbiz.de/10010265229
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National and international business cycle effects of housing crises
Jannsen, Nils - 2009
Housing crises usually go hand in hand with a long lasting recession and a considerable loss in output. We first re-examine the effects of a housing crises on the business cycle based on historical crises. Then we estimate the international spill-over-effects if several huge industrial countries...
Persistent link: https://www.econbiz.de/10003827190
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Assessing Alternative Global Equity Investment Frameworks
Li, Xi - 2011
In establishing the foundation of their investment process, global equity investors typically adopt a framework along geographic and/or industry dimensions. The chosen framework is then applied to the whole investment process including alpha generation, portfolio construction, and risk...
Persistent link: https://www.econbiz.de/10013131001
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Modeling Exchange Rate Dependence Dynamics at Different Time Horizons
Dias, Alexandra - 2011
Despite an extensive body of research, the best way to model the dependence of exchange rates remains an open question. In this paper we present a new approach which employs a flexible time-varying copula model. It allows the conditional correlation between exchange rates to be both time-varying...
Persistent link: https://www.econbiz.de/10013132959
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Multilateral Virtual Currency Model
Gikhman, Ilya I. - 2012
This project represents a basic design of a multilateral FX market that synthetically connected to the modern bilateral FX market. The essence of the multilateral FX market is an introduction of the single rates generating by the multilateral FX structures. These single rates are single currency...
Persistent link: https://www.econbiz.de/10013101258
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On the Economic Foundations of Green Growth Discourses : The Case of Climate Change Mitigation and Macroeconomic Dynamics in Economic Modeling
Scrieciu, S. Serban - 2013
‘Greening' economic growth discourses are increasingly replacing the catchword of ‘sustainable development' within national and international policy circles. The core of the argument is that the growth of modern economies may be sustained or even augmented, while policy intervention...
Persistent link: https://www.econbiz.de/10013089359