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Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...
Persistent link: https://www.econbiz.de/10011258000
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On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
software program and performed the computer modeling, using the Stratonovich – Kalman – Bucy filtering algorithm for the …
Persistent link: https://www.econbiz.de/10011258833
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To the problem of evaluation of market risk of global equity index portfolio in global capital markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
understanding of the cognitive modeling techniques in application to the investment decision making as far as the global equity …
Persistent link: https://www.econbiz.de/10011259800
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On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratan...
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...
Persistent link: https://www.econbiz.de/10011260821
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Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc
Chang, Chia-Lin; McAleer, Michael - In: Econometrics 1 (2013) 3, pp. 217-235
econometrics journals taken from the Thomson Reuters ISI Web of Science (ISI) Category of Economics, using citations data from ISI …
Persistent link: https://www.econbiz.de/10010711829
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Sims, Christopher Albert (born 1942)
Boumans, Marcel - Palgrave Macmillan
Christopher Sims is one of the leaders in time-series econometrics and empirical macroeconomics and is well known for … introducing the VAR approach to econometrics and macroeconomic modelling. Sims' main contribution to empirical macroeconomics was … to show how macro-econometric modeling should be revised so as to meet the Lucas Critique test. The VAR approach did not …
Persistent link: https://www.econbiz.de/10011141077
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Conditional Logit, IIA, and Alternatives for Estimating Models of Interstate Migration
Christiadi; Cushing, Brian - Regional Research Institute (RRI), West Virginia University - 2007
. We will begin to learn whether assuming IIA holds poses serious estimation problems for migration modeling. Given the …
Persistent link: https://www.econbiz.de/10010929295
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Conditional Logit, IIA, and Alternatives for Estimating Models of Interstate Migration
Christiadi; Cushing, Brian - Regional Research Institute (RRI), West Virginia University - 2007
. We will begin to learn whether assuming IIA holds poses serious estimation problems for migration modeling. Given the …
Persistent link: https://www.econbiz.de/10010779260
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The Econometric Analysis of Time Series, 2nd Edition
Harvey, Andrew C. - The MIT Press
the main ideas and concepts in econometrics rather than presenting a series of rigorous proofs. It explores the way in … which recent advances in time series analysis have affected the development of a theory of dynamic econometrics, sets out an …
Persistent link: https://www.econbiz.de/10004972985
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Econometrics, Volume 1: Econometric Modeling of Producer Behavior
Jorgenson, Dale W. - The MIT Press
The objectives of econometric modeling of producer behavior are to determine the nature of substitution among inputs …
Persistent link: https://www.econbiz.de/10004973130