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GMM estimation of Multifractal Random Walks using an efficient algorithm for HAC covariance matrix estimation
Sattarhoff, Cristina - 2010
This paper improves the estimation procedure of the Multifractal Random Walk model by means of an optimal iterated Generalized Method of Moments (GMM) estimator using an enhanced moments function. We report good estimation results within the scope of a Monte Carlo simulation study, with normally...
Persistent link: https://www.econbiz.de/10010270279
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Decomposing Risk in Dynamic Stochastic General Equilibrium
Lan, Hong; Meyer-Gohde, Alexander - 2014
We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility … and recursive preferences. We nd that the conditional heteroskedasticity of stochastic volatility operationalizes a time … differing orders of approximation, enabling us to identify the common channel through which stochastic volatility in isolation …
Persistent link: https://www.econbiz.de/10010396955
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Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
Adaemmer, Philipp; Bohl, Martin T.; Christian, Groß - 2015
We investigate the price dynamics of two illiquid agricultural futures contracts traded at the European Exchange in Frankfurt. Based on constant and time-varying vector error correction models, we measure the contribution of each futures market to price discovery. Although results from the...
Persistent link: https://www.econbiz.de/10011301809
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Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach
Karmann, Alexander; Eichler, Stefan; Maltritz, Dominik - 2010
We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...
Persistent link: https://www.econbiz.de/10010270187
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Endogenous Money, Excess Reserves and Unconventional Monetary Policy
Böhl, Gregor - 2022
Persistent link: https://www.econbiz.de/10013359355
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An Electricity Market Model with Generation Capacity Investment under Uncertainty
Schröder, Andreas - 2012
This article presents an electricity dispatch model with endogenous electricity generation capacity expansion for Germany over the horizon 2035. The target is to quantify how fuel price uncertainty impacts investment incentives of thermal power plants. Results point to ndings which are in line...
Persistent link: https://www.econbiz.de/10010310703
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Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance
Savin, Ivan; Winker, Peter - 2010
Innovations, be they radical new products or technology improvements are widely recognized as a key factor of economic growth. To identify the factors triggering innovative activities is a main concern for economic theory and empirical analysis. As the number of hypotheses is large, the process...
Persistent link: https://www.econbiz.de/10010270208
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Some Observations in the High-Frequency Versions of a Standard New-Keynesian Model
Sacht, Stephen; Franke, Reiner - 2010
In a small-scale New-Keynesian model with a hybrid Phillips curve and IS equation, the paper is concerned with an arbitrary frequency of the agents' synchronized decision making. It investigates the validity of a fundamental methodological precept according to which no substantive prediction or...
Persistent link: https://www.econbiz.de/10010270759
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The Effect of On-net/Off-net Differentiation and Heterogeneous Consumers on Network Size in Mobile Telecommunications An Agent-based Approach
Muck, Johannes - 2013
I explore the effects of on-net / off-net differentiation on network sizes in mobile telecommunications when both rational and non-rational consumers coexist in the market. In particular, three different types of consumers are modeled: (1) fully informed rational (FIR) consumers who are...
Persistent link: https://www.econbiz.de/10010329381
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Flexibility in Europe's power sector - an additional requirement or an automatic complement?
Bertsch, Joachim; Growitsch, Christian; Lorenczik, Stefan; … - 2013
al (2011) argue that with increasing volatility, incentives to invest in flexible resources should be implemented in … on volatility and therefore flexibility requirements, the main trigger for investments into flexible conventional …
Persistent link: https://www.econbiz.de/10010329458