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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

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

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

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

Evolution of the electricity market in Germany: Identifying policy implications by an agent-based model

Herrmann, Johannes; Savin, Ivan - 2015

The diffusion of renewable electricity generating technologies is widely consid- ered as crucial for establishing a sustainable energy system in the future. However, currently the required transition is unlikely to be achieved by market forces alone. For this reason, many countries implement...

Persistent link: https://www.econbiz.de/10011301555

A tradable employment quota

Akyol, Metin; Neugart, Michael; Pichler, Stefan - 2015

Discrimination of women in the labor market requires appropriate policy interventions. Affirmative action policies typically advocate the introduction of an employment quota uniformly applied to all firms. In a heterogeneous labor market such a policy may yield avoidable welfare losses. We...

Persistent link: https://www.econbiz.de/10011301573

Global Warming and a Potential Tipping Point in the Atlantic Thermohaline Circulation: The Role of Risk Aversion

Glanemann, Nicole; Belaia, Mariia; Funke, Michael - 2015

The risk of catastrophes is one of the greatest threats by climate change. Yet, the most common Integrated Assessment Models produce the counterintuitive result that a higher concern about climate change risks does not lead to stronger near-term abatement efforts. This paper probes whether this...

Persistent link: https://www.econbiz.de/10011301633

Flexible Modeling of Binary Data Using the Log-Burr Link

Kaeding, Matthias - 2015

Popular link functions often fit skewed binary data poorly. We propose the log-Burr link as flexible alternative. The link nests the complementary-log-log and logit link as special cases, determined by a shape parameter which can be estimated from the data. Shrinkage priors are used for the...

Persistent link: https://www.econbiz.de/10011301639

Risk-Sensitive Linear Approximations

Meyer-Gohde, Alexander - 2015

I construct risk-sensitive approximations of policy functions of DSGE models around the stochastic steady state and ergodic mean that are linear in the state variables. The method requires only the solution of linear equations using standard perturbation output to construct the approximation and...

Persistent link: https://www.econbiz.de/10011301653

Multi-Regional Agent-Based Modeling of Household and Firm Location Choices with Endogenous Transport Costs

Tsekeris, Theodore; Vogiatzoglou, Klimis; Bekiros, Stelios - 2010

The paper describes a spatial economic agent-based model (ABM), consistent with the principles of new economic geography (NEG), which allows the discrete-time evolutionary simulation of complex interactions of household and firm location choices. In contrast with the current ABM approaches, it...

Persistent link: https://www.econbiz.de/10011332387

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