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An autoregressive approach to modeling commodity prices as a quasi-fractional Brownian motion

Turvey, Calum Greig; Wongsasutthikul, Paitoon - In: Agricultural finance review 76 (2016) 1, pp. 54-75

Persistent link: https://www.econbiz.de/10011695541

Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue

Truchis, Gilles de - In: Economic modelling 34 (2013), pp. 98-105

Persistent link: https://www.econbiz.de/10010363738

Modeling a dynamic portfolio for pension plans in emerging markets with myopic and nonmyopic behavior

Pimentel, Livia F.; Santiago, Leonardo P. - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 14-26

Persistent link: https://www.econbiz.de/10011561376

Consistent estimation of technical and allocative efficiencies for a semiparametric stochastic cost frontier with shadow input prices

Huang, Tai-hsin; Chen, Kuan-chen; Lin, Chien-hsiu; … - In: Journal of productivity analysis 41 (2014) 2, pp. 307-320

Persistent link: https://www.econbiz.de/10010478287

Econometric estimation of distance functions and associated measures of productivity and efficiency change

O'Donnell, Christopher John - In: Journal of productivity analysis 41 (2014) 2, pp. 187-200

Persistent link: https://www.econbiz.de/10010478331

Government guarantee probability of default for infrastructure project in Indonesia : a Monte Carlo analysis

Surachman, Eko Nur; Mahendra, Rizal - In: Public sector accountants and quantum leap : how far we …, (pp. 22-25). 2020

Persistent link: https://www.econbiz.de/10012305429

Active, or passive? : revisiting the role of fiscal policy in the Great Inflation

Ettmeier, Stephanie; Kriwoluzky, Alexander - 2019

We revisit the question whether U.S. fiscal policy in the pre-Volcker period was active or passive. To determine the policy stance, we estimate a DSGE model with monetary and fiscal policy interactions employing a sequential Monte Carlo algorithm (SMC) for posterior evaluation. In contrast to...

Persistent link: https://www.econbiz.de/10012309706

Computing credit valuation adjustment solving coupled PIDEs in the Bates model

Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational management science 17 (2020) 2, pp. 163-178

Persistent link: https://www.econbiz.de/10012272056

Identification of spatial durbin panel models

Lee, Lung-fei; Yu, Jihai - In: Journal of applied econometrics 31 (2016) 1, pp. 133-162

Persistent link: https://www.econbiz.de/10011642121

Estimating the dynamics and persistence of financial networks, with an application to the sterling money market

Giraitis, Liudas; Kapetanios, George; Wetherilt, Anne Vila - In: Journal of applied econometrics 31 (2016) 1, pp. 58-84

Persistent link: https://www.econbiz.de/10011642137