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Margin requirements, volatility, and market integrity : what have we learned since the crash?

Kupiec, Paul H. - In: Journal of financial services research : JFSR 13 (1998) 3, pp. 231-255

Persistent link: https://www.econbiz.de/10001250344

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

Persistent link: https://www.econbiz.de/10003770817

Financial markets and the real economy

Cochrane, John H. - 2005

Persistent link: https://www.econbiz.de/10003285703

Approximations to the asymptotic distributions of cointegration tests

Doornik, Jurgen A. - In: Journal of economic surveys 12 (1998) 5, pp. 573-593

Persistent link: https://www.econbiz.de/10001400863

Density forecasting : a survey

Tay, Anthony S. A.; Wallis, Kenneth Frank - In: Journal of forecasting 19 (2000) 4, pp. 235-254

Persistent link: https://www.econbiz.de/10001504601

Interactions in DSGE models : the Boltzmann-Gibbs machine and social networks approach

Chang, Chia-Lin; Chen, Shu-Heng - 2011

While DSGE models have been widely used by central banks for policy analysis, they seem to have been ineffective in calibrating the models for anticipating financial crises. To bring DSGE models closer to real situations, some of researchers have revised the traditional DSGE models. One of the...