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Logistic Mixtures of Generalized Linear Model Times Series
Jeffries, Neal O. - 1998
In this dissertation we propose a class of time series models for mixture data. We call these logistic mixtures. In such models the mixture's component densities have a generalized linear model (GLM) form. The regime probabilities are allowed to change over time and are modeled with a logistic...
Persistent link: https://www.econbiz.de/10009450907
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The effect of input commodity price
Adams, Laurence P - 2011
Commodity producers in general typically have a commodity driven cost baseas well as commodity price driven revenue stream. The research reportinvestigates the correlation between input commodity price and gold price forgold mining companies, and how commodity price behaviour could...
Persistent link: https://www.econbiz.de/10009447612
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The collateral policy of central banks : an analysis focusing on the eurosystem
Weber, Christopher - 2016
This dissertation was written by Christopher Weber during his time as a research assistant at the Center for Economic Studies (CES) at the Ludwig-Maximilians-Universität (LMU) Munich. It was handed in at the department of Economics at the LMU Munich in July 2016. The goal of the thesis is to...
Persistent link: https://www.econbiz.de/10011741966
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Business fluctuations, job flows and trade unions : dynamics in the economy
Schirwitz, Beate - 2013
This study was prepared by Beate Schirwitz while she was working at the Ifo Institute’s Dresden Branch. It was completed in February 2012 and accepted as a doctoral thesis by the Faculty of Law, Management, and Economics at the Johannes Gutenberg University Mainz in July 2012. It focuses on a...
Persistent link: https://www.econbiz.de/10011697527
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Empirical studies on public debt and fiscal transfers
Reischmann, Markus Josef - 2016
This volume includes five self-contained chapters in the fields of public debt and fiscal transfer schemes. After an introduction to the topic, chapter 2 shows that the institutional setting of fiscal policy making needs to be considered when assessing the sustainability of fiscal policy. Using...
Persistent link: https://www.econbiz.de/10011742833
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Three essays on financial development in emerging markets
Diekmann, Katharina - 2012
Persistent link: https://www.econbiz.de/10010212785
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Commodity spread option pricing and the economic fundamentals of crack spreads
Kolpakov, Ilya - 2014
Persistent link: https://www.econbiz.de/10010516044
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An empirical study of implied volatility in Australian index option markets
Yang, Qianqian - 2006
financial engineering. Among a variety of option pricing models, volatility of underlying asset is associated with risk and … the Black-Scholes option pricing model, volatility of the underlying stock is the only unobservable variable, and has … attracted a large amount of attention of both academics and practitioners. This thesis is concerned with the implied volatility …
Persistent link: https://www.econbiz.de/10009437996
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Stochastic modelling of financial processes with memory and semi-heavy tails
Pesee, Chatchai - 2005
claims. This approach is used to estimate the implied volatility of the resulting model. The first part of the thesis … volatility and implied volatility. A new method is then provided to estimate the implied volatility from the model. The third …
Persistent link: https://www.econbiz.de/10009438240
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The relationship between concentration and realised volatility: an empirical investigation of the FTSE 100 Index January 1984 through March 2003
Tabner, Isaac T. - 2005
Few studies have examined the impact of portfolio concentration upon the realised volatility of stock index portfolios … volatility and increases in the equally weighted components of the realised VCM. The results have important implications for … portfolio managers concerned with the effect of changing portfolio weights upon portfolio volatility. They are also relevant to …
Persistent link: https://www.econbiz.de/10009465927