Showing 630,431 - 630,440 of 630,467
Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...
Persistent link: https://www.econbiz.de/10010281602
Given a random sample from some unknown density f0 : R → [0;∞) we devise Haar wavelet estimators for fo with variable resolution levels constructed from localised test procedures (as in Lepski, Mammen, and Spokoiny (1997, Ann. Statist.)). We show that these estimators adapt to spatially...
Persistent link: https://www.econbiz.de/10010281606
We introduce a nonlinear infinite moving average as an alternative to the standard state-space policy function for solving nonlinear DSGE models. Perturbation of the nonlinear moving average policy function provides a direct mapping from a history of innovations to endogenous variables,...
Persistent link: https://www.econbiz.de/10010286434
In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).
Persistent link: https://www.econbiz.de/10010286435
We introduce a dynamic banking-macro model, which abstains from conventional mean-reversion assumptions and in which - similar to Brunnermeier and Sannikov (2010) - adverse asset-price movements and their impact on risk premia and credit spreads can induce instabilities in the banking sector. To...
Persistent link: https://www.econbiz.de/10010318736
Based on the theory of multiple statistical hypothesis testing, we elaborate simultaneous statistical inference methods …
Persistent link: https://www.econbiz.de/10010318738
In many applications, covariates are not observed but have to be estimated from data. We outline some regression-type models where such a situation occurs and discuss estimation of the regression function in this context.We review theoretical results on how asymptotic properties of nonparametric...
Persistent link: https://www.econbiz.de/10010318739
We deal with two kinds of Cox regression models with varying coefficients. The coefficients vary with time in one model. In the other model, there is an important random variable called an index variable and the coefficients vary with the variable. In both models, we have p-dimensional...
Persistent link: https://www.econbiz.de/10010318744
Using a Dynamic Semiparametric Factor Model (DSFM) we investigate the term structure of interest rates. The proposed methodology is applied to monthly interest rates for four southern European countries: Greece, Italy, Portugal and Spain from the introduction of the Euro to the recent European...
Persistent link: https://www.econbiz.de/10010318745
We estimate linear functionals in the classical deconvolution problem by kernel estimators. We obtain a uniform central limit theorem with square root n rate on the assumption that the smoothness of the functionals is larger than the ill-posedness of the problem, which is given by the polynomial...
Persistent link: https://www.econbiz.de/10010318746