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Due to dependency of energy demand on temperature, weather derivatives enable the effective hedging of temperature related fluctuations. However, temperature varies in space and time and therefore the contingent weather derivatives also vary. The spatial derivative price distribution involves a...
Persistent link: https://www.econbiz.de/10010319196
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10010330969
Imposing the natural rate hypothesis (NRH) can dramatically alter the determinacy bounds on monetary policy by closing the output gap in the long run. I show that the hypothesis eliminates any role for the output gap in determinacy and renders the conditions for determinacy identical for all...
Persistent link: https://www.econbiz.de/10010333041
Quantal Response Equilibrium presents a stochastic theory of games that unites probabilistic choice models developed in … psychology and statistics with the Nash equilibrium approach of classical game theory. Nash equilibrium assumes precise and … is not perfectly predictable. In contrast, QRE models choice behavior as probabilistic and extends classical game theory …
Persistent link: https://www.econbiz.de/10014482331
Persistent link: https://www.econbiz.de/10014317273