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Changing times : the pricing problem in non-linear models

Kimmel, Robert (contributor) - 2008

Persistent link: https://www.econbiz.de/10003788839

Nonlinear properties of multifactor financial models

Kim Heng Chen; Jandhyala, Venkata K.; Fotopoulos, Stergios - In: Review of applied economics 1 (2005) 2, pp. 143-169

Persistent link: https://www.econbiz.de/10003779457

Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model

Smallwood, Aaron D. - In: Journal of international money and finance 27 (2008) 7, pp. 1161-1176

Persistent link: https://www.econbiz.de/10003780711

Non-linear dynamics in financial asset returns : the predictive power of the CBOE volatility index

Bekiros, Stelios D.; Georgoutsos, Demetris A. - In: The European journal of finance 14 (2008) 5/6, pp. 397-408

Persistent link: https://www.econbiz.de/10003771721

Non-linearities, model uncertainty, and macro stress testing

Misina, Miroslav (contributor); Tessier, David (contributor) - 2008

A distinguishing feature of macro stress testing exercises is the use of macroeconomic models in scenario design and implementation. It is widely agreed that scenarios should be based on rare but plausibleʺ events that have either resulted in vulnerabilities in the past or could do so in the...

Persistent link: https://www.econbiz.de/10003772984