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Consistent estimation of structural parameters in regression models with adaptive learning

Christopeit, Norbert; Massmann, Michael - 2010

In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic approximation algorithms whose gain sequence is...

Persistent link: https://www.econbiz.de/10011381034

Optimal stopping and utility in a simple modelof unemployment insurance

Anquandah, Jason S.; Bogachev, Leonid V. - In: Risks : open access journal 7 (2019) 3/94, pp. 1-41

Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more proactively due to the continuous reduction of benefit payments. In...

Persistent link: https://www.econbiz.de/10012126434

A new class of discrete-time stochastic volatility model with correlated errors

Mukhoti, Sujay; Ranjan, Pritam - In: Applied economics 51 (2019) 3, pp. 259-277

Persistent link: https://www.econbiz.de/10012160495

Stationary bubble equilibria in rational expectation models

Gouriéroux, Christian; Jasiak, Joann; Monfort, Alain - In: Journal of econometrics 218 (2020) 2, pp. 714-735

Persistent link: https://www.econbiz.de/10012483178

Belief convergence under misspecified learning : a martingale approach

Frick, Mira; Iijima, Ryota; Ishii, Yuhta - In: The review of economic studies : RES 90 (2023) 2, pp. 781-814

Persistent link: https://www.econbiz.de/10014320092

Cagan type rational expectation model on complex discrete time domains

Atıcı, Ferhan M.; Ekiz, Funda; Lebedinsky, Alex - In: European Journal of Operational Research 237 (2014) 1, pp. 148-151

In this article, we derive a solution for a linear stochastic model on a complex time domain. In this type of models, the time domain can be any collection of points along the real number line, so these models are suitable for problems where events do not occur at evenly-spaced time intervals....

Persistent link: https://www.econbiz.de/10011097695

Defaultable term structures driven by semimartingales

Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27

Persistent link: https://www.econbiz.de/10012807871

Adaptive risk hedging for call options under Cox-Ingersoll-Ross interest rates

Ghorbani, Niloofar; Korzeniowski, Andrzej - In: Inventi impact: microfinance & banking (2021) 2, pp. 83-90

Persistent link: https://www.econbiz.de/10012816013

Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets

Criens, David - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-41

Persistent link: https://www.econbiz.de/10011845940

Hedging Derivatives.

Sexton, Jenny - 2011

.2.6 Optimal martingale measures -- 1.3 Notes and further reading -- 2. Stochastic Calculus -- 2.1 Filtrations and martingales -- 2 …Key Features:Unique focus on hedging and optimal martingale measuresIncludes new developments about static and dynamic ….2 Semi-martingales and stochastic integrals -- 2.3 Kunita-Watanabe decomposition -- 2.4 Change of measure -- 2.5 Stochastic …

Persistent link: https://www.econbiz.de/10012689402