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Modeling of waiting times and price changes in currency exchange data

Repetowicz, Przemysław; Richmond, Peter - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 677-693

A theory which describes the share price evolution at financial markets as a continuous-time random walk (Physica A 287 (2000) 468, Physica A 314 (2002) 749, Eur. Phys. J. B 27 (2002) 273, Physica A 376 (2000) 284) has been generalized in order to take into account the dependence of waiting...

Persistent link: https://www.econbiz.de/10011057745

Expanding an abridged life table

Kostaki, Anastasia; Panousis, Vagelis - In: Demographic Research 5 (2001) 1, pp. 1-22

A question of interest in the demographic and actuarial fields is the estimation of the age-specific mortality pattern …

Persistent link: https://www.econbiz.de/10005557963

Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland

Cuche, Nicolas A.; Hess, Martin K. - Swiss National Bank, Study Center Gerzensee - 1999

the Kalman Filter technique nesting a great variety of interpolation setups. We evaluate competing models and provide a …

Persistent link: https://www.econbiz.de/10005465172

Lattice Option Pricing By Multidimensional Interpolation

Kargin, Vladislav - EconWPA - 2003

interpolation. The method allows using sparse grids and thus mitigates the curse of dimensionality. A framework of the pricing … algorithm and the corresponding interpolation methods are discussed, and a theorem is demonstrated that suggests that the …

Persistent link: https://www.econbiz.de/10005561638

Alternativas metodológicas para el empalme estadístico de serie temporales: caso Venezuela 1950 – 2005

Pedauga, Luis Enrique - Volkswirtschaftliche Fakultät, … - 2009

method, which considers a process of maximization for structural interpolation. Since Venezuela does not escape the problem …

Persistent link: https://www.econbiz.de/10011191501

Structural Time Series Modelling of Capacity Utilisation

Proietti, Tommaso - Volkswirtschaftliche Fakultät, … - 1999

In this paper we introduce a structural non-linear time series model for joint estimation of capacity and its …

Persistent link: https://www.econbiz.de/10011195670

МЕТОДЫ ДООПРЕДЕЛЕНИЯ И ОЦЕНКИ СЛОЖНОСТИ ЗАКОНОВ ФУНКЦИОНИРОВАНИЯ ДИСКРЕТНЫХ ДИНАМИЧЕСКИХ СИСТЕМ...

СЕРГЕЕВИЧ, ЕПИФАНОВ АНТОН - In: Проблемы управления (2011) 3, pp. 23-30

Дан анализ эффективности классических методов интерполяции Ньютона и Лагранжа применительно к интерполяции законов функционирования дискретных...

Persistent link: https://www.econbiz.de/10011238057

Optimal design of simulation experiments with nearly saturated queues

Kleijnen, Jack P.C.; Cheng, R.C.H. - Tilburg University, Center for Economic Research - 1995

Persistent link: https://www.econbiz.de/10011091828

Kriging Metamodeling in Simulation : A Review

Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2007

This article reviews Kriging (also called spatial correlation modeling). It presents the basic Kriging assumptions and formulas contrasting Kriging and classic linear regression metamodels. Furthermore, it extends Kriging to random simulation, and discusses bootstrapping to estimate the variance...

Persistent link: https://www.econbiz.de/10011092363

Application-driven Sequential Designs for Simulation Experiments : Kriging Metamodeling

Kleijnen, Jack P.C.; van Beers, W.C.M. - Tilburg University, Center for Economic Research - 2003

This paper proposes a novel method to select an experimental design for interpolation in simulation.Though the paper …

Persistent link: https://www.econbiz.de/10011092545