Similar Search Results

Narrow search

Parameter estimation risk in asset pricing and risk management : a Bayesian approach

Tunaru, Radu; Zheng, Teng - In: International review of financial analysis 53 (2017), pp. 80-93

Persistent link: https://www.econbiz.de/10011877849

Estimating the quality of Greek exports : a non-price-based approach

Kalyvitēs, Sarantēs - In: Economic bulletin 40 (2014), pp. 79-91

Persistent link: https://www.econbiz.de/10011891534

Estimating Greeks in simulating Lévy-driven models

Glasserman, Paul; Liu, Zongjian - In: The journal of computational finance 14 (2010/11) 2, pp. 3-56

Persistent link: https://www.econbiz.de/10008810140

Maximum likelihood estimation of time-varying parameters : an application to the Athens Stock Exchange index

Abutaleb, Ahmed S.; Papaioannou, Michael G. - In: Applied economics 32 (2000) 10, pp. 1323-1328

Persistent link: https://www.econbiz.de/10001527086

An Application of a Johansen Cointegration Test and a Vector Error Correction, (VEC) Model to Test the Granger Causality between General Government Revenues and General Government...

Guirguis, Michel - 2018

returns of general government revenues and general government total expenditures of Greece. We have applied a Vector Error …

Persistent link: https://www.econbiz.de/10012910719

The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model

Giribone, Pier Giuseppe; Ligato, Simone; Mulas, Martina - In: International journal of financial engineering 4 (2017) 1, pp. 1-42

Persistent link: https://www.econbiz.de/10011673134

Efficient Greek Estimation in Generic Swap-Rate Market Models

Joshi, Mark S. - 2012

We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the...

Persistent link: https://www.econbiz.de/10013115156