Ito Conditional Moment Generator And The Estimation Of Short Rate Processes
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Parameter Estimation in Stochastic Volatility Models
Author | : Jaya P. N. Bishwal |
Publisher | : Springer Nature |
Total Pages | : 634 |
Release | : 2022-08-06 |
Genre | : Mathematics |
ISBN | : 3031038614 |
This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.
Diverging Measures of Capacity Utilization
Author | : Norman Morin |
Publisher | : |
Total Pages | : 36 |
Release | : 2004 |
Genre | : Industrial capacity |
ISBN | : |
"In the wake of the recent recovery in manufacturing production, the capacity utilization rates published by the Federal Reserve Board (FRB) have rebounded much more slowly than those published by the Institute for Supply Management (ISM). As a result, some observers have speculated that the manufacturing sector may have considerably less slack than is indicated by the FRB measures. Our view is that the two characterizations of manufacturing slack are not as incongruent as they first appear. This paper discusses the practical and conceptual differences between these measures of capacity utilization, and concludes that the recent divergence simply reflects the character of the latest business cycle"--Abstract.
Measuring Capital and Technology
Author | : Carol Corrado |
Publisher | : |
Total Pages | : 74 |
Release | : 2004 |
Genre | : Investment |
ISBN | : |
"Business outlays on intangible assets are usually expensed in economic and financial accounts. Following Hulten (1979), this paper develops an intertemporal framework for measuring capital in which consumer utility maximization governs the expenditures that are current consumption versus those that are capital investment. This framework suggests that any business outlay that is intended to increase future rather than current consumption should be treated as capital investment. Applying this principle to newly developed estimates of business spending on intangibles, we find that, by about the mid-1990s, business investment in intangible capital was as large as business investment in traditional, tangible capital. Relative to official measures, our framework portrays the U.S. economy as having had higher gross private saving and, under plausible assumptions, fractionally higher average annual rates of change in real output and labor productivity from 1995 to 2002"--Abstract.
An Empirical Test of a Two-factor Mortgage Valuation Model
Author | : Chris Downing |
Publisher | : |
Total Pages | : 58 |
Release | : 2003 |
Genre | : Default (Finance) |
ISBN | : |
Nationwide Branching and Its Impact on Market Structure, Quality and Bank Performance
Author | : Astrid A. Dick |
Publisher | : |
Total Pages | : 64 |
Release | : 2003 |
Genre | : Banks and banking |
ISBN | : |
Transparency and Monetary Policy
Author | : Seth B. Carpenter |
Publisher | : |
Total Pages | : 38 |
Release | : 2004 |
Genre | : Monetary policy |
ISBN | : |
Temporary Partial Expensing in a General-equilibrium Model
Author | : Rochelle Mary Edge |
Publisher | : |
Total Pages | : 68 |
Release | : 2005 |
Genre | : Macroeconomics |
ISBN | : |
"This paper uses a dynamic general-equilibrium model with a nominal tax system to consider the effects of temporary partial expensing allowances on investment and other macroeconomic aggregates"--Abstract.
Coordination, Fair Treatment and Inflation Persistence
Author | : John Christopher Driscoll |
Publisher | : |
Total Pages | : 54 |
Release | : 2003 |
Genre | : Inflation (Finance) |
ISBN | : |