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EBookClubs

Read Books & Download eBooks Full Online

Book Parameter Estimation in Stochastic Volatility Models

Download or read book Parameter Estimation in Stochastic Volatility Models written by Jaya P. N. Bishwal and published by Springer Nature. This book was released on 2022-08-06 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Book Transparency and Monetary Policy

Download or read book Transparency and Monetary Policy written by Seth B. Carpenter and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Temporary Partial Expensing in a General equilibrium Model

Download or read book Temporary Partial Expensing in a General equilibrium Model written by Rochelle Mary Edge and published by . This book was released on 2005 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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.

Book Coordination Fair Treatment and Inflation Persistence

Download or read book Coordination Fair Treatment and Inflation Persistence written by John Christopher Driscoll and published by . This book was released on 2003 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Has Output Become More Predictable

Download or read book Has Output Become More Predictable written by Peter Tulip and published by . This book was released on 2005 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several researchers have recently documented a large reduction in output volatility. In contrast, this paper examines whether output has become more predictable. Using forecasts from the Federal Reserve Greenbooks, the author finds evidence somewhat mixed. Output seems to have become more predictable at short horizons, but not necessarily at longer horizons. The reduction in unpredictability is much less than the reduction in volatility. Associated with this, recent forecasts had little predictive power.

Book Integrated Macroeconomic Accounts for the United States

Download or read book Integrated Macroeconomic Accounts for the United States written by and published by . This book was released on 2004 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper presents integrated macroeconomic accounts for the United States for the period 1985 to 2002 and discusses issues related to their construction and use. Specifically, it focuses on tying together the national income and product accounts (NIPAs) and international transaction accounts (ITA) published by the Bureau of Economic Analysis and the flow of funds accounts (FFA) published by the Federal Reserve Board. The paper provides integrated accounts for seven sectors: households and nonprofit organizations serving households, nonfinancial noncorporate business, nonfinancial corporate businesses, financial businesses, federal government, state and local governments, and the rest of the world.

Book Do Liquidity Constraints Matter for New Entrepreneurs

Download or read book Do Liquidity Constraints Matter for New Entrepreneurs written by Kevin Moore and published by . This book was released on 2004 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Numerous studies have found a positive relationship between wealth and entering entrepreneurship, and interpret this as evidence of the existence of liquidity constraints. However, recent research has shown that the relationship between wealth and entering entrepreneurship may be non-linear and only significant for high-wealth households; this result cannot be interpreted as evidence of liquidity constraints. Using data from the SCF, we construct a proxy for wealth based on the household's home equity wealth at the time of the entrepreneurial decision. The results provide further evidence that the relationship between wealth and entering entrepreneurship is only significant for high-wealth households and that liquidity constraints do not appear to bind for the majority of new entrepreneurs. Possible explanations for the relationship between wealth and becoming an entrepreneur include lower risk aversion and differences in the types of businesses started by high-wealth households"--Federal Reserve Board web site.

Book Convenience Or Necessity

Download or read book Convenience Or Necessity written by Kathleen W. Johnson and published by . This book was released on 2004 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book A Consistent Accounting of U S Productivity Growth

Download or read book A Consistent Accounting of U S Productivity Growth written by Eric J. Bartelsman and published by . This book was released on 2004 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper also presents estimates of labor hours, labor quality, investment, capital services and, consequently, multifactor productivity disaggregated by industry and legal form of organization, and it analyzes the contribution of various industries and business organizations to aggregate productivity. The paper also reconsiders these estimates in light of the surge in spending in advance of the century-date change"--Abstract.

Book Overnight Interbank Loan Markets

Download or read book Overnight Interbank Loan Markets written by Selva Demiralp and published by . This book was released on 2003 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Prices Production and Inventories Over the Automotive Model Year

Download or read book Prices Production and Inventories Over the Automotive Model Year written by Adam Copeland and published by . This book was released on 2005 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper studies the within-model-year pricing and production of new automobiles. Using new monthly data on U.S. transaction prices, we document that for the typical new vehicle, prices typically fall over the model year at a 9.2 percent annual rate. Concurrently, both sales and inventories are hump shaped. To explain these time series, we formulate a market equilibrium model for new automobiles in which inventory and pricing decisions are made simultaneously. On the demand side, we use micro-level data to estimate time-varying aggregate demand curves for each vehicle. On the supply side, we solve a dynamic programming model of an automaker that, while able to produce only one vintage of a product at a time, may accumulate inventories and consequently sell multiple vintages of the same product simultaneously. The profit maximizing pricing and production strategies under a build-to-stock inventory policy imply declining prices and hump-shaped sales and inventories of the magnitudes observed in the data. Further, roughly half of the price decline is driven by inventory control considerations, as opposed to decreasing demand"--Abstract.