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Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods
Linear-quadratic approximation Nonlinear models Numerical solution methods
2015/8/4
The purpose of this article is to report on a comparison of several alternative numerical solution
techniques for nonlinear rational-expectations models. The comparison was made by asking
individual...
Effcts of Diffrent Methods of Aggregation of Probabilities on the R&D Investment Portfolio for Optimal Emissions Abatement: An Empirical Evaluation
Probabilities on the R&D Investment Portfolio Optimal Emissions Abatement An Empirical Evaluation
2014/10/22
This thesis examines two possible orders of combining multiple experts in elicitations with multiple de-composed events: Should experts be combined early or later in the decision process? This thesis ...
Saddlepoint methods in portfolio theory
Saddlepoint methods portfolio theory Portfolio Management
2012/3/2
We discuss the use of saddlepoint methods in the analysis of portfolios, with particular reference to credit portfolios. The objective is to proceed from a model of the loss distribution, given throug...
Antitrust Analysis in Banking: Goals, Methods, and Justifications in a Changed Environment
bank mergers goals methods and justification business competitions changed environment
2011/9/30
The article reports on the analysis regarding bank mergers and its goals, methods and justification in the banking market changes in the U.S. The authors stress on the possible effects of bank mergers...
Investigating Causal Relationships in Stock Returns with Temporal Logic Based Methods
Investigating Stock Returns Temporal Logic Based Methods
2010/10/20
We describe a new framework for causal inference and its application to return time series. In this system, causal relationships are represented as logical formulas, allowing us to test arbitrarily co...
Vanna-Volga methods applied to FX derivatives : from theory to market practice
Vanna-Volga methods FX derivatives
2010/10/29
We study Vanna-Volga methods which are used to price rst generation exotic options in the
Foreign Exchange market. They are based on a rescaling of the correction to the Black-Scholes
price through...
In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as
one of the listed products, options on its implied volatility index (VIX). This created the challenge of developing a...
Parametric and nonparametric models and methods in financial econometrics
Parametric nonparametric models financial econometrics
2010/12/13
Financial econometrics has become an increasingly popular research field. In this paper we review a few parametric and nonparametric models and methods used in this area. After introducing several wid...
Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall
Bandwidth selection Boundary effects Coherent risk measurements Empirical likelihood Expected shortfall Local liner estimation Nonparametric smoothing Quantile regression Time series Value-at-risk Weighted double kernel
2011/4/6
In this article we propose a new nonparametric estimation method to estimate the
conditional value-at-risk and expected shortfall functions based on the weighted double
kernel local linear estimator...