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Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]
Leverage volatility feedback effects
2010/10/29
Bollerslev et al. (2006) study the cross-covariances for squared returns under the Heston
(1993) stochastic volatility model. In order to obtain these cross-covariances the authors
use an incorrect ...
Estimating discriminatory power and PD curves when the number of defaults is small
Estimating discriminatory power PD curves defaults
2010/11/1
The intention with this paper is to provide all the estimation concepts and techniques that
are needed to implement a two-phases approach to the parametric estimation of probability
of default (PD) ...
An information theoretic approach to statistical dependence: copula information
An information theoretic statistical dependence copula information
2010/11/3
We discuss the connection between information and copula theories by showing that a copula can be employed to decompose the information content of a multivariate distribution into marginal and depende...
Agent-Based Model Approach to Complex Phenomena in Real Economy
Agent-Based Model Complex Phenomena Real Economy
2010/10/29
An agent-based model for rms' dynamics is developed. The model consists of rm
agents with identical characteristic parameters and a bank agent. Dynamics of those agents
is described by their balan...
An Adaptive Markov Chain Monte Carlo Method for GARCH Model
Chain Monte Carlo Bayesian inference GARCH model Metropolis-Hastings algorithm
2010/10/29
We propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC)simulations of the GARCH model. The proposal density is constructed adaptive...
Law of the exponential functional of one-sided Lévy processes and Asian options
L´ evy processes exponential functional special functions
2010/11/1
The purpose of this note is to describe, in terms of a power series, the distribution function
of the exponential functional, taken at some independent exponential time, of a spectrally negative L&ac...
From Physics to Economics: An Econometric Example Using Maximum Relative Entropy
econophyisics econometrics entropy maxent bayes
2010/10/29
Econophysics, is based on the premise that some ideas and methods from physics can be applied to economic situations. We intend to show in this paper how a physics concept such as entropy can be appli...
Foreign Capital Inflows and the Real Exchange Rate in Sub-Saharan Africa
Capital inflows real exchange rates Sub-Saharan Africa
2010/9/7
This paper presents a short-run dynamic panel model for the relationship between aggregate net foreign capital transfers and the real exchange rate in twenty-four Sub-Saharan African countries. The re...
Net Inflows and Time-Varying Alphas: The Case of Hedge Funds
Hedge funds performance asset pricing models unobserved components models
2010/9/7
We introduce a multivariate components model for returns and net relative inflows into hedge funds, accounting for time-varying market premia. We estimate alpha as an unobserved variable of the econom...
General Equilibrium Theories of the Equity Risk Premium: Estimates and Tests
General Equilibrium Theories Equity Risk Premium Estimates and Tests
2010/9/7
This paper provides new estimates and tests of a number of leading general equilibrium theories of the price of equity and, to our knowledge, the first estimates of the time-varying equity premia impl...
The income cycles that have been experienced by six OECD countries over the past 24 years are
analysed. The amplitude of the cycles relative to the level of aggregate income varies amongst the countr...
无形资产的经济特性与计量问题研究
经济特性 无形资产
2008/12/16
无形资产在经济生活以及经济增长的重要作用越来越被人们所认同，一个常被引用的证据是：根据费城联邦储备银行的一位高级经济学家——Leonard Nakamura的估计，美国公司2000年在无形资产上的投资大约为一万亿美元，与这个令人惊讶的数据相对应，同期美国公司在固定资产上的投资大约为一万多亿美元，公司投资在无形资产上的资金大致与投资在固定资产上的投资相当，而且其增长率更大，也许不久将会超...
市场调研中关于敏感性问题调查的统计方法
统计方法 市场调研
2008/12/9
市场调查现在已被广泛应用于社会经济生活各方面。它省时省力，能比较迅速获得较为准确的结果。这一方面是方法本身具有科学性；另一方面也是前提假定是被调查者的回答都是真实可靠的。在市场调研中，经常会遇到诸如吸毒走私、赌博考试作弊、收入财产、性行为取向等敏感性私密问题，调查过程中若采用直接问答的方式，被调查者为了保护自己的隐私或出于其他目的，往往会拒绝回答或故意做出错误的回答。这样就破坏了数据的真实性。...
财政收入与经济增长之间存在着相互依存、相互制约的关系,关于财政收入与经济增长的关系已成为理论界的焦点。以四川省为例,以财政收入与经济增长的经济学理论为基础,通过系统的实证研究对两者的关系进行了计量分析,并针对该省的实际情况提出了一些相应的政策和建议,旨在强调地方财政收入与GDP 协调增长重要性,从而拉动四川省经济的建设。
Binomial Lattices for Barrier Options
Barrier option binomial tree convergence rate transition probability
2010/9/7
In the existing literature on barrier options, much effort has been exerted to ensure convergence through placing the barrier in close proximity to, or directly onto, the nodes of the tree lattice. In...