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HAC estimation in a spatial framework
Heteroscedasticity and autocorrelation consistent (HAC) estimator Instrumental variable estimator Spatial models
2015/9/24
We suggest a non-parametric heteroscedasticity and autocorrelation consistent (HAC) estimator of the variance–covariance (VC) matrix for a vector of sample moments within a spatial context. Wedemonstr...
A Utility Framework for Bounded-Loss Market Makers
Utility Framework Bounded-Loss Market Makers
2012/9/14
We introduce a class ofutility-based market makersthat always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We ...
Binomial Tree Model for Convertible Bond Pricing within Equity to Credit Risk Framework
Binomial Tree Model Bond Pricing Credit Risk
2012/9/14
In the present paper we fill an essential gap in the Convertible Bonds pricing world by deriving a Binary Tree based model for valuation subject to credit risk. This model belongs to the framework kno...
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...
Systemic Risk in a Unifying Framework for Cascading Processes on Networks
Systemic Risk Unifying Framework Networks
2010/11/1
We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as ...