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We introduce a numerical algorithm for solving dynamic economic models that merges stochastic simulation and projection approaches: we use simulation to approximate the ergodic measure of the solution...
We introduce various definitions for price momentum of financial instruments in quantitative and mathematical ways. Measurement of the price momentum de-rived from the concept of momentum in physics c...
In this paper we consider the problem of calculating the quantiles of a risky position,the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transfor...
The univariate piecing-together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. We propose a multivaria...
To better understand the spatial structure of large panels of economic and nancial time series and provide a guideline for constructing semiparametric models, this paper rst consid- ers estimating...
In this article we develop a method for the strong approx-imation of stochastic differential equations (SDEs) driven by L´evy pro-cesses or general semimartingales. The main ingredients of our m...
In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the ...
We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is...
In this article we show that mean-adjusting panel and univariate time series unit root tests yield similar size when there is no drift. The conclusion of the empirics for Purchasing Power Parity is th...
主讲人 Chor-yiu Sin Xiamen University 题目 Capturing cross-sectional correlation with time series: with an application to unit root test 时间 2007年5月9日(星期三)下午14:00-----15:30 地点 北京大学中国经济研究中心万众楼大教室 工作语言 英文 联系电...
The measurement of unemployment, like that of poverty, involves two distict steps: identification and aggregation. In this two-step process, the issue of identifying the unemployed has received consid...
This paper proposes a test of a restrictedspeci"cation of regression, basedon comparing residual sum of squares from kernel regression. Our main case is where both the restrictedspeci"cation andthe ge...

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