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Merging Simulation and Projection Aproaches to Solve High-Dimensional Problems with an Application to a New Keynesian model
Numerical algorithm dynamic economic model of the grid
2015/7/21
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...
Physical approach to price momentum and its application to momentum strategy
price momentum momentum/contrarian strategies spontaneous symmetry breaking of arbitrage
2012/9/14
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...
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach
regime switching jump-diffusion models Value at Risk risk management Fourier transform methods.
2012/9/14
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...
A multivariate piecing-together approach with an application to operational loss data
copula domain of multivariate attraction GPD copula multivariate extreme value distribution multivariate generalized Pareto distribution
2012/6/5
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...
Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach
Time Series Covariance Estimation Regularization Sparsity Thresholding Semiparametrics Graphical Model Variable Clustering
2011/7/5
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...
Strong Taylor approximation of stochastic differential equations and application to the Lévy LIBOR model
LIBOR models stochastic differential equations L´ evy pro-cesses perturbation Taylor approximation caps, swaptions
2010/11/1
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...
Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes
utility function optimal investment strategy self-financing complete market risk-neutral measure Brownian motion Ornstein-Uhlenbeck
2010/10/29
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 ...
Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
Stochastic volatility Asymptotic expansion Heat kernel
2010/11/1
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...
Is the Real Exchange Rate Stationary? The Application of Similar Tests for a Unit Root in the Univariate and Panel Cases
Nonstationarity panel data PPP real exchange rate stationarity
2010/9/7
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...
A Duration-Sensitive Measure of the Unemployment Rate: Theory and Application
A Duration-Sensitive Unemployment Rate Theory and Application
2014/6/25
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...
Goodness-of-"t tests for kernel regression with an application to option impliedvolatilities
Goodness-of-"t Kernel regression Speci"cation testing Implied volatility smile
2014/3/13
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...