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重庆理工大学经济与贸易学院国际金融英文课件Chapter9 The Monetary Approach to Balance-of-Payments and Exchange-Rate Determination
重庆理工大学经济与贸易学院 国际金融 英文 课件 Chapter9 The Monetary Approach to Balance-of-Payments and Exchange-Rate Determination
2015/10/13
重庆理工大学经济与贸易学院国际金融英文课件Chapter9 The Monetary Approach to Balance-of-Payments and Exchange-Rate Determination。
Capital Cash Flows:A Simple Approach to Valuing Risky Cash Flows
Cash Flow Capital Valuation
2015/5/13
Capital Cash Flows: A Simple Approach to Valuing Risky Cash Flows.
Dividends as Reference Points:A Behavioral Signaling Approach
Risk Management Investment Standards
2015/4/27
We outline a dividend signaling approach in which rational managers signal firm strength to investors who are loss averse to reductions in dividends relative to the reference point set by prior divide...
Risk-Taking Channel of Monetary Policy: A Global Game Approach
Risk-Taking Channel Monetary Policy A Global Game Approach
2014/3/18
We explore a global game model of the impact of monetary policy shocks. Risk-neutral asset managers interact with risk-averse households in a market with a risky bond and a floating rate money m...
Modeling the International-Trade Network: A Gravity Approach
International Trade Network Gravity Equation Weighted Network Analysis Topological Properties Econophysics
2011/12/28
This paper investigates whether the gravity model (GM) can explain the statistical properties of the International Trade Network (ITN). We fit data on international-trade ows with a GM speci cation u...
An Estimation of U.S. Gasoline Demand: A Smooth Time-Varying Cointegration Approach
Gasoline demand Time-varying coefficient Cointegration Canonical coin-tegration regression Error-correction model deadweight loss
2011/4/2
In this paper the U.S. gasoline demand from 1976 to 2008 is estimated using a time-varying cointegrating regression.
A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
statistical dependency structure marginal distributions New York Stock Exchange's TAQ database
2011/3/23
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-ba...
Utility Indifference Pricing: A Time Consistent Approach
Time consistency time inconsistent control incomplete market utility indifference price
2011/3/23
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute ...
Exchange Rates and the Consumer Price Index in Nigeria: A Causality Approach
Consumer Price Index Official Exchange Rates
2011/6/1
This paper was motivated by the need to establish the impact of importation into Nigeria and its main objectives were to find out the significant relationships between the official and parallel exchan...
A Utility Based Approach to Energy Hedging
Energy Hedging Risk Management Risk Aversion Forecasting
2011/3/31
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one...
A Unified Approach to Validating Univariate and Multivariate Conditional Distribution Models in Time Series
Diagnostic procedure Empirical distribution function Frequency domain Generalized Cramer-von Mises test Kernel method Non-Markovian process Time series conditional distribution
2011/4/2
Modeling conditional distributions in time series has attracted increasing attention in economics and finance. We develop a new class of generalized Cramer-von Mises (GCM) specification tests for time...
IS THERE SUPPLY DISTORTION IN THE GREEN BOX? AN ACREAGE RESPONSE APPROACH
SUPPLY DISTORTION THE GREEN BOX ACREAGE RESPONSE APPROACH
2014/4/11
In the Uruguay Round of the General Agreement on Tariffs and Trade (GATT), the distortionary effects of domestic farm programs figured high on the negotiating agenda. Along with the export subsidies a...
Eastern Enlargement of the EU and its Economic Impact: A CGE Approach
European Union Enlargement Central and Eastern European countries
2009/5/7
The main objective of this study is to conduct a quantitative assessment of the potential economic effects of the 5th enlargement of the EU including Cyprus, Czech Republic, Estonia, Hungary, Latvia, ...
Modified Holder Exponents Approach to Prediction of the USA Stock Market Critical Points and Crashes
Modified Holder Exponents USA Stock Market
2010/12/13
The paper is devoted to elaboration of a novel specific indicator based on the modified Holder exponents. This indicator has been used for forecasting critical points of financial time series and cras...
A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
integral option pricing formulas applications stochastic volatility interest rate models
2010/12/20
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The f...