搜索结果: 1-10 共查到“知识库 货币银行学 Estimation”相关记录10条 . 查询时间(0.265 秒)
Sticky Prices Versus Monetary Frictions:An Estimation of Policy Trade-offs
Bayesian Estimation Long-run Inflation Target Monetary Models Welfare Costs of Inflation
2015/9/18
We develop a two-sector monetary model with a centralized and decentralized market. Activities in the centralizedmarket resemble those in a standard New Keynesian economy with price rigidities. In the...
CREDIT RISK AND INCOMPLETE INFORMATION:: FILTERING AND EM PARAMETER ESTIMATION
contagion Default risk EM algorithm extended Kalman filter factor models partial information
2011/9/2
We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven def...
Bayesian estimation of GARCH model with an adaptive proposal density
Bayesian estimation GARCH model adaptive proposal density
2011/1/4
A Bayesian estimation of a GARCH model is performed for US Dollar/Japanese Yen exchange rate by the Metropolis-Hastings algorithm with a proposal density given by the adaptive construction scheme. In ...
Hidden Regular Variation: Detection and Estimation
Hidden Regular Variation Detection Estimation
2010/10/18
Hidden regular variation defines a subfamily of distributions satisfying multivariate regular variation on $\mathbb{E} = [0, \infty]^d \backslash \{(0,0, ..., 0) \} $ and models another regular varia...
Maximum penalized quasi-likelihood estimation of the diffusion function
Maximum penalized quasi-likelihood estimation diffusion function
2010/10/21
We develop a maximum penalized quasi-likelihood estimator for estimating in a nonparametric way the diffusion function of a diffusion process, as an alternative to more traditional kernel-based estima...
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
Minimum variance portfolio portfolio allocation risk assessment
2010/10/20
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (20...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Asymptotic equivalence volatility estimation microstructure noise
2010/10/18
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sens...
Dynamic Estimation of Credit Rating Transition Probabilities
Credit Rating Transition Probabilities
2010/11/3
We present a continuous-time maximum likelihood estimation methodology for credit rating
transition probabilities, taking into account the presence of censored data. We perform
rolling estimates of ...
LGD credit risk model: estimation of capital with parameter uncertainty using MCMC
LGD credit risk model capital parameter MCMC
2010/12/13
This paper investigates the impact of parameter uncertainty on capital estimate in the well-known extended Loss Given Default (LGD) model with systematic dependence between default and recovery. We de...
Financial correlations at ultra-high frequency: theoretical models and empirical estimation
Financial ultra-high frequency
2010/12/13
A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - th...