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Dynamic Mechanism Design: A Myersonian Approach
Asymmetric information stochastic processes incentives mechanism design envelope theorems
2014/9/9
We study mechanism design in dynamic quasilinear environments where private information arrives over time and decisions are made over multiple periods. We make three contributions. First, we provide a...
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...
Market, Interest Rate and Exchange Rate Risk Effects on Financial Stock Returns: A GARCH-M Approach
Exchange rate interest rate multivariate GARCH volatility
2010/9/7
In this paper we examine the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16...
A quantum statistical approach to simplified stock markets
quantum statistical stock markets
2010/11/1
We use standard perturbation techniques originally formulated in quantum (statistical)mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In partic...
A k-generalized statistical mechanics approach to income analysis
Personal income distribution inequality generalized statistics
2010/10/29
This paper proposes a statistical mechanics approach to the analysis of income distribution and inequality. A new distribution function, having its roots in the framework of -generalized statistics, ...
An information theoretic approach to statistical dependence: copula information
An information theoretic statistical dependence copula information
2010/11/3
We discuss the connection between information and copula theories by showing that a copula can be employed to decompose the information content of a multivariate distribution into marginal and depende...
Agent-Based Model Approach to Complex Phenomena in Real Economy
Agent-Based Model Complex Phenomena Real Economy
2010/10/29
An agent-based model for rms' dynamics is developed. The model consists of rm
agents with identical characteristic parameters and a bank agent. Dynamics of those agents
is described by their balan...
A Nonparametric Approach to Derivative Asset Pricing
Derivative pricing European options nonparametric kernel estimation
2010/9/7
We utilize the method of Bertholon, Monfort and Pegoraro (2006) for pricing European call options based on nonparametric estimation of returns. Densities are estimated using kernel estimation on rando...
Structural Econometric Approach to Bidding in the Main ReÖnancing Operations of the Eurosystem
repo auctions monetary policy implementation primary money market market multi unit auctions discriminatory auctions collateral central bank nonparametric estimation
2014/6/25
This paper contributes to the existing literature on central bank repo auctions. It is based on a structural econometric approach, whereby the primitives of bidding behavior (individual bid schedules ...