搜索结果: 1-15 共查到“理论经济学 Stochastic”相关记录78条 . 查询时间(0.156 秒)
Conditions for Unique Solutions in Stochastic Macroeconomic Models with Rational Expectations
Unique Solutions Stochastic Macroeconomic Models
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2015/8/5
This paper examines conditions for the uniqueness of an equilibrium price distribution in
stochastic macroeconomic models with rational expectations. A model is developed in
which many price distrib...
Optimal Stabilization Rules in a Stochastic Model of Investment with Gestation Lags
Optimal Stabilization Rules Gestation Lags
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2015/8/5
Optimal Stabilization Rules in a Stochastic Model of Investment with Gestation Lags.
New Econometric Approaches to Stabilization Policy in Stochastic Models of Macroeconomic Fluctuations
Stochastic Models Macroeconomic Fluctuations
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2015/8/4
During the last 15 years econometric techniques for evaluating macroeconomic
policy using dynamic stochastic models in which expectations are consistent, or
rational, have been developed extensively...
Solving Stochastic Equilibrium Models with the Extended Path Method
Capital asset pricing Rational expectations Solution algorithm
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2015/8/4
The purpose of this paper is to investigate the
feasibility of using the extended path method - described
in Fair and Taylor [ 23 - to solve capital asset pricing.
This method is now being used rat...
Full Information Estimation and Stochastic Simulation of Models with Rational Expectations
Full Information Estimation Stochastic Simulation
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2015/8/4
A computationally feasible method for the full information maximum-likelihood estimation of models
with rational expectations is described in this paper. The stochastic simulation of such models is a...
Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods
Linear-quadratic approximation Nonlinear models Numerical solution methods
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2015/8/4
The purpose of this article is to report on a comparison of several alternative numerical solution
techniques for nonlinear rational-expectations models. The comparison was made by asking
individual...
Heterogeneity in capital and skills in a neoclassical stochastic growth model
Neoclassical model Heterogeneous agents Aggregation Business cycles
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2015/7/21
Heterogeneity in capital and skills in a neoclassical stochastic growth model.
Solving nonlinear dynamic stochastic models: An algorithm computing value function by simulations
Nonlinear stochastic models Value function Parameterized expectations Monte Carlo simulations Numerical solutions
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2015/7/21
This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the ex...
Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models
Numerical stability accurate stochastic simulation method the dynamic economic model
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2015/7/21
Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models.
Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics
Mathematical Methods Economics
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2015/5/13
Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics.
The NTU-Value of Stochastic Games
Strategy Game Theory
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2015/4/28
Since the seminal paper of Shapley, the theory of stochastic games has been developed in many different directions. However, there has been practically no work on the interplay between stochastic game...
Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Second Order Multiscale Stochastic Volatility Asymptotics Stochastic Terminal Layer Analysis Calibration
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2012/9/14
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization ofrandomly varying volatility. The rec...
The Exact Smile of some Local Stochastic Volatility Models
CEV local volatility stochastic volatility implied volatility.
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2012/9/14
We introduce a class of local stochastic volatility models.Within our framework, we obtain an expression for both (i) the price of any European option and (ii) the induced implied volatility smile. To...
Stochastic Target Games with Controlled Loss
Stochastic target Stochastic game Geometric dynamic programming principle Vis-cosity solution
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2012/9/14
We study a stochastic game where one player tries to find a strategy such that the state process reaches a target of controlled-loss-type, no matter which
action is chosen by the other player. We pro...
Pricing joint claims on an asset and its realized variance under stochastic volatility models
Volatility derivatives stochastic volatility models partial differential equations parabolic equations target volatility option.
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2012/9/14
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pri...