搜索结果: 1-15 共查到“理论经济学 linear”相关记录23条 . 查询时间(0.25 秒)
Asymptotic Properties of Multiperiod Control Rules in the Linear Regression Model
Asymptotic Properties Multiperiod Control Rules
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2015/8/5
This is the value of the control rule which would be used if one treated ,d as
known with certainty and equal to the least squares estimate. We call this rule
the least squares certainty equivalence...
Estimation and Solution of Linear Rational Expectations Models Using a Polynomial Matrix Factorization
Linear Rational Expectations Models Polynomial Matrix Factorization
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2015/8/4
Estimation and Solution of Linear Rational Expectations Models Using a Polynomial Matrix Factorization.
TESTING INEQUALITY CONSTRAINTS IN LINEAR ECONOMETRIC MODELS
ECONOMETRIC MODELS INEQUALITY
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2015/7/31
This paper develops three asymptotically equivalent tests for examining the validity of imposing
linear inequality restrictions on the parameters of linear econometric models. First we consider the ...
LOCAL AND GLOBAL TESTING OF LINEAR AND NONLINEAR INEQUALITY CONSTRAINTS IN NONLINEAR ECONOMETRIC MODELS
LOCAL AND GLOBAL TESTING NONLINEAR INEQUALITY
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2015/7/31
This paper considers a general nonlinear econometric model framework that
contains a large class of estimators defined as solutions to optimization
problems. For this framework we derive several a...
Quasi-linear preferences in the macroeconomy: Indeterminacy, heterogeneity and the representative consumer
Macroeconomic quasi linear preference heterogeneity and consumers
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2015/7/21
Quasi-linear preferences in the macroeconomy: Indeterminacy, heterogeneity and the representative consumer.
Electricity consumption forecasting in Italy using linear regression models
Electricity consumption Forecasting Elasticity Linear regression
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2014/11/27
The influence of economic and demographic variables on the annual electricity consumption in Italy has been investigated with the intention to develop a long-term consumption forecasting model. The ti...
Quadratic BSDEs with Jumps and Related Non-linear Expectations: a Fixed-point Approach
BSDEs quadratic growth jumps non-linear Doob-Meyer decomposition dy-namical risk measures inf-convolution.
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2012/9/17
We prove the existence of bounded solutions of quadratic backward SDEs with jumps, using a direct fixed point approach as in Tevzadze [35]. Under an additional standard assumption, we prove a uniquene...
Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method
BSDE FBSDE Asymptotic Expansion Malliavin Derivative interacting particle method branching diffusion
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2012/4/28
In this paper, we propose an efficient Monte Carlo implementation of non-linear FBSDEs as a system of interacting particles inspired by the ideas of branching diffusion method. It will be particularly...
Microscopic reasoning for the non-linear stochastic models of long-range memory
microfoundations agent based models stochastic models fnancial markets long-range memory
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2011/7/4
We extend Kirman's model by introducing variable event time scale. The proposed
exi-
ble time scale is equivalent to the variable trading activity observed in nancial markets.
Stochastic version ...
Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme
BSDE FBSDE Four Step Scheme Asymptotic Expansion Malliavin Derivative Non-linear PDE CVA
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2011/7/4
In this work, we have presented a simple analytical approximation scheme for the
generic non-linear FBSDEs. By treating the interested system as the linear decoupled
FBSDE perturbed with non-linear ...
Notional portfolios and normalized linear returns
Notional portfolios normalized linear Portfolio Management
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2011/7/25
Abstract: The vector of periodic, compound returns of a typical investment portfolio is almost never a convex combination of the return vectors of the securities in the portfolio. As a result the ex p...
An Exact Connection between two Solvable SDEs and a Non Linear Utility Stochastic PDEs
forward utility performance criteria horizon-unbiased utility
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2010/10/20
The paper proposes a new approach to consistent stochastic utilities, also called forward dynamic utility, recently introduced by M. Musiela and T. Zariphopoulou. These utilities satisfy a property of...
Accounting for risk of non linear portfolios: a novel Fourier approach
Accounting non linear portfolios a novel Fourier approach
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2010/10/18
The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors....
Gravity Dual for Reggeon Field Theory and Non-linear Quantum Finance
Gravity Dual Reggeon Field Theory Non-linear Quantum Finance
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2010/11/1
We study scale invariant but not necessarily conformal invariant deformations of non-relativistic conformal field theories from the dual gravity viewpoint. We present the corresponding metric that sol...
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
Probabilistic representations asset price linear stochastic volatility models
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2010/11/2
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models。