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1.
In this paper a multi-factor generalization of Ho–Lee model is proposed. In sharp contrast to the classical Ho–Lee, this generalization
allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is a process
with stationary independent increments to be compatible with principal component analysis. Based on the model, generalizations
of duration-based hedging are proposed. A continuous-time limit of the model is also discussed.
This research was supported by Open Research Center Project for Private Universities: matching fund subsidy from MEXT, 2004–2008
and also by Grants-in-Aids for Scientific Research (No. 18540146) from the Japan Society for Promotion of Sciences. 相似文献
2.
带有结构突变的单位根检验——文献综述 总被引:9,自引:0,他引:9
栾惠德 《数量经济技术经济研究》2007,24(3):152-160,F0003
单位根检验是时间序列分析的基础,而是否考虑结构突变对单位根检验的结论有着重要影响,因此,考虑结构突变的单位根检验已成为计量经济学界的一个前沿热点问题。本文回顾了这一问题的发展历史,总结了该领域已取得的一些重要研究成果,最后对该问题最新的发展动向加以概括。 相似文献
3.
Farida Enikeeva Vladimir Kalashnikov Deimante Rusaityte 《Scandinavian actuarial journal》2013,2013(1):18-39
A method of continuity analysis of ruin probabilities with respect to variation of parameters governing risk processes is proposed. It is based on the representation of the ruin probability as the stationary probability of a reversed process. We apply Kartashov's technique designed for continuity analysis of stationary distributions of general Markov chains in order to obtain desired continuity estimates. The method is illustrated by the Sparre Andersen and Markov modulated risk models. 相似文献
4.
财政支出拉动经济增长的惯性分析 总被引:2,自引:0,他引:2
朱培标 《中央财经大学学报》2001,(9):5-7
经济量通常存在着一定的惯性,与物体的惯性不同,这是由外部变量的累计影响作用产生的由于财政支出对国民经济的增长有着积极的作用,而财政支出又有着比较强的滞后性,本文在财政支出拉动GDP增长的理论下针对财政支出的扩张拉动GDP增长的惯性进行分析。 相似文献
5.
Summary. Let
continuous,
exists in
for x in
. Let
be an i.i.d. sequence from F and X0 be a nonnegative random variable independent of
. Let
be the Markov chain generated by the iteration of random maps
by
. Such Markov chains arise in population ecology and growth models in economics. This paper studies the existence of nondegenerate stationary measures for {Xn}. A set of necessary conditions and two sets of sufficient conditions are provided. There are some convergence results also. The present paper is a generalization of the work on random logistics maps by Athreya and Dai (2000).Received: 20 March 2002, Revised: 4 December 2002, JEL Classification Numbers:
C22, D9.The author wishes to thank Professor Mukul Majumdar and the referees for several useful suggestions. 相似文献
6.
赵春艳 《数量经济技术经济研究》2012,(1):152-160
根据时间序列宽平稳的定义,本文认为,平滑转换自回归模型的序列不是宽平稳序列,利用ADF统计量检验其平稳性是没有意义的;其次,依据马尔科夫链的遍历性,我们认为,STAR模型的序列是严平稳序列,且通过对模型系数的联合取值的限制保证了模型的平稳性。以一阶对数平滑转换自回归模型为例,其平稳的条件是,β与r符号相反,且|β+r|<1,β可以等于1,也可以绝对值小于1。 相似文献
7.
结构突变是经典计量经济学所面临的难题之一,也是当前国际计量经济学界的一个前沿热点问题.本文采用带有内生结构突变的单位根检验,判定我国进出口时间序列服从具有两次结构变动的趋势平稳过程,而不是单位根过程.在此基础上进一步建立了同期协同结构突变向量自回归模型,即协变模型,得出了一些与常规的协整分析不同的结论,该模型具有更强的解释能力和更好的预测效果. 相似文献
8.
This study investigates long-run convergence of per capita output across ten Asian countries over 1960 to 2014 by taking advantage of possible economic growth determinants, which may be responsible for setting Asian countries on a long-term steady-state growth path. We simultaneously examine the presence of output convergence in the region, as well as the statistical significance of these economic growth determinants, by using a unit root test with a stationary covariate. In addition, the study allows for the presence of endogenous structural changes in the time series under investigation in order to capture sharp drops in per capita outputs, which may be brought about by influential economic events, such as serious economic slumps in domestic economies or the global financial crises in 1997–98 and 2008–09. The limiting distribution of the covariate unit root test that permits structural breaks is also derived. The results show significant evidence to support the convergence hypothesis. In particular, asymptotically absolute convergence holds among Hong Kong, Korea, Singapore, and Taiwan. In addition, Thailand shows a convergence tendency in terms of asymptotically relative convergence toward Singapore. Malaysia, Indonesia, and India also turn out to converge toward Hong Kong in an asymptotically relative sense. Certain potential growth determinants, such as the trade/GDP ratio, inflation rate, government expenditure/GDP ratio, and quality of human capital, may help these countries achieve and maintain the long-run convergence process toward the reference countries in the region. 相似文献
9.
Nadia Burani 《Review of Economic Design》2008,12(2):75-117
This paper analyzes the role played by intermediation in a decentralized market, where trade is carried out through bilateral
bargaining, and where the bargaining outcome depends on the process of search for suitable trading partners. To this purpose,
a monopolistic intermediary is embedded in a dynamic model of random-matching and two-sided search with heterogeneous agents.
It is shown that intermediation might speed up the matching process and might induce separation of the agents’ types, thus
enhancing sorting efficiency with respect to a pure search market, where sorting externalities cause multiplicity of equilibria
to arise and determine inefficient matching outcomes. Nonetheless, intermediation might also introduce frictions that do not
exist in a decentralized market operating in isolation, and this impairs efficiency.
相似文献
10.