Tempered stable Ornstein– Uhlenbeck processes: A practical view
暂无分享,去创建一个
Svetlozar T. Rachev | Frank J. Fabozzi | Michele Leonardo Bianchi | S. Rachev | F. Fabozzi | M. L. Bianchi
[1] Andrea Nobili,et al. Oil and the Macroeconomy: A Quantitative Structural Analysis , 2009 .
[2] Ioannis Kyriakou,et al. Monte Carlo Simulation of the CGMY Process and Option Pricing , 2013 .
[3] R. Kawai,et al. On finite truncation of infinite shot noise series representation of tempered stable laws , 2011 .
[4] J. Teichmann,et al. THE AFFINE LIBOR MODELS , 2009, 0904.0555.
[5] Riccardo Cristadoro,et al. Household savings in China , 2012 .
[6] Massimiliano Marcellino,et al. Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility , 2013 .
[7] Stefano Federico,et al. Headquarter intensity and the choice between outsourcing versus integration at home or abroad , 2012 .
[8] Reiichiro Kawai,et al. On simulation of tempered stable random variates , 2010, J. Comput. Appl. Math..
[9] S. Rachev,et al. Tempered stable distributions and processes in finance: numerical analysis , 2010 .
[10] J. Rosínski. Tempering stable processes , 2007 .
[11] Luisa Carpinelli,et al. Credit Supply During a Sovereign Debt Crisis , 2013 .
[12] Andrea Nobili,et al. Futures Contract Rates as Monetary Policy Forecasts , 2008, SSRN Electronic Journal.
[13] Reiichiro Kawai,et al. Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes , 2011, Monte Carlo Methods Appl..
[14] Dawn Hunter,et al. A public guarantee of a minimum return to defined contribution pension scheme members , 2011 .
[15] Matteo Bugamelli,et al. Do Workers' Remittances Reduce the Probability of Current Account Reversals? , 2005 .
[16] Frank J. Fabozzi,et al. Financial Models with Levy Processes and Volatility Clustering , 2011 .
[17] F. Cingano,et al. Politicians at Work: The Private Returns and Social Costs of Political Connections , 2009 .
[18] F. Tricomi. Funzioni ipergeometriche confluenti , 1954 .
[19] Libero Monteforte,et al. The General Equilibrium Effects of Fiscal Policy: Estimates for the Euro Area , 2007 .
[20] Andrea Neri,et al. Asking Income and Consumption Questions in the Same Survey: What are the Risks? , 2013 .
[21] Jennifer L. Sinclair,et al. Generalized tempered stable processes , 2010 .
[22] Leandro D'Aurizio,et al. Family Firms and the Great Recession: Out of Sight, Out of Mind? , 2012 .
[23] Silvia Magri,et al. The financing of small innovative firms: the Italian case , 2007 .
[24] Marcello Pericoli,et al. The CAPM and the Risk Appetite Index: Theoretical Differences, Empirical Similarities, and Implementation Problems , 2009 .
[25] Neil Shephard,et al. Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models , 2003 .
[26] Paolo Piselli,et al. Determinants of long-run regional productivity with geographical spillovers: The role of R&D, human capital and public infrastructure , 2009 .
[27] A. Calza,et al. NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1 , 2008, Macroeconomic Dynamics.
[28] Valter Di Giacinto,et al. Local and Global Agglomeration Patterns: Two Econometrics-Based Indicators , 2011 .
[29] Raffaela Giordano,et al. What Determines Debt Intolerance? The Role of Political and Monetary Institutions , 2009 .
[30] Milton Abramowitz,et al. Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables , 1964 .
[31] E. Nicolato,et al. Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type , 2003 .
[32] Stefano Federico,et al. Industry Dynamics and Competition from Low‐Wage Countries: Evidence on Italy , 2014 .
[33] Svetlozar T. Rachev,et al. Approximation of skewed and leptokurtic return distributions , 2012 .
[34] Reiichiro Kawai,et al. Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations , 2010, Commun. Stat. Simul. Comput..
[35] Juri Marcucci,et al. The Predictive Power of Google Searches in Forecasting Unemployment , 2012 .
[36] Eugenio Gaiotti,et al. Credit availability and investment: Lessons from the “great recession” , 2013 .
[37] Xinsheng Zhang,et al. Exact Simulation of IG-OU Processes , 2008 .
[38] Alessandro Girardi,et al. Price Discovery in the Italian Sovereign Bonds Market: The Role of Order Flow , 2013 .
[39] Sauro Mocetti,et al. Tax morale and public spending inefficiency , 2009 .
[40] Ernst Eberlein,et al. Term Structure Models Driven by General Lévy Processes , 1999 .
[41] Silvia Fabiani,et al. What's Behind 'Inflation Perceptions'? A Survey-Based Analysis of Italian Consumers , 2008 .
[42] Emanuela Ciapanna,et al. Directed Matching with Endogenous Markov Probability: Clients or Competitors? , 2010 .
[43] Paolo Piselli,et al. Emerging Markets Spreads and Global Financial Conditions , 2007 .
[44] Andrea Nobili,et al. The Transmission of US Monetary Policy to the Euro Area , 2010 .
[45] Antonio Accetturo,et al. Geography, Productivity, and Trade: Does Selection Explain Why Some Locations are More Productive than Others? , 2013, Journal of Regional Science.
[46] M. S. Ridout,et al. Generating random numbers from a distribution specified by its Laplace transform , 2009, Stat. Comput..
[47] Piotr Jelonek,et al. Generating Tempered Stable Random Variates from Mixture Representation , 2012 .
[48] Mario Quagliariello,et al. Incentives Through the Cycle: Microfounded Macroprudential Regulation , 2011 .
[49] Elisa Nicolato,et al. Sato Processes in Default Modelling , 2010 .
[50] Shibin Zhang,et al. Exact simulation of tempered stable Ornstein–Uhlenbeck processes , 2011 .
[51] Fabio Fornari,et al. Macroeconomic Determinants of Carry Trade Activity , 2010 .
[52] A. Calza,et al. Sectoral Money Demand and the Great Disinflation in the US , 2010, SSRN Electronic Journal.
[53] Yener Altunbas,et al. Securitisation and the Bank Lending Channel , 2007 .
[54] Luc Devroye,et al. Random variate generation for exponentially and polynomially tilted stable distributions , 2009, TOMC.
[55] M. Affinito,et al. Do Interbank Customer Relationships Exist? And How Did They Function Over the Crisis? Learning from Italy , 2011 .
[56] Giacinto Micucci,et al. The Producer Service Sector in Italy: Long-term Growth and its Local Determinants , 2007 .
[57] M. Pisani,et al. The EAGLE: A Model for Policy Analysis of Macroeconomic Interdependence in the Euro Area , 2010, SSRN Electronic Journal.
[58] M. Affinito,et al. What are Borders Made of? An Analysis of Barriers to European Banking Integration , 2008 .
[59] Stefano Federico,et al. Measuring the Price Elasticity of Import Demand in the Destination Markets of Italian Export , 2010 .
[60] Filippo Altissimo,et al. New Eurocoin: Tracking Economic Growth in Real Time , 2006, The Review of Economics and Statistics.
[61] Ines Buono,et al. The Effect of the Uruguay Round on the Intensive and Extensive Margins of Trade , 2010 .
[62] Francesco D'Amuri,et al. Immigration, Jobs and Employment Protection: Evidence from Europe before and during the Great Recession , 2012 .
[63] J. Rosínski. Series Representations of Lévy Processes from the Perspective of Point Processes , 2001 .
[64] N. Shephard,et al. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics , 2001 .
[65] Elisabetta Allevi,et al. A Spatial Competitive Analysis: The Carbon Leakage Effect on the Cement Industry Under the European Emissions Trading Scheme , 2013 .
[66] Frank J. Fabozzi,et al. Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads , 2015 .
[67] Antonio Accetturo,et al. Policies for Local Development: An Evaluation of Italy's 'Patti Territoriali' , 2011 .
[68] Antonio Di Cesare,et al. An Analysis of the Determinants of Credit Default Swap Spread Changes Before and During the Subprime Financial Turmoil , 2010 .
[69] Michael Grabchak. On a new Class of Tempered Stable Distributions: Moments and Regular Variation , 2012, J. Appl. Probab..
[70] Svetlozar T. Rachev,et al. Tempered stable and tempered infinitely divisible GARCH models , 2010 .
[71] Domenico Depalo,et al. Public–private wage differentials in euro-area countries: evidence from quantile decomposition analysis , 2015 .
[72] G. Gobbi,et al. Does the Underground Economy Hold Back Financial Deepening? Evidence from the Italian Credit Market , 2007 .
[73] W. Schoutens. Lévy Processes in Finance: Pricing Financial Derivatives , 2003 .
[74] Daniele Franco,et al. The Reliability of EMU Fiscal Indicators: Risks and Safeguards , 2007 .
[75] Xinsheng Zhang,et al. On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes , 2009, Journal of Applied Probability.
[76] Silvia Magri,et al. The Rise of Risk-Based Pricing of Mortgage Interest Rates in Italy , 2010 .
[77] Giancarlo Spagnolo,et al. Limited Credit Records and Market Outcomes , 2013 .
[78] Marcello Pericoli,et al. " Pure " or " wake-up-call " contagion ? Another look at the EMU sovereign debt crisis Ra ¤ , 2012 .
[79] W. Schoutens,et al. Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling , 2009 .
[80] Stefano Federico,et al. Outsourcing versus integration at home or abroad and firm heterogeneity , 2010 .
[81] Alessandro Staino. Financial models with Lévy processes , 2008 .
[82] Antonio Accetturo,et al. Agglomeration and Growth: The Effects of Commuting Costs , 2008 .
[83] Nico M. Temme,et al. Numerical methods for special functions , 2007 .
[84] Stoyan V. Stoyanov,et al. Numerical Methods for Stable Modeling in Financial Risk Management , 2004 .
[85] S. Rachev,et al. Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models , 2014 .
[86] Andrea Nobili,et al. " Liquidity and Liquidity Risks ": What Has Changed, and Why ? " the Interbank Market after August 2007: What Has Changed, and Why? , 2022 .
[87] Guido Ascari,et al. Trend Inflation, Taylor Principle and Indeterminacy , 2009 .
[88] Marco Taboga,et al. Under/Over-Valuation of the Stock Market and Cyclically Adjusted Earnings , 2010 .
[89] Michele Leonardo Bianchi. Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective , 2015 .
[90] Giuliana Palumbo,et al. Over-Optimism and Lender Liability in the Consumer Credit Market , 2010 .
[91] Giuseppe Cappelletti,et al. A Note on Rationalizability and Restrictions on Belief , 2010 .
[92] Davide Fantino,et al. Evaluating the Efficacy of European Regional Funds for R&D , 2013 .
[93] Stefano Nobili,et al. Explaining and Forecasting Bond Risk Premiums , 2010 .
[94] I. J. Schoenberg. Metric spaces and completely monotone functions , 1938 .
[95] Enrico Beretta,et al. Banking Consolidation and Bank-Firm Credit Relationships: The Role of Geographical Features and Relationship Characteristics , 2013 .
[96] Craig B. Borkowf,et al. Random Number Generation and Monte Carlo Methods , 2000, Technometrics.
[97] Leonardo Gambacorta,et al. Mutual Guarantee Institutions and Small Business Finance , 2009 .
[98] Olivier J. Blanchard,et al. Why are the 2000s so Different from the 1970s? A Structural Interpretation of Changes in the Macroeconomic Effects of Oil Prices , 2009 .
[99] M. L. Bianchi,et al. An Empirical Comparison of Alternative Credit Default Swap Pricing Models , 2012 .
[100] Agnieszka Wyłomańska,et al. Measures of dependence for Ornstein–Uhlenbeck processes with tempered stable distribution , 2010 .
[101] C. Mallows,et al. A Method for Simulating Stable Random Variables , 1976 .
[102] Giuseppe Cappelletti,et al. What Determines Annuity Demand at Retirement? , 2013 .
[103] Paolo Piselli,et al. Testing for East-West Contagion in the European Banking Sector During the Financial Crisis , 2011 .
[104] Vincenzo Cuciniello,et al. The Welfare Effect of Foreign Monetary Conservatism with Non-Atomistic Wage Setters , 2009 .
[105] Svetlozar T. Rachev,et al. Tempered Infinitely Divisible Distributions and Processes , 2011 .