搜索结果: 1-15 共查到“经济学 Bounds”相关记录15条 . 查询时间(0.21 秒)
Agriculture and Environmental Kuznets Curves in the case of Turkey:evidence from the ARDL and bounds test
EKC growth CO2 emission ECM
2017/2/21
The paper empirically analyses the long run relationship between agricultural performance and the carbon dioxide emission in Turkey by using the annual data covering 1968–2010. The Bounds test approac...
Performance bounds and suboptimal policies for multi-period investment
Dynamic trading assets distribution return on assets investment and trade
2015/8/7
We consider dynamic trading of a portfolio of assets in discrete periods over a finite time horizon, with arbitrary time-varying distribution of asset returns. The goal is to maximize the total expect...
Parameterized Expectations Algorithm and the Moving Bounds
Nonlinear models Numerical solutions methods Optimal growth Parameterized expectations algorithm
2015/7/21
The Parameterized Expectations Algorithm (PEA) is a powerful tool for solving nonlinear stochastic dynamic models. However, it has an important shortcoming:it is not a contraction mapping technique an...
We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or, equivalently, the v...
THE DETERMINANTS OF U.S. STATE ECONOMIC GROWTH: A LESS EXTREME BOUNDS ANALYSIS.
economic growth growth equations productivity characteristics industrial composition
2011/9/11
This study investigates U.S. state economic growth from 1970 to 1999. I innovate on previous studies by developing a new approach for addressing “model uncertainty” issues associated with estimating g...
Model-independent Bounds for Option Prices: A Mass Transport Approach
Model-independent pricing Monge-Kantorovich transport problem option arbitrage
2011/7/4
In this paper we investigate model-independent bounds for exotic options written on a risky asset
using infinite-dimensional linear programming methods.
Using arguments from the theory of Monge-Kant...
Short-run and long-run elasticities of gasoline demand in Mauritius: an ARDL bounds test approach
gasoline demand co integration ARDL bounds test elasticities
2011/6/1
An Autoregressive Distributed Lag (ARDL) cointegration framework is used to examine the short-run and long-run characteristics of gasoline demand in the transport sector in Mauritius.
Error bounds for small jumps of Lévy processes and financial applications
Approximation of small jumps L´ evy processes Skorokhod embedding
2010/10/21
The pricing of exotic options in exponential L\'evy models amounts to the computation of expectations of functionals of the whole path of a L\'evy process. In many situations, Monte-Carlo methods are ...
Improved Frechet bounds and model-free pricing of multi-asset options
copulas Frechet-Hoeffding bounds concordance order
2010/10/19
We compute the improved bounds on the copula of a bivariate random vector when partial information is available, such as the values of the copula on the subset of $[0,1]^2$, or the value of a function...
Bounds on Stock Price probability distributions in Local-Stochastic Volatility models
Law of the spot price local-stochastic volatility moment explosion
2010/10/20
We show that in a large class of stochastic volatility models with additional skew-functions (local-stochastic volatility models) the tails of the cumulative distribution of the log-returns behave as...
We consider option pricing in a regime-switching market. As the market is incomplete, there is no unique price for a derivative. We apply the good-deal bounds idea to obtain ranges for the price of a...
Trade-off Lower Bounds for Stack Machines
stack communication complexity lower bound space bound reversals streaming
2012/11/30
Abstract—A space bounded Stack Machine is a regular Turing Machine with a read-only input tape, several space bounded read-write work tapes, and an unbounded stack. Stack Machines with a logarithmic s...
Improved Frechet bounds and model-free pricing of multi-asset options
copulas Frechet-Hoeffding bounds concordance order basket options
2010/4/28
We compute the improved bounds on the copula of a bivariate random vector when partial information is available, such as the values of the copula on the subset of $[0,1]^2$, or the value of a function...
Consider a frictionless market trading a finite number of co-maturing European call and put options written on a risky asset plus an instrument with path-dependent payoff known as a weighted variance...
Upper and lower bounds on dynamic risk indifference prices in incomplete markets
Backward stochastic differential equations Dynamic convex risk measures Incomplete markets Indifference pricing
2010/11/2
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon T , this paper proves that for general dynamic convex risk measures, the buyer’s (pbuyer t ) and selle...