Results 61 to 70 of about 117 (90)
On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model [PDF]
We focus on closed-form option pricing in Hestons stochastic volatility model, in which closed-form formulas exist only for few option types. Most of these closed-form solutions are constructed from characteristic functions.
Griebsch, Susanne, Wystup, Uwe
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Narrow Money and the Business Cycle: Theoretical aspects and euro area evdence [PDF]
This paper analyses the information content of M1 for euro area real GDP since the beginning of the 1980s. After a literature review on the empirical results in individual euro area countries we review some theoretical arguments why real narrow money ...
Claus Brand +2 more
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Capital flight from BRICS nations: Does every cloud have a silver lining? [PDF]
HeliyonKumar Pradhan A, Bhujabal P, Sethi N.
europepmc +1 more source
Time of Troubles: The Yen and Japan's Economy, 1985-2008 [PDF]
This paper explores the links between macroeconomic developments, especially monetary policy, and the exchange rate during the period of Japan's bubble economy and subsequent stagnation.
Maurice Obstfeld
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Valuing structure, model uncertainty and model averaging in vector autoregressive processes
Economic policy decisions are often informed by empirical analysis based on accurate econometric modeling. However, a decision-maker is usually only interested in good estimates of outcomes, while an analyst must also be interested in estimating the ...
Strachan, R.W., Dijk, H.K. van
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Exchange Rate Misalignments: Historical Experience of Japan, Germany, Singapore and Taiwan Compared to China Today [PDF]
This is a comparative study on the historical experience of real effective exchange rate (REER) misalignment of Japanese yen, Deutsche mark, Singapore dollar and Taiwan dollar, with regard to the recent dispute over the Renminbi (RMB) valuation.
Xinhua He, Yimeng Liu, Duo Qin
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Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach [PDF]
This paper examines heterogeneity in exchange rate expectations. Whereas agents’ heterogeneity is key in modern exchange rate models, evidence on determinants of heterogeneity is weak so far.
Michael Schröder +2 more
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