Results 201 to 210 of about 1,700,696 (345)

Closed‐Form Optimal Investment Under Generalized GARCH Models

European Financial Management, EarlyView.
ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel, Tobias Lausser, Rudi Zagst   +2 more
wiley   +1 more source

Comparative stability analysis of Indonesian banks: Markov Switching-Dynamic Regression for Islamic and conventional sectors. [PDF]

PLoS One
Mawardi I, Al Mustofa MU, Widiastuti T, Fanani S, Bakri MH, Hanafi Z, Robani A.   +6 more
europepmc   +1 more source

Solving Endogeneity in Assessing the Efficacy of Foreign Exchange Market Interventions [PDF]

Sterilized foreign exchange market interventions have been suspected of being inefficient by many empirical studies, but they are plagued by endogeneity problems. To solve the problems, this paper identifies a system that depicts interactions between the
Seok Gil Park
core  

Joint Spatiotemporal Models for the Estimation of Prey Consumption and Predator–Prey Overlap: Dynamics of Pacific Cod Predation on Snow and Tanner Crab in the Eastern Bering Sea

Fisheries Oceanography, EarlyView.
ABSTRACT Pacific cod (Gadus macrocephalus) are important predators of juvenile snow (Chionoecetes opilio) and Tanner crab (Chionoecetes bairdi) in the eastern Bering Sea (EBS), yet the relationship between cod–crab spatial overlap and total crab consumption is only partially understood.
Jonathan C. P. Reum, James T. Thorson, Erin J. Fedewa   +2 more
wiley   +1 more source

Zika emergence, persistence, and transmission rate in Colombia: a nationwide application of a space-time Markov switching model. [PDF]

Sci Rep
Picinini Freitas L, Douwes-Schultz D, Schmidt AM, Ávila Monsalve B, Salazar Flórez JE, García-Balaguera C, Restrepo BN, Jaramillo-Ramirez GI, Carabali M, Zinszer K.   +9 more
europepmc   +1 more source

Taylor-type rules versus optimal policy in a Markov-switching economy [PDF]

We analyse the effect of uncertainty concerning the state and the nature of asset price movements on the optimal monetary policy response. Uncertainty is modeled by adding Markov-switching shocks to a DSGE model with capital accumulation. In our analysis
Fernando Alexandre, Pedro Bação, Vasco Gabriel   +2 more
core  

When in Doubt, Tax More Progressively? Uncertainty and Progressive Income Taxation

International Economic Review, EarlyView.
ABSTRACT We study the optimal income tax problem under parameter uncertainty about household preferences and wage dynamics. We derive conditions characterizing how such uncertainty affects optimal tax policy. To quantify the effect, we estimate a life‐cycle model using US data and a Bayesian approach.
Minsu Chang, Chunzan Wu
wiley   +1 more source

Pairwise Imitation and Tournament Graphs

International Economic Review, EarlyView.
ABSTRACT This paper investigates strategic dynamics under the behavioral rule of pairwise interact and imitate (PII), which requires minimal information and emphasizes outperforming opponents in pairwise interactions. We characterize PII using weak tournament graphs and, for a broad class of dynamics, establish a one‐shot stability result for ...
Sung‐Ha Hwang, Philip R. Neary, Jonathan Newton, Ryoji Sawa   +3 more
wiley   +1 more source

Miners' Reward Elasticity and Stability of Competing Proof‐of‐Work Cryptocurrencies

International Economic Review, EarlyView.
ABSTRACT Proof‐of‐Work cryptocurrencies employ miners to sustain the system through algorithmic reward adjustments. We develop a stochastic model of the multicurrency mining and identify conditions for stable transaction speeds. Bitcoin's algorithm requires hash supply elasticity <$<$1 for stability, while ASERT remains stable for any elasticity and ...
Kohei Kawaguchi, Junpei Komiyama, Shunya Noda   +2 more
wiley   +1 more source

Assessing Market Risk in BRICS and Oil Markets: An application of Markov Switching and Vine Copula

, 2021
Muteba Mwamba JW, Mwambi SM.
europepmc   +1 more source