Term Structure Modeling And Estimation In A State Space Framework
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Term Structure Modeling And Estimation In A State Space Framework
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Author : Wolfgang Lemke
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-12-08
Term Structure Modeling And Estimation In A State Space Framework written by Wolfgang Lemke and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-12-08 with Business & Economics categories.
This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.
Artificial Markets Modeling
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Author : Andrea Consiglio
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-08-16
Artificial Markets Modeling written by Andrea Consiglio and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-08-16 with Business & Economics categories.
This volume features contributions to agent-based computational modeling from the social sciences and computer sciences. It presents applications of methodologies and tools, focusing on the uses, requirements, and constraints of agent-based models used by social scientists. Topics include agent-based macroeconomics, the emergence of norms and conventions, the dynamics of social and economic networks, and behavioral models in financial markets.
Pension Systems Demographic Change And The Stock Market
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Author : Marten Hillebrand
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-10-16
Pension Systems Demographic Change And The Stock Market written by Marten Hillebrand and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-16 with Political Science categories.
Due to the accelerating demographic change of the population the reform of the existing pension systems constitutes one of the greatest political challenges in most European countries. A theoretical discussion of different pension reforms must incorporate not only the demographic aspect but also the role of financial market risk and the impact on production and employment. These notes develop a dynamic macroeconomic model which incorporates these aspects within a flexible theoretical framework. The proposed approach provides a large scale population model and features a sound description of the production side as well as of the financial side of the economy and their interactions with the pension system. Within this framework various adjustment policies of the pension system are studied under different population scenarios. The consequences for the economy and the welfare of consumers are analyzed and compared.
On The Estimation Of Term Structure Models And An Application To The United States
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2010-11-01
On The Estimation Of Term Structure Models And An Application To The United States written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-01 with Business & Economics categories.
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Complex Systems Approach To Economic Dynamics
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Author : Abraham C.-L. Chian
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-08-17
Complex Systems Approach To Economic Dynamics written by Abraham C.-L. Chian and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-08-17 with Business & Economics categories.
Statistical analysis of stock markets and foreign exchange markets has demonstrated the intermittent nature of economic time series. A nonlinear model of business cycles is able to simulate intermittency arising from order-chaos and chaos-chaos transitions. This monograph introduces new concepts of unstable periodic orbits and chaotic saddles, which are unstable structures embedded in a chaotic attractor and responsible for economic intermittency.
Economic Evolution And Equilibrium
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Author : Marco Lehmann-Waffenschmidt
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-06-10
Economic Evolution And Equilibrium written by Marco Lehmann-Waffenschmidt and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-06-10 with Business & Economics categories.
This work uses various model frameworks to study the evolution of equilibria in an open loop evolving economy in which the model characteristics evolve without any directional restrictions except for continuity. Applying mathematical methods, it is shown that equilibria can always be adapted in a piecewise gradual, non bang-bang way.
Risk Averse Capacity Control In Revenue Management
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Author : Christiane Barz
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-08-02
Risk Averse Capacity Control In Revenue Management written by Christiane Barz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-08-02 with Business & Economics categories.
This book revises the well-known capacity control problem in revenue management from the perspective of a risk-averse decision-maker. Modelling an expected utility maximizing decision maker, the problem is formulated as a risk-sensitive Markov decision process. Special emphasis is put on the existence of structured optimal policies. Numerical examples illustrate the results.
Sports Leagues Scheduling
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Author : Dirk Briskorn
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-01-08
Sports Leagues Scheduling written by Dirk Briskorn and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-01-08 with Business & Economics categories.
In the context of sports leagues scheduling (SLS) several groups' interests must be taken into account. This book treats requirements for sport leagues schedules to be realizable from an operational and a security point of view, attractive for spectators and TV channels, and fair for the competing teams. Formal problem definitions as well as integer programming models are presented and analyzed.
Partner Choice And Cooperation In Networks
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Author : Aljaž Ule
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-01-10
Partner Choice And Cooperation In Networks written by Aljaž Ule and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-01-10 with Psychology categories.
In this book, a social dilemma with partner selection is introduced and studied with the methods of formal game theory, experimental economics and computer simulations. It allows exploration of simultaneous dynamics of the network structure and cooperative behavior on this structure. The results of this study show that partner choice strongly facilitates cooperation and leads to networks where free-riders are likely to be excluded.
Computer Aided Systems In Public Transport
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Author : Mark Hickman
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-01-23
Computer Aided Systems In Public Transport written by Mark Hickman and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-01-23 with Technology & Engineering categories.
This volume consists of selected papers presented at the Ninth International Conference on Computer-Aided Scheduling of Public Transport. Coverage includes the use of computer-aided methods and operations research techniques to improve: information management; network and route planning; vehicle and crew scheduling and rostering; vehicle monitoring and management; and practical experience with scheduling and public transport planning methods.