Emerging Needs and Tailored Products for Untapped Markets by Luisa Anderloni, Maria Debora Braga and Emanuele Maria Carluccio 9 doc

... β>0. 3 GARCH stands for generalized autoregresssive conditional heteroskedasticity, and was introduced by Bollerslev ( 198 6, 198 7) and Engle ( 198 2). Engle received the Nobel Prize in 2003 for his work ... parametric and semi-parametric models, and models that have and do not have closed-form solutions. The typology appears in Table 2.1. Both linear and polynomial mode...

Ngày tải lên: 21/06/2014, 09:20

... given by the probability pr = .15 + .33/G. If mutation is to be performed on a vector element, we use the following nonuniform mutation operation, due to Michalewicz ( 199 6). Begin by randomly ... particular point forecasts. Granger and Jeon (2002) have suggested “thick modeling” as a strategy for neural net- works, particularly for forecasting. The idea is simple and straightfo...

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... behave, particularly in volatile emerging- market economies. Following Bates ( 199 6) and Craine, Lochester, and Syrtveit ( 199 9), we present this process in continuous time by the following equations: dS S =(µ ... model is a well-known method for calculating arbitrage-free prices for options. As Peter Bernstein ( 199 8) points out, this formula was widely in use by practitioner...

Ngày tải lên: 21/06/2014, 09:20

... NNRS model. 182 7. Inflation and Deflation: Hong Kong and Japan 198 6 198 8 199 0 199 2 199 4 199 6 199 8 2000 2002 −0.1 −0.05 0 0.05 0.1 0.15 198 6 198 8 199 0 199 2 199 4 199 6 199 8 2000 2002 0.4 0.45 0.5 0.55 0.6 0.65 Inflation Transition ... and Hofmann (2003) support the finding of Gerlach and Peng with results from a wider sample of 12 countries. 180 7. Inflation and Deflation:...

Ngày tải lên: 21/06/2014, 09:20

... E. Rossi, and George Tauchen ( 199 2), “Stock Prices and Volume.” Review of Financial Studies 5: 199 –242. 214 9. Dimensionality Reduction and Implied Volatility Forecasting 199 7 199 8 199 9 2000 2001 ... Fit: Linear and Nonlinear Components, Multiple Correlation Coefficient Maturity in Years 2345710 Linear 0 .96 5 0 .98 6 0 .99 0 0 .98 1 0 .92 3 0.751 Nonlinear 0 .98 8 0 .97 8 0 .94...

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... deflation model for, 182– 196 data in, 184–1 89 in-sample performance, 1 89 190 interpretation of results, 191 – 196 model specification, 1 89 proposed remedies, 182–184 Jarque-Bera statistic, 89 90 , 94 jump ... information statistic, 86 Jarque-Bera statistic, 89 90 , 94 Lee-White-Granger test, 32, 90 91 , 94 Ljung-Box statistic, 86–88, 94 MATLAB example of, 93 94 McLeod-Li...

Ngày tải lên: 21/06/2014, 09:20

... quarter and summer of 198 5 preceded downward corrections in the stock market. Figure 4.6 compares the two markets during 198 6 and 198 7. After rising for almost four years, both markets spent 198 6 ... SEEN IN 198 0, 198 2, 198 4, 198 6, AND 198 8. MAJOR TREND SIGNALS IN THE CRB INDEX SHOULD BE CONFIRMED BY OPPOSITE SIGNALS IN THE BOND MARKET. (SOURCE: COMMODITY TREND SERVI...

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... 1),so P ( µ − 1 .96 σ ≤ Y ≤ µ + 1 .96 σ ) = 0 .95 , (6.15) and hence [µ − 1 .96 σ, µ +1 .96 σ ]isa95% confidence interval. This result is often expressed along the lines of for i.i.d. normal samples, 95 times ... numerically. It is found that for X ∼ N(0, 1), P ( |X |≤1 .96 ) = 0 .95 , (6.14) see Exercise 6.7, so [−1 .96 , 1 .96 ] is a 95 % confidence interval for X. More gen- erally...

Ngày tải lên: 21/06/2014, 09:20