Open Access. Powered by Scholars. Published by Universities.®
- Keyword
-
- Bootstrap (1)
- Competing organizational forms (1)
- Credit risk (1)
- Economic policy (1)
- Efficient importance sampling (1)
-
- Exchange rate (1)
- GARC diffusion model (1)
- GDP; Composite Index; U.S.; Economy; Service; Sector; (1)
- Generalized method of moments (1)
- Indirect Inference (1)
- Interestrate. (1)
- MCMC (1)
- Maximum likelihood (1)
- Median Unbiased (1)
- Option pricing (1)
- Simulated Maximum likelihood (1)
- Stochastic volatility (1)
- Stock price (1)
Articles 1 - 6 of 6
Full-Text Articles in Econometrics
Need Singapore Fear Floating? A Dsge-Var Approach, Hwee Kwan Chow, Paul D. Mcnelis
Need Singapore Fear Floating? A Dsge-Var Approach, Hwee Kwan Chow, Paul D. Mcnelis
Research Collection School Of Economics
This paper uses a DSGE-VAR model to examine the managed exchange-rate system at work in Singapore and asks if the country has any reason to fear floating the exchange rate with a Taylor rule inflation-targeting mechanism that uses the short term interest rate instead of the exchange rate as the benchmark monetary policy instrument. Our simulation results show that the use of a more flexible exchange rate system will reduce volatility in inflation and investment but consumption volatility will increase. Overall, there are neither signi cant welfare gains or losses in the regime shift. Given the highly open and trade …
Estimating The Garch Diffusion: Simulated Maximum Likelihood In Continuous Time, Tore Selland Kleppe, Jun Yu, Hans J. Skaug
Estimating The Garch Diffusion: Simulated Maximum Likelihood In Continuous Time, Tore Selland Kleppe, Jun Yu, Hans J. Skaug
Research Collection School Of Economics
A new algorithm is developed to provide a simulated maximum likelihood estimation of the GARCH diffusion model of Nelson (1990) based on return data only. The method combines two accurate approximation procedures, namely, the polynomial expansion of Ait-Sahalia (2008) to approximate the transition probability density of return and volatility, and the Efficient Importance Sampler (EIS) of Richard and Zhang (2007) to integrate out the volatility. The first and second order terms in the polynomial expansion are used to generate a base-line importance density for an EIS algorithm. The higher order terms are included when evaluating the importance weights. Monte Carlo …
Measurement And High Finance, Peter C. B. Phillips, Jun Yu, Eric Ghysels
Measurement And High Finance, Peter C. B. Phillips, Jun Yu, Eric Ghysels
Research Collection School Of Economics
Turbulence in the world of banking and finance over the last two years has riveted media attention on the financial industry, exposing practices, products and risks in the industry to widespread public scrutiny. Questions continue to be asked about the management and regulation of an industry whose performance is now seen to affect the world’s financial health and its prospects as much as it does national savings and individual retirement funds.
A New Stock Index To Better Predict The United States' Real Gdp, William Nette
A New Stock Index To Better Predict The United States' Real Gdp, William Nette
Honors Projects in Finance
The relationship between the United States’ real GDP and the overall stock market has been acknowledged by researchers and investors alike. This research paper will document a newly created composite index that will try to more accurately predict the overall U.S. economy through the proxy of GDP than the current S&P 500 index. Success will be determined if the composite index representing the addition of a service sector component to the S&P 500 is more correlated to U.S. real GDP than the S&P 500 alone. The results suggest that the service sector is not quite adequately in the S&P 500. …
Simulation-Based Estimation Methods For Financial Time Series Models, Jun Yu
Simulation-Based Estimation Methods For Financial Time Series Models, Jun Yu
Research Collection School Of Economics
This paper overviews some recent advances on simulation-based methods of estimating time series models and asset pricing models that are widely used in finance. The simulation based methods have proven to be particularly useful when the likelihood function and moments do not have tractable forms and hence the maximum likelihood method (MLE) and the generalized method of moments (GMM) are difficult to use. They can also be useful for improving the finite sample performance of the traditional methods when financial time series are highly persistent and when the quantity of interest is a highly nonlinear function of system parameters. The …
Trusts Versus Corporations: An Empirical Analysis Of Competing Organizational Forms, A. Joseph Warburton
Trusts Versus Corporations: An Empirical Analysis Of Competing Organizational Forms, A. Joseph Warburton
College of Law - Faculty Scholarship
This paper studies the effects of organizational form on managerial behavior and firm performance, from an empirical perspective. Managers of trusts are subject to stricter fiduciary responsibilities than managers of corporations. This paper examines the ramifications empirically, by exploiting data generated by a change in British regulations in the 1990s that allowed mutual funds to organize as either a trust or a corporation. I find evidence that trust law is effective in curtailing opportunistic behavior, as trust managers charge significantly lower fees than their observationally equivalent corporate counterparts. Trust managers also incur lower risk. However, evidence suggests that trust managers …