相关论文: A Novel Multi-Period and Multilateral Price Index
This paper presents a novel quantitative approach for comparative economic studies, addressing limitations in current classification methods. Conventional approaches in comparative economics often rely on ad hoc and categorical…
We present a general approach to the pricing of products in finance and insurance in the multi-period setting. It is a combination of the utility indifference pricing and optimal intertemporal risk allocation. We give a characterization of…
As drought is among the natural hazards which affects people and economies worldwide and often results in huge monetary losses sophisticated methods for drought monitoring and decision making are needed. Several different approaches to…
In this chapter, an input-output economic model with multiple interactive economic systems is considered. The model captures the multi-dimensional nature of the economic sectors or industries in each economic system, the interdependencies…
A new branch based on Markov processes is developing in the recent literature of financial time series modeling. In this paper, an Indexed Markov Chain has been used to model high frequency price returns of quoted firms. The peculiarity of…
A product relative error estimation method for single index regression model is proposed as an alternative to absolute error methods, such as the least square estimation and the least absolute deviation estimation. It is scale invariant for…
We propose a multiple imputation method to deal with incomplete categorical data. This method imputes the missing entries using the principal components method dedicated to categorical data: multiple correspondence analysis (MCA). The…
Meta-analysis, because of both logistical convenience and statistical efficiency, is widely popular for synthesizing information on common parameters of interest across multiple studies. We propose developing a generalized meta-analysis…
Price transmission has been studied extensively in agricultural economics through the lens of spatial and vertical price relationships. Classical time series econometric techniques suffer from the "curse of dimensionality" and are applied…
Extensions of previous linear regression models for interval data are presented. A more flexible simple linear model is formalized. The new model may express cross-relationships between mid-points and spreads of the interval data in a…
The paper summarizes key results of the benchmark approach with a focus on the concept of benchmark-neutral pricing. It applies these results to the pricing of an extreme-maturity European put option on a well-diversified stock index. The…
An efficient method is described to handle mesh indexes in multidimensional problems like numerical integration of partial differential equations, lattice model simulations, and determination of atomic neighbor lists. By creating an…
This paper studies equity basket options -- i.e., multi-dimensional derivatives whose payoffs depend on the value of a weighted sum of the underlying stocks -- and develops a new and innovative approach to ensure consistency between options…
Recent studies concerning the point electricity price forecasting have shown evidence that the hourly German Intraday Continuous Market is weak-form efficient. Therefore, we take a novel, advanced approach to the problem. A probabilistic…
This paper proposes a class of parametric multiple-index time series models that involve linear combinations of time trends, stationary variables and unit root processes as regressors. The inclusion of the three different types of time…
We study common properties of retail pricing models within a general framework of calculus of variations. In particular, we observe that for any demand model, optimal de-seasoned revenue rate divided by price elasticity is time invariant.…
In this article, we propose two classes of semiparametric mixture regression models with single-index for model based clustering. Unlike many semiparametric/nonparametric mixture regression models that can only be applied to low dimensional…
The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark-neutral pricing measure for pricing. For a realistic…
In this work we consider three problems of the standard market approach to pricing of credit index options: the definition of the index spread is not valid in general, the usually considered payoff leads to a pricing which is not always…
Collateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis…