Title:A Markov chain estimator of multivariate volatility from high frequency data Author(s):HANSEN, Peter Reinhard; HOREL, Guillaume; LUNDE, Asger; ARCHAKOV, IlyaDate:2016Citation:
- Mark PODOLSKIJ, Robert STELZER, Steen THORBJØRNSEN and Almut E. D. VERAART (eds), The fascination of probability, statistics and their applications : in Honour of Ole E. Barndorff-Nielsen, [S.l.] : Springer Verlag, 2016, pp. 361-394
Type:Contribution to bookAbstract:We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite ...
Title:Strategic communication process for sustainable entrepreneurial environment in nonprofit organizations Author(s):DRIVAS, Ioannis C.; DAMASKINOU, Aikaterini I.; SAKAS, Damianos P.Date:2017Citation:
- Androniki KAVOURA, Damianos P. SAKAS and Petros TOMARAS (eds), Strategic innovative marketing : 4th IC-SIM, Mykonos, Greece 2015, Cham : Springer, 2017, Springer proceedings in business and economics, pp. 299-307
Type:Contribution to bookAbstract:This research process is focused on the analysis of three axes which are Fair Treatment, Team Effectiveness, and Job Satisfaction of employees and decision-makers who are occupied in Nonprofit Organizations. Nowadays, the ...
Title:La crisis del euro. De Atenas a Madrid Author(s):BORRELL, José; MISSÉ, AndreuDate:2012Citation:
- Madrid, Ediciones Turpial, 2012
Type:BookAbstract:Tres años después de la quiebra de Lehman Brothers el panorama económico internacional parece desolador. Las primas de riesgo de España e Italia han llegado a superar los 400 puntos básicos, las perspectivas de crecimiento ...
Title:Heterogeneous Trading Strategies with Adaptive Fuzzy Actor-Critic Reinforcement Learning: A behavioral approach Author(s):BEKIROS, Stelios D.Date:2010Citation:
- Journal of Economic Dynamics and Control, 2010, 34, 6, 1153-1170
Type:ArticleAbstract:The present study addresses the learning mechanism of boundedly rational agents in the dynamic and noisy environment of financial markets. The main objective is the development of a system that “decodes” the knowledge-acquisition ...
Title:Fuzzy Adaptive Decision-making for Boundedly Rational Traders in Speculative Stock Markets Author(s):BEKIROS, Stelios D.Date:2010Citation:
- European Journal of Operational Research, 2010, 202, 1, 285-293
Type:ArticleAbstract:The development of new models that would enhance predictability for time series with dynamic time-varying, nonlinear features is a major challenge for speculators. Boundedly rational investors called “chartists” use advanced ...
Title:Endogenous Trading Constraints with Incomplete Asset Markets Author(s):ABRAHAM, Arpad; CARCELES-POVEDA, EvaDate:2010Citation:
- Journal of Economic Theory, 2010, 145, 3, 974–1004
Type:ArticleAbstract:This paper endogenizes the borrowing constraints on capital in a production economy with incomplete markets. We find that these limits get looser with income, a property that is consistent with US data on credit limits. ...
Title:Structural Vector Autoregressions with Nonnormal Residuals Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2010Citation:
- Journal of Business & Economic Statistics, 2010, 28, 1, 159-168
Type:ArticleAbstract:In structural vector autoregressive (SVAR) modeling, sometimes the identifying restrictions are insufficient for a unique specification of all shocks. In this paper it is pointed out that specific distributional assumptions ...
Title:Institutional Design and Conflict: An introduction Author(s):MORELLI, MassimoDate:2010Citation:
- Review of Economic Design, 2010, 13, 3, 167-170
Title:Exchange Rate Volatility and Export Performance: A cointegrated VAR approach Author(s):BOUG, Pål; FAGERENG, AndreasDate:2010Citation:
- Applied Economics, 2010, 42, 7, 851-864
Type:ArticleAbstract:During the last decades Norwegian exporters have-despite various forms of exchange rate targeting-faced a rather volatile exchange rate which may have influenced their behaviour. Recently, the shift to inflation targeting ...
Title:Structural Vector Autoregressions with Markov Switching Author(s):LUETKEPOHL, Helmut; LANNE, Markku; MACIEJOWSKA, KatarzynaDate:2010Citation:
- Journal of Economic Dynamics and Control, 2010, 34, 2, 121-131
Type:ArticleAbstract:It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across states. The model ...