搜索结果: 1-15 共查到“理论经济学 Nonlinear”相关记录20条 . 查询时间(0.171 秒)
Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
2015/8/5
A solution method and an estimation method for nonlinear rational expectations
models are presented in this paper. The solution method can be used in forecasting and
policy applications and can hand...
Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods
Linear-quadratic approximation Nonlinear models Numerical solution methods
2015/8/4
The purpose of this article is to report on a comparison of several alternative numerical solution
techniques for nonlinear rational-expectations models. The comparison was made by asking
individual...
LOCAL AND GLOBAL TESTING OF LINEAR AND NONLINEAR INEQUALITY CONSTRAINTS IN NONLINEAR ECONOMETRIC MODELS
LOCAL AND GLOBAL TESTING NONLINEAR INEQUALITY
2015/7/31
This paper considers a general nonlinear econometric model framework that
contains a large class of estimators defined as solutions to optimization
problems. For this framework we derive several a...
A neuroeconomic theory of rational addiction and nonlinear time-perception
Neuroeconomics Econophysics Addiction Dopamine Rationality Tsallis' statistics
2015/7/21
Neuroeconomic conditions for “rational addiction” (Becker and Murphy, 1988) have been unknown. This paper derived the conditions for “rational addiction” by utilizing a nonlinear time-perception theor...
Solving nonlinear dynamic stochastic models: An algorithm computing value function by simulations
Nonlinear stochastic models Value function Parameterized expectations Monte Carlo simulations Numerical solutions
2015/7/21
This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the ex...
Studies in Nonlinear Dynamics & Econometrics.
THE RESPONSE OF DRUG EXPENDITURE TO NONLINEAR CONTRACT DESIGN: EVIDENCE FROM MEDICARE PART D
MEDICARE PART D DRUG EXPENDITURE
2015/7/17
We study the demand response to nonlinear price schedules using data on
insurance contracts and prescription drug purchases in Medicare Part D. We
exploit the kink in individuals’ budgets set create...
A multi-agent nonlinear Markov model of the order book
A multi-agent nonlinear Markov model order book
2012/9/14
We introduce and treat rigorously a new multi-agent model of the limit order book. Our model is designed to explain a behavior of the market when new information a ecting the market arrives. Our model...
上海财经大学经济学院高级计量经济学I课件Lecture 4 Nonlinear Regression Models and Generalized Least Squares
上海财经大学经济学院 高级计量经济学I 课件 Lecture 4 Regression Models Generalized Least Squares
2012/7/16
上海财经大学经济学院高级计量经济学I课件Lecture 4 Nonlinear Regression Models and Generalized Least Squares.
Nonlinear Inflation Expectations and Endogenous Fluctuations
Monetary policy Taylor rule inflation expectations
2010/12/6
The standard new Keynesian monetary policy problem is presentable as a set of linearized equations, for values of endogenous variables relatively close to their steady-state. As a result, only three p...
Nonlinear Stochastic Model of Return matching to the data of New York and Vilnius Stock Exchanges
Nonlinear Stochastic Model New York Vilnius Stock Exchanges
2010/10/19
We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.
Adaptive Wave Models for Option Pricing Evolution: Nonlinear and Quantum Schrödinger Approaches
Black--Scholes option pricing adaptive nonlinear Schr\"odinger equation
2010/10/18
Adaptive wave model for financial option pricing is proposed, as a high-complexity alternative to the standard Black--Scholes model. The new option-pricing model, representing a controlled Brownian mo...
Solvable Nonlinear Volatility Diffusion Models with Affine Drift
Solvable Nonlinear Volatility Diffusion Models Affine Drift
2010/11/1
We present a method for constructing new families of solvable one-dimensional di usions with linear drift and nonlinear di usion coecient functions, whose tran-sition densities are obtainable in anal...
Stock market integration in the Latin American markets: further evidence from nonlinear modeling
Stock market integration Latin American marketsp nonlinear modeling
2010/11/1
This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2...
On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
GCC stock markets oil prices linear and nonlinear analyses
2010/11/1
This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susceptible to oil price...