Zobrazeno 1 - 10
of 17
pro vyhledávání: '"A S Hurn"'
Publikováno v:
Journal of Financial Econometrics.
Self- and cross-excitation in point processes are commonly captured in the financial econometrics literature using a multivariate exponential memory kernel. In this article, the exponential assumption is relaxed and the resultant non-parametric memor
Publikováno v:
International Journal of Disability, Development and Education. 57:145-153
Physical rehabilitation day hospitals are widely used community‐based services designed to meet the medical and rehabilitation needs of older people. While there is evidence for the effectiveness of these services, concerns about the shortcomings o
Autor:
A. S. Hurn, V. A. Muscatelli
Publikováno v:
Oxford Bulletin of Economics and Statistics. 54:543-556
The paper examines the relevance of the Lucas critique for the demand for broad money (M4) in the UK. The authors adopt the methodology proposed by Engle and Hendry (1989) for testing superexogeneity. After presenting a conditional ECM model for M4,
Publikováno v:
Economic Analysis and Policy (EAP). 38(2):345-368
Finding the minimum of an objective function, such as a least squares or negative log-likelihood function, with respect to the unknown model parameters is a problem often encountered in econometrics. Consequently, students of econometrics and applied
This article describes a maximum likelihood method for estimating the parameters of the standard square-root stochastic volatility model and a variant of the model that includes jumps in equity prices. The model is fitted to data on the S&P 500 Index
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::25c35909b2e23b8876356952369bf004
Autor:
A. D. McDonald, A. S. Hurn
Publikováno v:
Mathematics and Computers in Simulation. 43:405-412
Times-series data which are observed at irregular time intervals often arise in economics and the bio-sciences. Existing methods for modelling these data have focused on the discretisation of continuous processes. A method is proposed for fitting cyc
This paper investigates several competing procedures for computing the price of European and digital options in which the underlying model has a characteristic function that is known in at least semi-closed form. The algorithms for pricing the option
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::540c834608ced04a40e5867c0f54233a
http://www.ncer.edu.au/papers/documents/WP90.pdf
http://www.ncer.edu.au/papers/documents/WP90.pdf
Autor:
A. S. Hurn, Vito Muscatelli
Publikováno v:
The Manchester School. 64:70-78
In this paper, the authors report a demand function for M4 which is identified as the key broad aggregate in the current U.K. financial environment. They estimate dynamic equations over the period 1968-92, which impose long-run elasticities obtained
Autor:
A. S. Hurn, Robert E. Wright
Publikováno v:
The Economic Journal. 104(423):363-71
This paper tests the main implications of models of irreversible investment using data from operations in the oil fields in the North Sea. Discrete-time hazard regression models are used to ascertain the influence of economic variables, the expected
Autor:
A. S. Hurn
Publikováno v:
Scottish Journal of Political Economy. 40:311-322