Zobrazeno 1 - 7
of 7
pro vyhledávání: '"LELAND E. FARMER"'
Publikováno v:
The Journal of Finance. 78:1279-1341
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6a3b9e607901b821da0e2da8311fd857
https://doi.org/10.1111/jofi.13229
https://doi.org/10.1111/jofi.13229
Autor:
Leland E. Farmer
Publikováno v:
Quantitative Economics. 12:41-76
Existing methods for estimating nonlinear dynamic models are either highly computationally costly or rely on local approximations which often fail adequately to capture the nonlinear features of interest. I develop a new method, the discretization fi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8673729c2f9ec87c9e65cd3321cc34f7
https://doi.org/10.3982/qe1353
https://doi.org/10.3982/qe1353
Autor:
Leland E. Farmer, Roger E.A. Farmer
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8bed1d64c25a83daf2330a665ac1fddb
https://doi.org/10.2139/ssrn.4200690
https://doi.org/10.2139/ssrn.4200690
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b6986f36ea5ca2bacf8cadd03b383869
https://doi.org/10.2139/ssrn.3968718
https://doi.org/10.2139/ssrn.3968718
Autor:
Alexis Akira Toda, Leland E. Farmer
Publikováno v:
Quantitative Economics. 8:651-683
Approximating stochastic processes by finite‐state Markov chains is useful for reducing computational complexity when solving dynamic economic models. We provide a new method for accurately discretizing general Markov processes by matching low orde
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a4e844a56bee44b1dc5126d60ce877e7
https://doi.org/10.3982/qe737
https://doi.org/10.3982/qe737
Publikováno v:
SSRN Electronic Journal.
For many benchmark predictor variables, short-horizon return predictability in the U.S. stock market is local in time as short periods with significant predictability ('pockets') are interspersed with long periods with little or no evidence of return
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c6344e4691a7e9b57267da63c76b0fcd
https://doi.org/10.2139/ssrn.3152386
https://doi.org/10.2139/ssrn.3152386
Autor:
Alexis Akira Toda, Leland E. Farmer
Publikováno v:
SSRN Electronic Journal.
Approximating stochastic processes by finite-state Markov chains is useful for reducing computational complexity when solving dynamic economic models. We provide a new method for accurately discretizing general Markov processes by matching low order
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d35dd1484772ba6821f8d7e399b98cef
https://doi.org/10.2139/ssrn.2585859
https://doi.org/10.2139/ssrn.2585859