Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Lopes Moreira Da Veiga, María Helena"'
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
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This paper evaluates the application of two well-known asymmetric stochastic volatility (ASV) models to option price forecasting and dynamic delta hedging. They are specied in discrete time in contrast to the classical stochastic volatility (SV) mode
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::029048fc205efc99eba0522c04151e32
http://hdl.handle.net/10016/28234
http://hdl.handle.net/10016/28234
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
The objective of this paper is to analyze the effects of uncertainty on density forecasts of stationary linear univariate ARMA models. We consider three specific sources of uncertainty: parameter estimation, error distribution, and lag order. Dependi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::3baa1c17e14ea946df3d6fd3075b1b56
https://hdl.handle.net/10016/34948
https://hdl.handle.net/10016/34948
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
The tourism industry and in particular the hotel sector, is a highly competitive market. In this context, it is important that an hotel chain operates efficiently if it wants to maintain its market position. The objective of this work is to compare t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::bfe6c53a930ec2f4960f615f1aa53883
https://hdl.handle.net/10016/23897
https://hdl.handle.net/10016/23897
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
In this paper we propose a new class of asymmetric stochastic volatility (SV) models, which specifies the volatility as a function of the score of the distribution of returns conditional on volatilities based on the Generalized Autoregressive Score (
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::e6d2a361662a9ebceca7404012fcec31
http://hdl.handle.net/10016/19577
http://hdl.handle.net/10016/19577
Firms face a continuous process of technological and environmental changes that implies making managerial decisions in a dynamic context. However, costs and other constraints prevent firms from making instant adjustments towards optimal conditions an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::8c28375540e8ef015f4f3f8f7506f385
https://e-archivo.uc3m.es/bitstream/handle/10016/17275/ws131918.pdf?sequence=1
https://e-archivo.uc3m.es/bitstream/handle/10016/17275/ws131918.pdf?sequence=1
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
Firms face a continuous process of technological and environmental changes that implies making managerial decisions in a dynamic context. However, costs and other constraints prevent firms from making instant adjustments towards optimal conditions an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::dbaf06960be0d50d6d8a7f39a7f48836
http://hdl.handle.net/10016/17275
http://hdl.handle.net/10016/17275
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
Estimation of the one sided error component in stochastic frontier models may erroneously attribute firm characteristics to inefficiency if heterogeneity is unaccounted for. However, it is not clear in general in which component of the error distribu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::a0acaea6d9ccc395ecb546306225f444
http://hdl.handle.net/10016/14335
http://hdl.handle.net/10016/14335
Autor:
Mao, Xiuping
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
Mención Internacional en el título de doctor
This dissertation focuses on the analysis of Stochastic Volatility (SV) models with leverage effect. We propose a general family of asymmetric SV (GASV) models and consider in detail two particular
This dissertation focuses on the analysis of Stochastic Volatility (SV) models with leverage effect. We propose a general family of asymmetric SV (GASV) models and consider in detail two particular
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::278573c982025205f01c83b06ef059dd
http://hdl.handle.net/10016/20582
http://hdl.handle.net/10016/20582
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
In this thesis we study the computation and evaluation of density forecasts under model uncertainty in time series univariate models. First, we analyze the effects of uncertainty on density forecasts of linear univariate ARMA models. We consider thre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::b1c0725e575c227cff763db7665d1e13
http://hdl.handle.net/10016/24034
http://hdl.handle.net/10016/24034
Autor:
Galán Camacho, Jorge Eduardo
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
Mención Internacional en el título de doctor
In this thesis, we put forward the modeling of heterogeneity in a Bayesian context by capturing both observed and unobserved heterogeneity in the inefficiency distribution under static and dynamic f
In this thesis, we put forward the modeling of heterogeneity in a Bayesian context by capturing both observed and unobserved heterogeneity in the inefficiency distribution under static and dynamic f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::084bccf0e5e674f929278e9f69e9240d
https://hdl.handle.net/10016/19801
https://hdl.handle.net/10016/19801