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Next, by utilizing a fast computational method for how the rare event occurs and the proposed importance sampling method, we provide an efficient simulation algorithm to esti- mate
Figure 2: Slope of a simple linear regression as a function of past horizon τ < (in log scale) for (black symbols) futures daily data and (grey symbols) spot monthly data.. Plain
In Table 1 , the assets were splitted into two groups, (a) containing the mean returns of the 20 assets with the highest and lowest eigenvector cen- trality, and (b) the mean
if a country appears in a large number of dif- ferent communities in the multi-network (and thus is never isolated) then it relies on several different clusters of country-product
If poor agents pay higher tax rates than rich agents, eventually all wealth becomes concentrated in the hands of a single agent.. By contrast, if poor agents are subject to lower
With only minimal ingredients, this model is able to capture the aggregate e ff ect of idiosyncratic shocks to aver- aged economic output growth measures.. It thereby establishes
We also investigate the saver’s decision of whether to manage her/his portfolio personally ( DIY investor ) or hire, against the pay- ment of a management fee, a professional
Instead of trying to develop a model which takes accurate noise into consideration, we aim to develop in this paper a modified L´evy jump diffusion model with market sentiment memory
