Accounting for Growth
in New Developments in Productivity Analysis
August 2001; published online February 2013.
Chapter. Subjects: mathematical methods in economics. 18755 words.
This chapter explores alternative models of productivity change. It compares the conventional model of disembodied technical change developed by Solow and by Jorgenson and Griliches with a...
The Accuracy of Density Forecasts from Foreign Exchange Options
in Journal of Financial Econometrics
January 2005; published online August 2005.
Journal Article. Subjects: mathematical methods in economics. 9898 words.
Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this article is to systematically...
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
in Journal of Financial Econometrics
January 2007; published online August 2007.
Journal Article. Subjects: mathematical methods in economics. 12280 words.
We propose a multivariate nonparametric technique for generating reliable short-term historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent...
An ACD-ECOGARCH(1,1) Model
in Journal of Financial Econometrics
January 2010; published online November 2009.
Journal Article. Subjects: mathematical methods in economics. 3121 words.
In this paper we introduce an ACD-ECOGARCH(1,1) model. An exponential autoregressive conditional duration model is used to describe the dependence structure in durations of ultra-high-frequency...
Affine Models for Credit Risk Analysis
in Journal of Financial Econometrics
Published online April 2006.
Journal Article. Subjects: mathematical methods in economics. 9518 words.
Continuous-time affine models have been recently introduced in the theoretical financial literature on credit risk. They provide a coherent modeling, rather easy to implement, but have not yet...
After “Technical Progress and the Aggregate Production Function”
in New Developments in Productivity Analysis
August 2001; published online February 2013.
Chapter. Subjects: mathematical methods in economics. 2578 words.
This chapter presents a speech by Robert M. Solow, whose seminal 1957 paper laid the conceptual foundations for total factor productivity measurement, and provided remarks assessing both...
Aggregate Productivity Growth
in New Developments in Productivity Analysis
August 2001; published online February 2013.
Chapter. Subjects: mathematical methods in economics. 25639 words.
This chapter seeks to synthesize and extend the emerging literature on the connection between micro- and aggregate productivity growth dynamics. It focuses primarily on the empirical...
Aggregation of Nonparametric Estimators for Volatility Matrix
in Journal of Financial Econometrics
January 2007; published online April 2007.
Journal Article. Subjects: mathematical methods in economics. 9067 words.
An aggregated method of nonparametric estimators based on time-domain and state-domain estimators is proposed and studied. To attenuate the curse of dimensionality, we propose a factor modeling...
Aggressive Elites and Vulnerable Entrepreneurs: Trust and Cooperation in the Shadow of Conflict
in The Oxford Handbook of the Economics of Peace and Conflict
April 2012; published online November 2012.
Article. Subjects: economics; econometric and statistical methods and methodology: general. 9174 words.
This article explores the tendency for poverty and conflict, as well as for prosperity and peace, to reinforce one another, examining two specific factors. One is the type of rents that adversaries...
Algorithms for estimating parametric nonlinear models
in Modelling Nonlinear Economic Time Series
December 2010; published online May 2011.
Chapter. Subjects: mathematical methods in economics. 10930 words.
This chapter contains an introduction to estimating parametric nonlinear models. Estimation has to be carried out using numerical algorithms. Both algorithms not using derivatives of the function to...