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Accounting for Growth

Edited by Jeremy Greenwood and Boyan Jovanovic.

in New Developments in Productivity Analysis

August 2001; p ublished online February 2013 .

Chapter. Subjects: Econometrics and Mathematical 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...

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Accounting for Heterogeneity in Growth Incidence in Cameroon Using Recentered Influence Function Regression

B. Essama-Nssah, Saumik Paul and Léandre Bassolé.

in Journal of African Economies

November 2013; p ublished online May 2013 .

Journal Article. Subjects: Welfare and Poverty; Economywide Country Studies; Urban, Rural, and Regional Economics; Microeconomics; Single Equation Models; Single Variables. 9781 words.

This paper frames growth incidence analysis within the logic of social impact evaluation understood as an assessment of variations in individual and social outcomes attributable to shocks...

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Accounting for Heterogeneity in Multicrop Micro-Econometric Models: Implications for Variable Input Demand Modeling

Alain Carpentier and Elodie Letort.

in American Journal of Agricultural Economics

January 2012; p ublished online November 2011 .

Journal Article. Subjects: Production and Organizations; Econometric Modelling; Agricultural Economics. 8565 words.

This article aims to show that if the farm sample under consideration is characterized by significant heterogeneity, recovering output-specific input uses or modeling farm-level input uses...

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The Accuracy of Density Forecasts from Foreign Exchange Options

Peter Christoffersen and Stefano Mazzotta.

in Journal of Financial Econometrics

January 2005; p ublished online August 2005 .

Journal Article. Subjects: Financial Markets; Econometrics and Mathematical 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...

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Accurate Methods for Approximate Bayesian Computation Filtering

Laurent E. Calvet and Veronika Czellar.

in Journal of Financial Econometrics

September 2015; p ublished online July 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Financial Forecasting and Simulation; Econometric Modelling. 9894 words.

The Approximate Bayesian Computation (ABC) filter extends the particle filtering methodology to general state-space models in which the density of the observation conditional on the state...

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Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent

Francesco Audrino and Fabio Trojani.

in Journal of Financial Econometrics

January 2007; p ublished online August 2007 .

Journal Article. Subjects: Financial Markets; Econometrics and Mathematical 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...

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An ACD-ECOGARCH(1,1) Model

Claudia Czado and Stephan Haug.

in Journal of Financial Econometrics

January 2010; p ublished online November 2009 .

Journal Article. Subjects: Financial Markets; Econometrics and Mathematical 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...

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Adaptive Model-Predictive Climate Policies in a Multicountry Setting

Thierry Bréchet, Carmen Camacho and Vladimir M. Veliov.

in The Oxford Handbook of the Macroeconomics of Global Warming

January 2015; p ublished online May 2015 .

Article. Subjects: Economics; Agricultural, Environmental, and Natural Resource Economics; Econometrics and Mathematical Economics. 11716 words.

This chapter extends the use of integrated assessment models (IAMs) by defining rational policies based on predictive control and adaptive behavior. After a review of the main IAMs, the...

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Adaptive Realized Kernels

Marine Carrasco and Rachidi Kotchoni.

in Journal of Financial Econometrics

September 2015; p ublished online May 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Economics. 9451 words.

We design adaptive realized kernels to estimate the integrated volatility in a framework that combines a stochastic volatility model with leverage effect for the efficient price and a...

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Adding The Time Dimension: Optimal Rebalancing

Mark Kritzman, Simon Myrgren and Sebastien Page.

in The Oxford Handbook of Quantitative Asset Management

December 2011; p ublished online November 2012 .

Article. Subjects: Economics; Financial Markets; Econometric and Statistical Methods and Methodology: General. 5990 words.

A technique called dynamic programming can be used to identify an optimal rebalancing schedule, which significantly reduces rebalancing and sub-optimality costs. Dynamic programming...

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