Forecasting High-Frequency Volatility Shocks, Holger K?mm

Автор: G.P. Dwyer; R.W. Hafer
Название: The Stock Market: Bubbles, Volatility, and Chaos
ISBN: 9048157811 ISBN-13(EAN): 9789048157815
Издательство: Springer
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Цена: 23757.00 р.
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Описание: Proceedings of the Thirteenth Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis

Автор: Mele, Antonio, Fornari, Fabio
Название: Stochastic Volatility in Financial Markets
ISBN: 1461370450 ISBN-13(EAN): 9781461370451
Издательство: Springer
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Цена: 23757.00 р.
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Описание: Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts.

Автор: Kranz
Название: Persistent Stochastic Shocks in a New Keynesian Model with Uncertainty
ISBN: 3658156384 ISBN-13(EAN): 9783658156381
Издательство: Springer
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Цена: 9083.00 р.
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Описание: The book introduces the New Keynesian framework, historically through a literature overview and through a step-by-step derivation of a New Keynesian Phillips curve, an intertemporal IS curve, and a targeting rule for the central bank. This basic version is then expanded by introducing cost and demand shocks and uncertainty. The latter enters the model via second order Taylor approximation instead of linearization. Bringing all equations together results in an equilibrium condition which is simulated with a wide range of parameter values, including possible crisis scenarios. The author finds that accounting for uncertainty – regarding growth and inflation expectations – can lead to lower nominal interest rates set by the central bank.