Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 27 for “"stylised facts"”.
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How have world shocks affected the business cycles of Africa's frontier economies?
… (R. L. Male, 2009) who have established a set of stylised facts for the fluctuations of business cycles in developing countries, to examine the impact of world shocks on the FMEs through the development of the stylised facts for these economies. This paper goes on to assess the suitability of the …
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Developing Country Business Cycles: Characterizing the Cycle and Investigating the Output Persistence Problem
Identifying business cycle stylised facts is essential as these often form the basis for the construction and validation of theoretical business cycle models. Furthermore, understanding the cyclical patterns in economic activity, and their causes, is important to the decisions of both policymakers …
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Current account dynamics and macroeconomic policy
… 2013). As a result, our first study establishes stylised facts about the interaction of fiscal policy and the external balance by analysing the fiscal determinants of the current account. The second study establishes stylised facts about the interaction of monetary policy and the external balance …
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Correlation emergence in two coupled limit order books in the fluid limit
… recovery of an Epps effect. We show how various stylised facts depend on the model parameters and the numerical scheme and discuss various strengths and weaknesses of the approach. We demonstrate how the Epps effect depends on different choices of time and price discretisation and show how an …
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Product innovation as a static game of incomplete information in a non-Bayesian environment
… go as far as to say that this is one of the "stylised facts" in the innovation literature. The concept of incumbent failure to innovate receives support both in theoretic modelling (e.g. Ghemawat 1991, Reinganum, 1983) and in empirical case studies (e.g. Christensen 1993, Henderson and Clark …
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Bayesian estimation of stochastic volatility models with fat tails and correlated errors applied to the South African financial market
… for good estimates of volatility. To capture the stylised facts about asset returns we used the model extended for fat tails and correlated errors. To support this model against the basic model of Taylor (1986), we computed Bayes Factors of Jacquier, Polson and Ross (2004). The extended model was …
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Asymptotics of the Rough Heston Model
… Such models are able to capture a wide range of stylised facts that classical models simply do not. While these models have sound mathematical underpinnings, they are difficult to implement, largely due to the fact that fractional Brownian motion is neither Markovian nor a semimartingale. One …
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Essays in volatility modelling
… nowcast and forecast. Our model can capture most stylised facts of asset returns even with Gaussian innovations and is simple to implement. Moreover, we show that our model converges weakly to the GARCH-type diffusion as the length of the discrete time intervals between observations goes to zero. …
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Analytical Solution of the Characteristic Function in the Trolle-Schwartz Model
… forward interest rate model with several stylised facts such as stochastic volatility. They derived pricing formulae in order to price bonds and bond options, which can be altered to price interest rate options such as caplets, caps and swaptions. These formulae involve implementing …
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Arms Race, Military Expenditure and Economic Growth in India
… are concentrated which link well with the core stylised facts of the Indian defence effort and its developmental problems: the 'security dilemma' in terms of its relationship with its neighbour, Pakistan; the core factors that motivate the demand for defence; the economic impact of …
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Pricing multi-asset options in exponential levy models
… by Levy processes, which are able to account for stylised facts ´ that traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are implemented and tested: the multi- ´ variate Variance Gamma (VG) model and the multivariate normal …
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Markov-Switching models and resultant equity implied volatility surfaces: a South African application
… as certain features do not follow some empirical stylised facts we see from the observation of actual asset prices. In particular, the constant parameter idea behind Geometric Brownian Motion is flawed. It is argued that information flow dictates stock price movements and information is a function …
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A machine learning hybrid approach to forecasting equity returns volatility: A South African perspective.
… a model or group of models to capture volatility stylised facts inherent in a time series dataset used. The approach is based on the idea that various econometric and machine learning forecasting models each have their own advantages and disadvantages, and that combining them results in a stronger …
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Financial evolution and income inequality: channels and evidence
… literature review and use of a new set of stylised facts, the initial chapter of the thesis reviews the association between the evolution of financial aspects of the economy and income distribution. The outcomes demonstrate that financial globalisation, financial development, and financial …
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Money, transactions and the business cycle: inspecting the mechanism
… RRC model, remains weak. When compared with the stylised facts characterising the U.S. business cycle data, the CIA and RRC approaches exhibit the 'dichotomy' typical of the standard RBC literature: the volatility of real expenditure and working hours (and the respective correlation with output) …
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Complementary Currencies: A Systems Theory Approach to Monetary Macroeconomics
… The models are developed and simulated using stylised facts, demonstrating "Cantillon Effects". The models demonstrate that complementary currencies may be regarded as useful coordinating mechanisms in regions where universal money is lacking. However, the introduction of secondary monies is …
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Industrial Allocation and Growth Trajectories: a multi-level approach
… and empirical and the analysis reveals important stylised facts of growth at the firm, sector and country levels. The text is structured in four sections comprising 9 chapters. Section I introduces the theoretical foundations of the work and the limitations of Evolutionary and Kaldorian schools to …
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Modelling energy markets and pricing energy derivatives
… In Chapter-3 we try to accommodate observed stylised facts in the spot price behaviour, namely mean reversion and jumps. For the first time in the literature we test a jump diffusion model, and a mean reversion jump diffusion model against our broad data set and compare the findings to the …
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Essays in Modern Macroeconomics
… begins by documenting two stylised facts. Firstly, over the past 70 years the positive cross-country relationship between aggregate consumer prices and real output per capita has strengthened (i.e. a rise in the Harrod-Balassa-Samuelson effect), as demonstrated using data …
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Analysis and Modelling of Financial Logarithmic Return Data using Multifractal and Agent-Based Techniques
… two empirical log return time series for the stylised facts of financial data. I then use Multifractal Detrended Fluctuation Analysis to study the empirical log returns for multifractal scaling. I find that extreme events are inimical to the scaling in highly leptokurtic data. I also find that …
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