Efficient Jacobian Evaluations For Estimating Zero Lower Bound Term Structure Models
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Author |
: Leo Krippner |
Publisher |
: |
Total Pages |
: 10 |
Release |
: 2014 |
ISBN-10 |
: OCLC:1308940154 |
ISBN-13 |
: |
Rating |
: 4/5 (54 Downloads) |
Synopsis Efficient Jacobian Evaluations for Estimating Zero Lower Bound Term Structure Models by : Leo Krippner
Faster extended Kalman filter estimations of zero lower bound models of the term structure are possible if the analytic properties of the Jacobian matrix for the measurement equation are exploited. I show that such results are straighforward to incorporate, at least in Monte-Carlo-based implementations, and that will facilitate fast and robust estimations of zero lower bound term structure models with the iterated extended Kalman filter.
Author |
: L. Krippner |
Publisher |
: Springer |
Total Pages |
: 436 |
Release |
: 2015-01-05 |
ISBN-10 |
: 9781137401823 |
ISBN-13 |
: 1137401826 |
Rating |
: 4/5 (23 Downloads) |
Synopsis Zero Lower Bound Term Structure Modeling by : L. Krippner
Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.
Author |
: Iris Claus |
Publisher |
: John Wiley & Sons |
Total Pages |
: 400 |
Release |
: 2019-04-29 |
ISBN-10 |
: 9781119565161 |
ISBN-13 |
: 1119565162 |
Rating |
: 4/5 (61 Downloads) |
Synopsis Contemporary Topics in Finance by : Iris Claus
The literature surveys presented in this edited volume provide readers with up-to-date reviews on eleven contemporary topics in finance. Topics include unconventional monetary policy, implicit bank guarantees, and financial fraud - all linked to the exceptional event of the Global Financial Crisis Explores how recent studies on inflation risk premia and finance and productivity have benefitted from new empirical methods and the availability of relevant data Demonstrates how angel investing, venture capital, relationship lending and microfinance have benefitted from increased research as they have become more seasoned Investigates crowdfunding and crypto-currencies which have both arisen from recent technological developments
Author |
: Jeffrey M. Wooldridge |
Publisher |
: MIT Press |
Total Pages |
: 1095 |
Release |
: 2010-10-01 |
ISBN-10 |
: 9780262232586 |
ISBN-13 |
: 0262232588 |
Rating |
: 4/5 (86 Downloads) |
Synopsis Econometric Analysis of Cross Section and Panel Data, second edition by : Jeffrey M. Wooldridge
The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Author |
: |
Publisher |
: |
Total Pages |
: 934 |
Release |
: 1987 |
ISBN-10 |
: UIUC:30112008993468 |
ISBN-13 |
: |
Rating |
: 4/5 (68 Downloads) |
Synopsis Applied Mechanics Reviews by :
Author |
: Uwe Naumann |
Publisher |
: SIAM |
Total Pages |
: 358 |
Release |
: 2012-01-01 |
ISBN-10 |
: 1611972078 |
ISBN-13 |
: 9781611972078 |
Rating |
: 4/5 (78 Downloads) |
Synopsis The Art of Differentiating Computer Programs by : Uwe Naumann
This is the first entry-level book on algorithmic (also known as automatic) differentiation (AD), providing fundamental rules for the generation of first- and higher-order tangent-linear and adjoint code. The author covers the mathematical underpinnings as well as how to apply these observations to real-world numerical simulation programs. Readers will find: examples and exercises, including hints to solutions; the prototype AD tools dco and dcc for use with the examples and exercises; first- and higher-order tangent-linear and adjoint modes for a limited subset of C/C++, provided by the derivative code compiler dcc; a supplementary website containing sources of all software discussed in the book, additional exercises and comments on their solutions (growing over the coming years), links to other sites on AD, and errata.
Author |
: Oliver Brock |
Publisher |
: MIT Press |
Total Pages |
: 334 |
Release |
: 2009 |
ISBN-10 |
: 9780262513098 |
ISBN-13 |
: 0262513099 |
Rating |
: 4/5 (98 Downloads) |
Synopsis Robotics by : Oliver Brock
State-of-the-art robotics research on such topics as manipulation, motion planning, micro-robotics, distributed systems, autonomous navigation, and mapping. Robotics: Science and Systems IV spans a wide spectrum of robotics, bringing together researchers working on the foundations of robotics, robotics applications, and analysis of robotics systems. This volume presents the proceedings of the fourth annual Robotics: Science and Systems conference, held in 2008 at the Swiss Federal Institute of Technology in Zurich. The papers presented cover a range of topics, including computer vision, mapping, terrain identification, distributed systems, localization, manipulation, collision avoidance, multibody dynamics, obstacle detection, microrobotic systems, pursuit-evasion, grasping and manipulation, tracking, spatial kinematics, machine learning, and sensor networks as well as such applications as autonomous driving and design of manipulators for use in functional-MRI. The conference and its proceedings reflect not only the tremendous growth of robotics as a discipline but also the desire in the robotics community for a flagship event at which the best of the research in the field can be presented.
Author |
: American Institute of Aeronautics and Astronautics |
Publisher |
: |
Total Pages |
: 896 |
Release |
: 2004 |
ISBN-10 |
: STANFORD:36105115201829 |
ISBN-13 |
: |
Rating |
: 4/5 (29 Downloads) |
Synopsis AIAA Journal by : American Institute of Aeronautics and Astronautics
Author |
: |
Publisher |
: |
Total Pages |
: 704 |
Release |
: 1995 |
ISBN-10 |
: UIUC:30112050127304 |
ISBN-13 |
: |
Rating |
: 4/5 (04 Downloads) |
Synopsis Scientific and Technical Aerospace Reports by :
Author |
: Cascais Portugal |
Publisher |
: Elsevier |
Total Pages |
: 1005 |
Release |
: 2016-06-06 |
ISBN-10 |
: 9781483101057 |
ISBN-13 |
: 1483101053 |
Rating |
: 4/5 (57 Downloads) |
Synopsis Proceedings of the Ninth Power Systems Computation Conference by : Cascais Portugal
Proceedings of the Ninth Power Systems Computation Conference