◆ Mathematical Foundation of Convexity Correctio

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This is a classic paper discussing convexity correction for lots of products: for example quanto in foreign exchange, CMS swap rate, etc. Its readers are advanced quantitative modeler or quants....

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2009-01-14

◆ Integrated risk assessment: current views of risk management

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以现代观点重新审视风险评估及管理，是很有启发意义的文章。...

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2009-01-07

◆ The effects of ageing and an environmental trust fund in an overlapping generati

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The effects of ageing and an environmental trust fund in an overlapping generations model on carbon emission reductions...

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2008-12-29

◆ Value at Risk Models in Finance

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by Simone Manganelli and Robert F. Engle 值得一读...

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2008-12-18

◆ Structural breaks and structural change in financial and other series

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时间序列数据的结构突变的侦查与检验！！...

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2008-12-03

◆ Exact relations between Luenberger productivity indicators and Malmquist product

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In this note we derive an exact relation between Luenberger productivity indicators and Malmquist productivity indexes....

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2008-11-22

◆ Nonparametric estimation of a dependent competing risks model for unemployment d

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Abstract In this paper we simultaneously analyze transitions from unemployment to employment and to nonparticipation. We estimate a dependent competing risks model with nonparametric specifications...

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2008-11-19

◆ Efficient Tests for an Autoregressive Unit Root

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单位根检验的经典论文...

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2008-11-12

◆ Analysis of Spatial Autocorrelation in House Prices

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This article examines spatial autocorrelation in transaction prices of single-family properties in Dallas, Texas. The empirical analysis is conducted using a semilog hedonic house price equation and...

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2008-11-08

◆ simulation based methods for financial time series

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simulation based methods for financial time series...

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2008-10-27

◆ on the ralative efficiency of the methods of estimating a dynamic simultaneous e

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该文献是1979年刊登在《international economic review》杂志上的一篇重要文献。该文从数理分析的角度，分别比较了两种动态联立方程模型估计方法的相对有...

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2008-10-17

◆ vector autoregressive models for multivariate time series

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vector regressive models for multivariate time series...

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2008-10-11

◆ NONLINEAR AND NON-GAUSSIAN STATE SPACE MODELING USING SAMPLING TECHNIQUES

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使用MCMC技术对非线性状态空间模型估计的2001的一篇论文 ...

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2008-10-09

◆ GTAP-E: An Energy-Environmental Version of the GTAP Model

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Energy is an important commodity in many economic activities. Its usage affects the environment via CO2 emissions and the Greenhouse Effect. Modeling the energy-economy-environment-trade linkages is a...

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2008-10-02

◆ Instrumental Variables Estimation in Stata

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Instrumental Variables Estimation in Stata...

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2008-09-22