Webb9 dec. 2024 · Description. This article describes a maximum likelihood method for estimating the parameters of the standard square-root stochastic volatility model and a variant of the model that includes jumps in equity prices. The model is fitted to data on the S&P 500 Index and the prices of vanilla options written on the index, for the period 1990 … Webb8 apr. 2024 · Stan Hurn joined QUT as a Professor of Econometrics in the School of Economics and Finance in 1998. Background. 1992: graduated with a D.Phil. in …
Stan Hurn Discussion Papers / School of Economics and Finance ...
WebbStan Hurn, Nicholas Johnson, Annastiina Silvennoinen and Timo Teräsvirta CREATES Research Paper 2024-31. Transition from the Taylor rule to the zero ... ze-mail: [email protected] xe-mail: [email protected] 1. Keywords: liquidity trap, regime switching, smooth transition, structural change, WebbChristopher F Baum & Stan Hurn & Kenneth Lindsay, 2024. "WHITTLE: Stata module to compute long-memory parameter via Whittle method," Statistical Software Components … blender simplify faces
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WebbStan Hurn Biography Professor Hurn’s main research interests are in the field of time-series econometrics: Finance,Economics,Econometrics Activities Collapse all expand_more … WebbVance Martin, Stan Hurn and David Harris Frontmatter More information. x Contents 2.4.2 Moments of the Gradient 55 2.4.3 The Information Matrix 58 2.5 Asymptotic Properties 60 2.5.1 Consistency 60 2.5.2 Normality 63 2.5.3 Efficiency 65 2.6 Finite-Sample Properties 68 2.6.1 Unbiasedness 69 Webb28 nov. 2013 · Abstract. The occurrence of extreme movements in the spot price of electricity represents a significant source of risk to retailers. A range of approaches have been considered with respect to modelling electricity prices; these models, however, have relied on time‐series approaches, which typically use restrictive decay schemes placing … blender simple projects