[PDF] Top 20 Using non linear/chaotic dynamics for interest rate determination
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Using non linear/chaotic dynamics for interest rate determination
... TABLE S-I: PARAMETERS USED TO SIMULATE ONE FACTOR B&N PROCESS 115 TABLE 5-2: MONTE-CARLO ESTIMATES FOR THE MSE BETWEEN THE THEORETICAL AND APPROXIMATED TERM STRUCTURE 117 TABLE 5-3: MONT[r] ... See full document
195
Modelling interest rate pass through in Rwanda: is the interest rate dynamics symmetric or asymmetric ?
... a linear relationship between the policy rate and the bank retail rates and shows how changes in the policy rate may be transmitted to bank retail rates; equation (8) formed the basis of the ... See full document
33
Application of Hierarchical Model in Non Life Insurance Actuarial Science
... in non-life insurance businesses are increasingly complex, and the tendency of correlation and heterogeneity is gradually ...traditional rate de- termination method only analyzes the loss data of the same ... See full document
7
Modelling and Forecasting Unemployment Non-linear Dynamics Using Spectral Analysis
... and non-linearity. Our study results show that unemployment in Croatia is non-stationary and non-linear with a long memory and adverse effects lasting in the long ...is non-stationary ... See full document
11
Implied Bond and Derivative Prices Based on Non Linear Stochastic Interest Rate Models
... However, non-linear stochastic differential equations for interest rate models have been proposed that captures the non-linear dynamics of the spot interest ...of ... See full document
7
Testing Non Linear Dynamics, Long Memory and Chaotic Behaviour of Energy Commodities
... the rate of convergence (divergence) of two initially close points along their trajectory over ...this rate is measured by an exponential ...of linear or nonlinear ... See full document
18
Linear or non Linear modeling for ENSO dynamics?
... the dynamics is divided into a slow and a very fast and chaotic component, and the fast part is considered to be random (usually modeled as white noise) ...by using projection- perturbation ... See full document
31
Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations
... copula-based non-linear multivariate interest rates models that account simultaneously for observed non-linearities and correlation across short-term interest ...The dynamics of ... See full document
46
Generalized Synchronization of Typical Fractional Order Chaos System
... Since chaotic system in nonlinear system has the property of extreme sensitivity [1] to initial values and the unpredictable nature in a long time [2], so in order to take full advantage of chaos in practice, the ... See full document
8
Non Linear Fiscal Regimes and Interest Rate Policy
... local dynamics around (π ∗ , a ∗ 1 ), no stable equilibria ...is non-linear, even if the steady state (π ∗ , a ∗ 1 ) is locally unstable, there exists a saddle connection with the high-debt steady ... See full document
13
Design and simulation of a non-linear, discontinuous, flight control system using rate actuated inverse dynamics
... and rate of deflection of the control ...the rate of deflection of the control surface is caused by the amount of torque available which generally increases with the size of ...of non-linear ... See full document
29
Exchange Rate Forecasting Using Non-linear Threshold Models
... and chaotic in ...exchange rate of Nigeria in relation to United States of American dollar as bench ...are chaotic, volatile and very difficult to forecast and this applies to Exchange rate ... See full document
7
Nonparametric Prediction of Stock Returns Based on Yearly Data: The Long-Term View
... It is a goodness-of-fit estimator knowing the past and it is therefore infeasible when predicting. We have included it for comparative reasons to illustrate that our feasible predictor based on prior information is close ... See full document
39
Non-Linear Electromechanical System Dynamics
... but non-linearly coupled subsystems is carried out using appropriate mathematical ...its dynamics analyzed by designing a simulated model, the system has to be run at twice the frequency of the ... See full document
75
Dynamic Programming Method For Impulsive Control Problems
... The first treatment of the investment and consumption problem in a continuous-time framework originated in the seminal papers of [4], [5]. Merton used dynamic programming principle to construct an explicit optimal ... See full document
134
Financial Sector Restructuring in Pakistan
... The financial sector reforms includes: i liberalization of interest rates by switching from an administrated interest rate setting to a market based interest rate determination; ii reduc[r] ... See full document
25
Mean Reverting Stochastic Processes, Evaluation of Forward Prices and Interest Rates
... bond interest rates, is going at finance market, the second, forward prices, at the commodity ...price/interest rate dynamics and long term dynamics (entire forward ... See full document
37
Non linear convergence in Asian interest rates and inflation rates
... In such integrated markets, interest rates (nominal and real) and inflation across countries should exhibit a long-run convergence trend. On the other hand, financial crises and turmoil were also significant in ... See full document
37
In Search of a Warning Strategy Against Exchange rate Attacks: Forecasting Tactics Using Artificial Neural Networks
... The prediction exercised here is performed in a discrete dynamics environment, based on the daily fluctuations of the interbank overnight interest rate, using artificial neural networks [r] ... See full document
18
Accurate Bit Error Rate Calculation for Asynchronous Chaos-Based DS-CDMA over Multipath Channel
... the chaotic sequences generated by a discrete-time nonlinear ...of using chaotic spreading sequences relies on the fact that the spreaded signal is less vulnerable to ...analog chaotic ... See full document
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