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  1. Second-order approximation of dynamic models with time-varying risk
    Author: Benigno, Gianluca; Benigno, Pierpaolo; Nisticò, Salvatore
    Published: 2010

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1 (16633)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 16633
    Subjects: Schätztheorie; Nichtlineare Optimierung; Risiko; Risikoprämie
    Scope: 23 S.
    Notes:

    Parallel als Online-Ausg. erschienen
  2. Second-order approximation of dynamic models with time-varying risk
    Author: Benignoand, Gianluca; Benigno, Pierpaolo; Nisticò, Salvatore
    Published: 2010
    Publisher:  Centre for Economic Performance, London

    This paper provides first and second-order approximation methods for the solution of nonlinear dynamic stochastic models in which the exogenous state variables follow conditionally-linear stochastic processes displaying time-varying risk. The... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    This paper provides first and second-order approximation methods for the solution of nonlinear dynamic stochastic models in which the exogenous state variables follow conditionally-linear stochastic processes displaying time-varying risk. The first-order approximation is consistent with a conditionally-linear model in which risk is still timevarying but has no distinct role - separated from the primitive stochastic disturbances - in influencing the endogenous variables. The second-order approximation of the solution, instead, is sufficient to get this role. Moreover, risk premia, evaluated using only a first-order approximation of the solution, will be also time varying. "This paper provides first and second-order approximation methods for the solution of non-linear dynamic stochastic models in which the exogenous state variables follow conditionally-linear stochastic processes displaying time-varying risk. The first-order approximation is consistent with a conditionally-linear model in which risk is still time-varying but has no distinct role -- separated from the primitive stochastic disturbances -- in influencing the endogenous variables. The second-order approximation of the solution, instead, is sufficient to get this role. Moreover, risk premia, evaluated using only a first-order approximation of the solution, will be also time varying"--National Bureau of Economic Research web site

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CEP discussion paper / Centre for Economic Performance ; 1033
    Subjects: Schätztheorie; Nichtlineare Optimierung; Risiko; Risikoprämie
    Scope: Online-Ressource (PDF-Datei: 23 S., 253,91 KB), graph. Darst.
  3. Filtering non-linear state space models
    methods and economic applications
    Author: Lee, Kai Ming
    Published: 2010
    Publisher:  Thela Thesis, [Amsterdam]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    B 369730
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Print
    ISBN: 9789036101691
    Series: Tinbergen Institute research series ; 474
    Research series / Universiteit van Amsterdam
    Subjects: Zustandsraummodell; Stochastischer Prozess; Nichtlineare Optimierung; Monte-Carlo-Simulation; Algorithmus
    Scope: 138 S., graph. Darst.
    Notes:

    Zsfassung in niederl. Sprache

    Zugl.: Amsterdam, Vrije Univ., Diss., 2010
  4. Why do firms use non-linear incentive schemes?
    experimental evidence on sorting and overconfidence
    Author: Larkin, Ian; Leider, Stephen
    Published: 2010
    Publisher:  Harvard Business School, Cambridge, Mass.

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: HBS working papers ; 10-078
    Subjects: Leistungsanreiz; Leistungsentgelt; Nichtlineare Optimierung; Verhaltensökonomik; Experiment
    Scope: Online-Ressource (34 S.), graph. Darst.
  5. Applying quadratic scoring rule transparently in multiple choice settings
    a note
    Published: 2010
    Publisher:  Univ. [u.a.], Jena

    The quadratic scoring rule (QSR) is often used to guarantee an incentive compatible elicitation of subjective probabilities over events. Experimentalists have regularly not been able to ensure that subjects fully comprehend the consequences of their... more

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    Staats- und Universitätsbibliothek Bremen
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 78 (2010.021)
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    The quadratic scoring rule (QSR) is often used to guarantee an incentive compatible elicitation of subjective probabilities over events. Experimentalists have regularly not been able to ensure that subjects fully comprehend the consequences of their actions on payoffs given the rules of the games. In this note, we present a procedure that allows the transparent use of the QSR even in multiple-choice scenarios. For that purpose, two methodological means are applied: an alternative representation of the score and a short learning period to familiarize subjects with the payoff mechanism. The results suggest that both means were necessary and successful in facilitating subjects' understanding of the rule. -- Quadratic scoring rule ; experimental methodology ; experimental design

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/32581
    Series: Jena economic research papers ; 2010,021
    Subjects: Präferenztheorie; Nichtlineare Optimierung; Experimentelle Ökonomik; Experiment
    Scope: Online-Ressource (22 S.), graph. Darst.
    Notes:

    Parallel als Druckausg. erschienen