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We investigate how various treatments of exact exchange affect defect charge transition levels and band edges in hybrid functional schemes for a variety of systems. We distinguish the effects of long-range vs short-range exchange and of local vs nonlocal e ...
This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...
We study whether monetary policy should target the exchange rate in a two-country model with non-atomistic wage setters, non-traded goods and different degrees of exchange- rate pass through. Commitment to an exchange rate target reduces the labor market d ...
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathe ...
Structural models of default calibrated to historical default rates, recovery rates, and Sharpe ratios typically generate Baa-Aaa credit spreads that are significantly below historical values. However, this "credit spread puzzle" can be resolved if one acc ...
Most affine models of the term structure with stochastic volatility predict that the variance of the short rate should play a 'dual role' in that it should also equal a linear combination of yields. However, we find that estimation of a standard affine thr ...
This paper presents an equilibrium model in a pure exchange econ- omy when investors have three possible sources of heterogeneity. In- vestors may di§er in their beliefs, in their level of risk aversion and in their time preference rate. We study the impac ...
A daily return reversal measure of liquidity is developed and estimated using a new comprehensive ultra-high frequency data set of foreign exchange rates during the financial crisis period of 2007--2008. The measure captures market participants' perception ...
We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...
The syntheses and single crystal X-ray structural analysis of five novel hetero- and homometallic μ3-oxo trinuclear cluster with the formula [FeIII2MII(μ3-O)(μ-O2CCH3)6(4-Rpy)3] · x(4-Rpy) · y(CH3CN) where R ) Ph for 1(Fe2Mn),2(Fe2Fe), 3(Fe2Co), 4(Fe2Ni) a ...
