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Dai and Singleton (2000) study a class of term structure models for interest rates that specify the short rate as an affine combination of the components of an N-dimensional affine diffusion process. Observable quantities in such models are invariant under ...
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 ...
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 ...
To determine Regions of Interest (ROI) in a scene, percep-tual saliency of regions has to be measured. When scenes are viewed with the same context and motivation, these ROIs are often highly correlated among different people. As a result, it is possible t ...
Currently there is a strong trend toward sector-specific regulatory authorities across sectors and countries. However, liberalization has not led to a common European regulatory model. The circumstance that different old and new regulatory authorities exis ...
We characterize a three-factor model of commodity spot prices, convenience yields, and interest rates, which nests many existing specifications. The model allows convenience yields to depend on spot prices and interest rates. It also allows for time-varyin ...
This paper investigates whether monetary and exchange rate policies are important for the success of major fiscal adjustments. We assess their role controlling for other determinants of success identified in the literature, including the size and compositi ...
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 ...
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 ...
Multiple description coding offers an elegant and competitive solution for data transmission over lossy packetbased networks, with a graceful degradation in quality as losses increase. In the same time, coding techniques based on redundant transforms give ...
