Browsing by Author "Altmeyer, Patrick"

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  • Agustí, Marc; Altmeyer, Patrick; Vidal-Quadras, Ignacio (2021-07-20)
    Vector autoregression (VAR) models are a popular choice for forecasting of macroeconomic time series data. Due to their simplicity and success at modelling the monetary economic indicators VARs have become a standard tool ...
  • Altmeyer, Patrick; Grapendal, Jacob Daniel; Pravosud, Makar; Quintana, Gand Derry (2018)
    This paper evaluates the calibration method of the Heston model presented by Alòs, De Santiago, and Vives (2015). We propose a slightly more efficient configuration of the optimization procedure by introducing initial ...

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