Gustavo Schwenkler - Dokumente zum Namen

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Estimating the Dynamics of Consumption Growth by Gustavo Schwenkler...

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We estimate models of consumption growth that allow for long-run risks and disasters using data for a series of countries over a time span of 200 years. Our est

Abstracts | 8th World Congress

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Gustavo Schwenkler (Boston University School of Management, USA). Joint work with Kay Giesecke. Tuesday June 3, 15:00-15:30 | session 2.8 | Stochastic ...

Filtered Likelihood for Point Processes by Kay Giesecke, Gustavo...

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Point processes are widely used in finance and economics to model the timing of defaults, market transactions, unemployment spells, births, and a range of other

MF 702 – Fundamentals of Financenanopdf.com › here-people_pdf

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Professor Gustavo Schwenkler. Office: SMG 515E. . Office hours: Mondays and Wednesdays, 1:30-‐2:30 pm. Teaching.

Inference for Large Financial Systems by Kay Giesecke, Gustavo...

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We treat the parameter estimation problem for mean-field models of large interacting financial systems such as the banking system and a pool of assets held by a

The Systemic Effects of Benchmarking by Diogo Duarte, Kyounghwan Lee,...

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We show that an institutional investor whose performance is evaluated relative to a narrow benchmark trades in ways that exposes a retail investor to higher ris

Simulated Likelihood Estimators for Discretely Observed...

papers.ssrn.com

This paper develops an unbiased Monte Carlo approximation to the transition density of a jump-diffusion process with state-dependent drift, volatility, jump int

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Dokumente zum Namen Gustavo Schwenkler

Estimating the Dynamics of Consumption Growth by Gustavo Schwenkler...

Abstracts | 8th World Congress

Filtered Likelihood for Point Processes by Kay Giesecke, Gustavo...

MF 702 – Fundamentals of Financenanopdf.com › here-people_pdf

Inference for Large Financial Systems by Kay Giesecke, Gustavo...

The Systemic Effects of Benchmarking by Diogo Duarte, Kyounghwan Lee,...

Simulated Likelihood Estimators for Discretely Observed...