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Author: Christian H. Bischof
Publisher: Springer Science & Business Media
ISBN: 3540689427
Category : Computers
Languages : en
Pages : 366
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Book Description
The Fifth International Conference on Automatic Differentiation held from August 11 to 15, 2008 in Bonn, Germany, is the most recent one in a series that began in Breckenridge, USA, in 1991 and continued in Santa Fe, USA, in 1996, Nice, France, in 2000 and Chicago, USA, in 2004. The 31 papers included in these proceedings re?ect the state of the art in automatic differentiation (AD) with respect to theory, applications, and tool development. Overall, 53 authors from institutions in 9 countries contributed, demonstrating the worldwide acceptance of AD technology in computational science. Recently it was shown that the problem underlying AD is indeed NP-hard, f- mally proving the inherently challenging nature of this technology. So, most likely, no deterministic “silver bullet” polynomial algorithm can be devised that delivers optimum performance for general codes. In this context, the exploitation of doma- speci?c structural information is a driving issue in advancing practical AD tool and algorithm development. This trend is prominently re?ected in many of the pub- cations in this volume, not only in a better understanding of the interplay of AD and certain mathematical paradigms, but in particular in the use of hierarchical AD approaches that judiciously employ general AD techniques in application-speci?c - gorithmic harnesses. In this context, the understanding of structures such as sparsity of derivatives, or generalizations of this concept like scarcity, plays a critical role, in particular for higher derivative computations.
Author: Christian H. Bischof
Publisher: Springer Science & Business Media
ISBN: 3540689427
Category : Computers
Languages : en
Pages : 366
Get Book Here
Book Description
The Fifth International Conference on Automatic Differentiation held from August 11 to 15, 2008 in Bonn, Germany, is the most recent one in a series that began in Breckenridge, USA, in 1991 and continued in Santa Fe, USA, in 1996, Nice, France, in 2000 and Chicago, USA, in 2004. The 31 papers included in these proceedings re?ect the state of the art in automatic differentiation (AD) with respect to theory, applications, and tool development. Overall, 53 authors from institutions in 9 countries contributed, demonstrating the worldwide acceptance of AD technology in computational science. Recently it was shown that the problem underlying AD is indeed NP-hard, f- mally proving the inherently challenging nature of this technology. So, most likely, no deterministic “silver bullet” polynomial algorithm can be devised that delivers optimum performance for general codes. In this context, the exploitation of doma- speci?c structural information is a driving issue in advancing practical AD tool and algorithm development. This trend is prominently re?ected in many of the pub- cations in this volume, not only in a better understanding of the interplay of AD and certain mathematical paradigms, but in particular in the use of hierarchical AD approaches that judiciously employ general AD techniques in application-speci?c - gorithmic harnesses. In this context, the understanding of structures such as sparsity of derivatives, or generalizations of this concept like scarcity, plays a critical role, in particular for higher derivative computations.
Author: John B. Taylor
Publisher: Elsevier
ISBN: 0444594787
Category : Business & Economics
Languages : en
Pages : 1376
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Book Description
Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. - Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research - Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade
Author:
Publisher:
ISBN:
Category : International finance
Languages : en
Pages : 36
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Book Description
Author: David M. Arseneau
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 32
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Book Description
We show how to implement a competitive search equilibrium in a fully-specified DSGE environment. Competitive search, an equilibrium concept well-understood in labor market theory, offers an alternative to the commonly-used Nash bargaining in search-based macro models. Our simulation-based results show that business cycle fluctuations under competitive search equilibrium are virtually identical to those under Nash bargaining for a broad range of calibrations of Nash bargaining power. We also prove that business cycle fluctuations under competitive search equilibrium are exactly identical to those under Nash bargaining restricted to the popularly-used Hosios condition for search efficiency. This latter result extends the efficiency properties of competitive search equilibrium to a DSGE environment. Our results thus provide a foundation for researchers interested in studying business cycle fluctuations using search-based environments to claim that the sometimes-awkward assumption of bargaining per se does not obscure interpretation of results.
Author: Erik Hjalmarsson
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 26
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Book Description
This paper analyzes the asymptotic properties of long-horizon estimators under both the null hypothesis and an alternative of predictability. Asymptotically, under the null of no predictability, the long-run estimator is an increasing deterministic function of the short-run estimate and the forecasting horizon. Under the alternative of predictability, the conditional distribution of the long-run estimator, given the short-run estimate, is no longer degenerate and the expected pattern of coefficient estimates across horizons differs from that under the null. Importantly, however, under the alternative, highly endogenous regressors, such as the dividend-price ratio, tend to deviate much less than exogenous regressors, such as the short interest rate, from the pattern expected under the null, making it more difficult to distinguish between the null and the alternative.
Author: Martin Bodenstein
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 56
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Book Description
The empirical literature provides a wide range of estimates for trade elasticities at the aggregate level. Furthermore, recent contributions in international macroeconomics suggest that low (implied) values of the trade elasticity of substitution may play an important role in understanding the disconnect between international prices and real variables. However, a standard model of the international business cycle displays multiple locally isolated equilibria if the trade elasticity of substitution is sufficiently low. The main contribution of this paper is to compute and characterize some dynamic properties of these equilibria. While multiple steady states clearly signal equilibrium multiplicity in the dynamic setup, this is not a necessary condition. Solutions based on log-linearization around a deterministic steady state are of limited to no help in computing the true dynamics. However, the log-linear solution can hint at the presence of multiple dynamic equilibria.
Author: Nuno Fernandes
Publisher:
ISBN:
Category : International finance
Languages : en
Pages : 56
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Book Description
We examine the stock market impact of SEC Rule 12h-6 which eased the ability of foreign firms to deregister with the SEC and as a result terminate their U.S. disclosure obligations under the 1934 Securities Exchange Act. We document that the market reacted negatively to the ability of firms from weak disclosure and governance countries to more easily opt out of the stringent U.S. reporting and legal environment. Our findings suggest that shareholders of non-U.S firms place significant value on U.S. securities regulations, especially when the home country investor protections are weak.
Author: Benjamin Chiquoine
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 34
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Book Description
We show that the general bias reducing technique of jackknifing can be successfully applied to stock return predictability regressions. Compared to standard OLS estimation, the jackknifing procedure delivers virtually unbiased estimates with mean squared errors that generally dominate those of the OLS estimates. The jackknifing method is very general, as well as simple to implement, and can be applied to models with multiple predictors and overlapping observations. Unlike most previous work on inference in predictive regressions, no specific assumptions regarding the data generating process for the predictors are required. A set of Monte Carlo experiments show that the method works well in finite samples and the empirical section finds that out-of-sample forecasts based on the jackknifed estimates tend to outperform those based on the plain OLS estimates. The improved forecast ability also translates into economically relevant welfare gains for an investor who uses the predictive regression, with jackknifed estimates, to time the market.
Author: Jane Haltmaier
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 60
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Book Description
"Predicting cycles in economic activity is one of the more challenging but important aspects of economic forecasting. This paper reports the results from estimation of binary probit models that predict the probability of an economy being in a recession using a variety of financial and real activity indicators. The models are estimated for eight countries, both individually and using a panel regression. Although the success of the models varies, they are all able to identify a significant number of recessionary periods correctly"--Federal Reserve Board web site.
Author: Joseph W. Gruber
Publisher:
ISBN:
Category : Accounts current
Languages : en
Pages : 78
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Book Description
This paper addresses the popular view that differences in financial development explain the pattern of global current account imbalances. One strain of thinking explains the net flow of capital from developing to industrial economies on the basis of the industrial economies' more advanced financial systems and correspondingly more attractive assets. A related view addresses why the United States has attracted the lion's share of capital flows from developing to industrial economies; it stresses the exceptional depth, breadth, and safety of U.S. financial markets.
