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1 – 10 of 37Rafael DeSantiago, Jean-Pierre Fouque and Knut Solna
We analyze stochastic volatility effects in the context of the bond market. The short rate model is of Vasicek type and the focus of our analysis is the effect of multiple scale…
Abstract
We analyze stochastic volatility effects in the context of the bond market. The short rate model is of Vasicek type and the focus of our analysis is the effect of multiple scale variations in the volatility of this model. Using a combined singular-regular perturbation approach we can identify a parsimonious representation of multiscale stochastic volatility effects. The results are illustrated with numerical simulations. We also present a framework for model calibration and look at the connection to defaultable bonds.
CHRISTOPHE DEISSENBERG, GUSTAV FEICHTINGER, WILLI SEMMLER and FRANZ WIRL
Carl Chiarella, Peter Flaschel, Reiner Franke and Willi Semmler
Don DeVoretz and Florin Vadean
This chapter analyses the effect of cultural differences among ethnic groups on the remittance behaviour of native and immigrant households in Canada. In contrast to the New…
Abstract
This chapter analyses the effect of cultural differences among ethnic groups on the remittance behaviour of native and immigrant households in Canada. In contrast to the New Economic of Labour Migration (NELM) literature that examines remittance motivation in the framework of extended family agreements, we embed remittances in a formal demand system, suggesting that they represent expenditures on social relations with relatives and/or friends and contribute to membership in social/religious organisations respectively. The results indicate strong ethnic group cultural differences in the remittance behaviour of recent Asian immigrant households and highlight the importance of differentiating with respect to cultural background when analysing the determinants of remittances.
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