Blar i Statistisk sentralbyrås publikasjonsserier / Published by Statistics Norway på emneord "JEL classification: G10"
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How do banks' funding costs affect interest margins?
(Discussion Papers;No. 665, Working paper, 2011)Abstract: We use a dynamic factor model and a detailed panel data set with quarterly accounts data on all Norwegian banks to study the effects of banks' funding costs on their retail rates. Banks' funds are categorized ... -
Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
(Discussion Papers;601, Working paper, 2009)This paper aims to develop new methods for statistical inference in a class of stochastic volatility models for financial data based on non-Gaussian Ornstein-Uhlenbeck (OU) processes. Our approach uses indirect inference ... -
Multivariate stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes : a quasi-likelihood approach
(Discussion Papers;614, Working paper, 2010)This paper extends the ordinary quasi-likelihood estimator for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck (OU) processes to vector processes. Despite the fact that multivariate modeling of asset ...