Search Results - "Bayer, Christian"

Journal Article

by Bayer, Christian Hanck, Christoph Published in Journal of time series analysis (01.01.2013)

“...The local power of many popular non‐cointegration tests has recently been shown to depend on a certain nuisance parameter. Depending on the value of that...”

Journal Article

Pricing under rough volatility

by Bayer, Christian Friz, Peter Gatheral, Jim Published in Quantitative finance (02.06.2016)

“...From an analysis of the time series of realized variance using recent high-frequency data, Gatheral et al. [Volatility is rough, 2014] previously showed that...”

Journal Article

‘Wait-and-See’ business cycles?

by Bachmann, Rüdiger Bayer, Christian Published in Journal of monetary economics (01.09.2013)

“...Are shocks to firms' profitability risk, propagated by physical capital adjustment costs, a major source of business cycle fluctuations? This paper studies...”

Journal Article

Investment Dispersion and the Business Cycle

by Rüdiger Bachmann Christian Bayer Published in The American economic review (01.04.2014)

“...The cross-sectional dispersion of firm-level investment rates is procyclical. This makes investment rates different from productivity, output, and employment...”

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Journal Article

A Comment on the Economics of Labor Adjustment: Mind the Gap: Evidence from a Monte Carlo Experiment

by Bayer, Christian Published in The American economic review (01.12.2009)

“...This comment addresses a point raised in Russell Cooper and Jonathan Willis (2003, 2004), which discusses whether the “gap approach” is appropriate to describe...”

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Journal Article

Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets

by Bayer, Christian Laurence, Peter Published in Communications on pure and applied mathematics (01.10.2014)

“...We consider a basket of options with both positive and negative weights in the case where each asset has a smile, i.e., evolves according to its own local...”

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Journal Article

Precautionary Savings, Illiquid Assets, and the Aggregate Consequences of Shocks to Household Income Risk

by Bayer, Christian Luetticke, Ralph Pham‐Dao, Lien Tjaden, Volker Published in Econometrica (01.01.2019)

“...Households face large income uncertainty that varies substantially over the business cycle. We examine the macroeconomic consequences of these variations in a...”

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Journal Article

Dynamic programming for optimal stopping via pseudo-regression

by Bayer, Christian Redmann, Martin Schoenmakers, John Published in Quantitative finance (02.01.2021)

“...We introduce new variants of classical regression-based algorithms for optimal stopping problems based on computation of regression coefficients by Monte Carlo...”

eBook

Intergenerational ties and case fatality rates: a cross-country analysis

by Bayer, Christian Kuhn, Moritz
01.04.2020

“...COVID-19 is spreading and has reached the state of a worldwide pandemic and health systems are or will be tested in how they can deal with it. So far, during...”

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Journal Article

A FUNCTIONAL LIMIT THEOREM FOR LIMIT ORDER BOOKS WITH STATE DEPENDENT PRICE DYNAMICS

by Christian Bayer Ulrich Horst Jinniao Qiu Published in The Annals of applied probability (01.10.2017)

“...We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price...”

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Journal Article

Large open economies and fixed costs of capital adjustment

by Bayer, Christian Tjaden, Volker Published in Review of economic dynamics (01.07.2016)

“...Capital reallocation creates excess volatility in investment in many two-country open economy models. Convex adjustment costs to capital have become a standard...”

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Journal Article

Implied stopping rules for American basket options from Markovian projection

by Bayer, Christian Häppölä, Juho Tempone, Raúl Published in Quantitative finance (04.03.2019)

“...This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and Black-Scholes...”

Journal Article

Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

by Bayer, Christian Ben Hammouda, Chiheb Tempone, Raúl Published in Quantitative finance (01.09.2020)

“...The rough Bergomi (rBergomi) model, introduced recently in Bayer et al. [Pricing under rough volatility. Quant. Finance, 2016, 16(6), 887-904], is a promising...”

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Journal Article

Investment dynamics with fixed capital adjustment cost and capital market imperfections

by Bayer, Christian Published in Journal of monetary economics (2006)

“...This paper examines the implications of financing frictions on capital stocks and on capital accumulation in the presence of non-convex costs of adjusting the...”

Journal Article

SIMULATION OF FORWARD-REVERSE STOCHASTIC REPRESENTATIONS FOR CONDITIONAL DIFFUSIONS

by Christian Bayer John Schoenmakers Published in The Annals of applied probability (01.10.2014)

“...In this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval,...”

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eBook

Which ladder to climb?: decomposing life cycle wage dynamics

by Bayer, Christian Kuhn, Moritz
01.07.2019

“...Wages grow and become more unequal as workers age. Economic theory focuses on worker investment in human capital, search for employers, and residual wage...”

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Journal Article

A regularity structure for rough volatility

by Bayer, Christian Friz, Peter K Gassiat, Paul Martin, Jorg Stemper, Benjamin Published in Mathematical finance (01.07.2020)

“...A new paradigm has emerged recently in financial modeling: rough (stochastic) volatility. First observed by Gatheral et al. in high‐frequency data,...”

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