Peter E. Kloeden, Andreas Neuenkirch, Raffaella Pavani,
... numerical analysis of stochastic evolution equations'. Notes 1 neuenkirch@math.uni-frankfurt.de 2 raffaella.pavani@polimi.it Additional informationNotes on contributorsAndreas Neuenkirch 1 Raffaella Pavani 2
Tópico(s): Quantum chaos and dynamical systems
2008 - Taylor & Francis | The Journal of Difference Equations and Applications
Andreas Neuenkirch, Ivan Nourdin,
In this article, we derive the exact rate of convergence of some approximation schemes associated to scalar stochastic differential equations driven by a fractional Brownian motion with Hurst index H. We consider two cases. If H>1/2, the exact rate of convergence of the Euler scheme is determined. We show that the error of the Euler scheme converges almost surely to a random variable, which in particular depends on the Malliavin derivative of the solution. This result extends those contained in ...
Tópico(s): Complex Systems and Time Series Analysis
2007 - Springer Science+Business Media | Journal of Theoretical Probability
In this paper, we study the influence of central bank transparency and informal central bank communication on the formation of money market expectations. The sample covers nine major central banks from January 1999 to July 2007. We find, first, that transparency reduces the bias in money market expectations and dampens their variation. Second, informal communications help manage financial market expectations by reducing the variation of expectations. Third, various subcategories of the Eijffinger ...
Tópico(s): Italy: Economic History and Contemporary Issues
2011 - Elsevier BV | European Journal of Political Economy
Matthias Neuenkirch, Pierre L. Siklos,
One way of evaluating how well monetary authorities perform is to provide the public with a regular and independent second opinion. The European Central Bank (ECB) and the Bank of England (BoE) are shadowed by professional and academic economists who provide a separate policy rate recommendation in advance of the central bank announcement. In this paper, we systematically evaluate this second opinion and find that, first, the shadow committee of the ECB tends to be relatively less inflation averse ...
Tópico(s): Electoral Systems and Political Participation
2013 - Elsevier BV | European Journal of Political Economy
Matthias Neuenkirch, Florian Neumeier,
In this paper, we analyze the relationship between certain characteristics of incumbent central bank governors and their interest-rate-setting behavior. We focus on (i) occupational backgrounds, (ii) party affiliation, and (iii) experience in office and estimate augmented Taylor rules for 20 OECD countries and the period 1974-2008. Our findings are as follows. First, the tenures of central bank governors who are affiliated with a political party are characterized by a relatively dovish monetary policy ...
Tópico(s): Global Financial Crisis and Policies
2013 - RELX Group (Netherlands) | SSRN Electronic Journal
Matthias Neuenkirch, Peter Tillmann,
In this paper we systematically evaluate how central banks respond to deviations from the inflation target. We present a stylized New Keynesian model in which agents' inflation expectations are sensitive to deviations from the inflation target. To (re-) establish credibility, monetary policy under discretion sets higher interest rates today if average inflation exceeded the target in the past. Moreover, the central bank responds non-linearly to past inflation gaps. This is reflected in an additional ...
Tópico(s): Economic Theory and Policy
2013 - Elsevier BV | Journal of International Money and Finance
In this paper, we study the role played by central bank communication in monetary policy transmission. We employ the Swiss Economic Institute's Monetary Policy Communicator to measure the future stance of the European Central Bank's monetary policy. Our results indicate, first, that communication has an influence on inflation (expectations) similar to that of actual target rate changes. Communication also plays a noticeable role in the transmission of monetary policy to output. Consequently, future ...
Tópico(s): Italy: Economic History and Contemporary Issues
2013 - Elsevier BV | Journal of Banking & Finance
Abstract In this paper, we study how central bank transparency influences the formation of money market expectations in emerging markets. The sample covers 25 countries for the period from January 1998 to December 2009. We find, first, that transparency reduces the bias (the difference between the money market rate and the weighted expected target rate over the contract period) in money market expectations. The effect is larger for countries with no exchange rate peg and countries with low income. ...
Tópico(s): Global Financial Crisis and Policies
2013 - Elsevier BV | Economic Systems
Matthias Neuenkirch, Peter Tillmann,
The personalities of central bankers moved center stage during the recent financial crisis. Indeed, several central bankers even became “superstars.” In this article, we investigate whether superstar central bankers have an impact on economic performance. We employ school grades given to central bankers by the financial press, defining as superstars those central bankers receiving the top grade. First, we explain the grades in a probit estimation with measures of economic performance, institutional ...
Tópico(s): Market Dynamics and Volatility
2016 - Wiley | Economic Inquiry
... doi.org/10.2139/ssrn.3860837Farid Zulfigarov, Matthias Neuenkirch The impact of oil price changes on selected ...
Tópico(s): Energy, Environment, and Transportation Policies
1989 - University of Chicago Press | Journal of Political Economy
Peter E. Kloeden, Andreas Neuenkirch, Raffaella Pavani,
Tópico(s): Probabilistic and Robust Engineering Design
2009 - Springer Science+Business Media | Annals of Operations Research
Andreas Neuenkirch, Samy Tindel, Jérémie Unterberger,
In this article, we give sharp bounds for the Euler discretization of the Lévy area associated to a d-dimensional fractional Brownian motion. We show that there are three different regimes for the exact root mean square convergence rate of the Euler scheme, depending on the Hurst parameter H∈(1/4,1). For H 3/4 the exact rate is n−1. Moreover, we also show that a trapezoidal scheme converges (at least) with the rate n−2H+1/2. Finally, we derive the asymptotic error distribution of the Euler scheme. ...
Tópico(s): Probability and Risk Models
2009 - Elsevier BV | Stochastic Processes and their Applications
Andreas Neuenkirch, Ivan Nourdin, Andreas Rößler, Samy Tindel,
Dans cet article, nous considérons une équation différentielle stochastique multidimensionnelle dirigée par un mouvement brownien fractionnaire d’indice de Hurst H>1/3. Nous développons E[f(Xt)] par rapport à t, où on note X la solution de l’EDS et où f:ℝn→ℝ est une fonction régulière. Par rapport à F. Baudoin et L. Coutin, Stochastic Process. Appl. 117 (2007) 550–574, où le même problème est étudié, nous améliorons leur résultat dans trois directions différentes: nous traîtons le cas d’une équation ...
Tópico(s): Nonlinear Differential Equations Analysis
2009 - Institute of Mathematical Statistics | Annales de l Institut Henri Poincaré Probabilités et Statistiques
María J. Garrido–Atienza, Peter E. Kloeden, Andreas Neuenkirch,
Tópico(s): Advanced Mathematical Modeling in Engineering
2008 - Springer Science+Business Media | Applied Mathematics & Optimization
Arnulf Jentzen, Andreas Neuenkirch,
We study a random Euler scheme for the approximation of Carathéodory differential equations and give a precise error analysis. In particular, we show that under weak assumptions, this approximation scheme obtains the same rate of convergence as the classical Monte–Carlo method for integration problems.
Tópico(s): Mathematical functions and polynomials
2008 - Elsevier BV | Journal of Computational and Applied Mathematics
Arnulf Jentzen, Peter E. Kloeden, Andreas Neuenkirch,
Tópico(s): Differential Equations and Numerical Methods
2008 - Springer Science+Business Media | Numerische Mathematik
We study the approximation of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H>1/2. For the mean-square error at a single point we derive the optimal rate of convergence that can be achieved by arbitrary approximation methods that are based on an equidistant discretization of the driving fractional Brownian motion. We find that there are mainly two cases: either the solution can be approximated perfectly or the best possible rate of convergence is n− ...
Tópico(s): Stochastic processes and statistical mechanics
2008 - Elsevier BV | Stochastic Processes and their Applications
Andreas Neuenkirch, Ivan Nourdin, Samy Tindel,
In this article, we illustrate the flexibility of the algebraic integration formalism introduced in M. Gubinelli, J. Funct. Anal. 216 , 86-140, 2004, Math. Review 2005k:60169 , by establishing an existence and uniqueness result for delay equations driven by rough paths. We then apply our results to the case where the driving path is a fractional Brownian motion with Hurst parameter $H >1/3$.
Tópico(s): Stochastic processes and statistical mechanics
2008 - Institute of Mathematical Statistics | Electronic Journal of Probability
Tomás Caraballo, Peter E. Kloeden, Andreas Neuenkirch,
The synchronization of Stratonovich stochastic differential equations (SDE) with a one-sided dissipative Lipschitz drift and linear multiplicative noise is investigated by transforming the SDE to random ordinary differential equations (RODE) and synchronizing their dynamics. In terms of the original SDE, this gives synchronization only when the driving noises are the same. Otherwise, the synchronization is modulo exponential factors involving Ornstein–Uhlenbeck processes corresponding to the driving ...
Tópico(s): stochastic dynamics and bifurcation
2008 - World Scientific | Stochastics and Dynamics
Bernd Hayo, Ali M. Kutan, Matthias Neuenkirch,
We examine the effects of U.S. target rate changes and FOMC communications on European and Pacific equity market returns and find that both have a significant impact. European markets are influenced by a greater variety of communications than Pacific markets.
Tópico(s): Global Financial Crisis and Policies
2010 - Elsevier BV | Economics Letters
Bernd Hayo, Matthias Neuenkirch,
We explain federal funds target rate decisions using macroeconomic variables and Federal Reserve communication indicators. Econometrically, we employ an ordered probit model of a Taylor rule to predict 75 target rate decisions between 1998 and 2006. We find, first, that our communication indicators significantly explain target rate decisions and improve explanatory power in and out of sample. Second, speeches by members of the Board of Governors and regional presidents have a statistically significant ...
Tópico(s): Market Dynamics and Volatility
2010 - RELX Group (Netherlands) | SSRN Electronic Journal
Bernd Hayo, Matthias Neuenkirch,
Using a generalized autoregressive conditional heteroscedasticity (GARCH) model, we study the effects of Canadian and U.S. central bank communication and macroeconomic news on Canadian bond, stock, and foreign exchange market returns and volatility. First, Canadian central bank communication is more relevant than its U.S. counterpart, whereas in the case of macro news, that originating from the United States dominates. Second, we find evidence that the impact of Canadian news reaches its maximum ...
Tópico(s): Financial Risk and Volatility Modeling
2010 - Wiley | Economic Inquiry
Bernd Hayo, Matthias Neuenkirch,
Tópico(s): Italy: Economic History and Contemporary Issues
2010 - Elsevier BV | Journal of Macroeconomics
Peter E. Kloeden, Gabriel J. Lord, Andreas Neuenkirch, Tony Shardlow,
We present an error analysis for the pathwise approximation of a general semilinear stochastic evolution equation in d dimensions. We discretise in space by a Galerkin method and in time by using a stochastic exponential integrator. We show that for spatially regular (smooth) noise the number of nodes needed for the noise can be reduced and that the rate of convergence degrades as the regularity of the noise reduces (and the noise becomes rougher).
Tópico(s): Numerical methods for differential equations
2010 - Elsevier BV | Journal of Computational and Applied Mathematics
Peter E. Kloeden, Andreas Neuenkirch,
Abstract The authors of this paper study approximation methods for stochastic differential equations, and point out a simple relation between the order of convergence in the p th mean and the order of convergence in the pathwise sense: Convergence in the p th mean of order α for all p ≥ 1 implies pathwise convergence of order α – ε for arbitrary ε > 0. The authors then apply this result to several one-step and multi-step approximation schemes for stochastic differential equations and stochastic delay ...
Tópico(s): Advanced Mathematical Modeling in Engineering
2007 - London Mathematical Society | LMS Journal of Computation and Mathematics
Steffen Dereich, Andreas Neuenkirch, Łukasz Szpruch,
We analyse the strong approximation of the Cox–Ingersoll–Ross (CIR) process in the regime where the process does not hit zero by a positivity preserving drift-implicit Euler-type method. As an error criterion, we use the p th mean of the maximum distance between the CIR process and its approximation on a finite time interval. We show that under mild assumptions on the parameters of the CIR process, the proposed method attains, up to a logarithmic term, the convergence of order 1/2. This agrees with ...
Tópico(s): Fluid Dynamics and Turbulent Flows
2011 - Royal Society | Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences
David Büttner, Bernd Hayo, Matthias Neuenkirch,
In this paper, we investigate the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact of news on daily returns of 3-month interest rates, stock market indices, exchange rates versus the euro, and the US dollar. First, both US and European macroeconomic news has a significant impact on CEEC-3 financial markets. Second, the process of European integration is accompanied ...
Tópico(s): Monetary Policy and Economic Impact
2011 - Springer Science+Business Media | Empirica
Bernd Hayo, Matthias Neuenkirch,
We examine how Bank of Canada communications and media reporting on them impacts Canadian bond and stock market returns. Official communications exert a relatively larger influence on the bond market, whereas media coverage is more relevant for the stock market.
Tópico(s): Monetary Policy and Economic Impact
2011 - Elsevier BV | Economics Letters
We study pathwise approximation of scalar stochastic differential equations with additive fractional Brownian noise of Hurst parameter H>12, considering the mean square L2-error criterion. By means of the Malliavin calculus we derive the exact rate of convergence of the Euler scheme, also for non-equidistant discretizations. Moreover, we establish a sharp lower error bound that holds for arbitrary methods, which use a fixed number of bounded linear functionals of the driving fractional Brownian ...
Tópico(s): Complex Systems and Time Series Analysis
2006 - Elsevier BV | Journal of Complexity
Ingo Fender, Bernd Hayo, Matthias Neuenkirch,
Tópico(s): Global Financial Crisis and Policies
2012 - Elsevier BV | Journal of Banking & Finance