Now showing items 1-3 of 3

    • The Asian financial crisis and international reserve accumulation: a robust control approach 

      Lee, S. S.; Luk, P. (Elsevier B.V., 2018)
      Standard macroeconomic models have difficulties accounting for the surge in international reserves of Asian countries in the aftermath of the Asian Financial Crisis of 1997. We propose precautionary demand for saving ...
    • Financial stability under model uncertainty 

      Kantur, Z.; Özcan, G. (Elsevier B.V., 2018)
      This paper studies how asset price model misspecification affects the conduct of monetary policy under commitment in a New Keynesian model using robust control techniques. We find that monetary policy reacts aggressively ...
    • Measures of model uncertainty and calibrated option bounds 

      Pınar, M. Ç. (Taylor & Francis, 2009)
      Recently, Cont introduced a quantitative framework for measuring model uncertainty in the context of derivative pricing [Model uncertainty and its impact on the pricing of derivative instruments, Math. Finance, 16(3) (2006), ...