http://lists.repec.org/mailman/listinfo/nep-ore Operations Research 2012-02-08 Walter Frisch http://d.repec.org/n?u=RePEc:hhs:sdueko:2012_001&r=ore Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader groups. This paper investigates whether or not regressive and extrapolative expectations themselves exhibit significant nonlinear dynamics. The empirical results are based on a new data set from the European Central Bank Survey of Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the neighborhood of the fundamental value, whereas expectations tend to be stabilizing in the presence of substantial oil price misalignment. Reitz, Stefan, Rülke, Jan-Christoph, Stadtmann, Georg 2012-01-03 Agent based models; nonlinear expectations; survey data http://d.repec.org/n?u=RePEc:aah:create:2012-03&r=ore We present and evaluate a numerical optimization method (together with an algorithm for choosing the starting values) pertinent to the constrained optimization problem arising in the estimation of the GARCH models with inequality constraints, in particular the Simplied Component GARCH Model (SCGARCH), together with algorithms for the objective function and analytical gradient computation for SCGARCH. Matt P. Dziubinski 2012-01-25 Constrained optimization, GARCH, infeasibility, inference under constraints, nonlinear programming, performance of numerical algorithms, SCGARCH, sequential quadratic programming http://d.repec.org/n?u=RePEc:ehu:biltok:5503&r=ore We propose a two-dimensional Kalman filter approach that, additional to the information contained in futures prices evolution over time, makes use of information contained in the term structure of commodity futures along a second dimension of maturities. This time-maturity surface reflects a complete realization of the stochastic process as an alternative to standard Kalman filtering of a limited vector of futures prices along the one-dimensional time line. Thus, the proposed methodology may use the full information from the entire surface dynamics, including links from all available maturities per period, which eventually should lead to more accurate model parameter estimates. The technique is illustrated using coal futures prices. Fernández Macho, Francisco Javier 2011-09 commodity prices, two-dimensional Kalman filter, spatial analysis, energy markets, futures markets, stochastic dynamic model,