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The TwoFactor Model......................................................................................................... 5
, 1999
"... the demandforlabor curve is more elastic when an economy is open than when it is closed. I demonstrate that this proposition is not valid in general. The proposition can be violated in both the 2x2 and specificfactors models. Furthermore, many of the results obtained by Rodrik (1997), assuming th ..."
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the proposition to be true, fail to hold in general when we spell out the full structure of the model. Thus, within two most popular models of tradethe 2x2 and specificfactors models, there is no guarantee that openness leads to a greater incidence of higher labor standards being borne by workers
Equivariant Gröbner bases and the Gaussian twofactor model
, 2009
"... We show that the kernel I of the ring homomorphism R[yij  i, j ∈ N, i> j] → R[si, ti  i ∈ N] determined by yij ↦ → sisj +titj is generated by two types of polynomials: offdiagonal 3 × 3minors and pentads. This confirms a conjecture by Drton, Sturmfels, and Sullivant on the Gaussian twofacto ..."
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Cited by 9 (0 self)
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We show that the kernel I of the ring homomorphism R[yij  i, j ∈ N, i> j] → R[si, ti  i ∈ N] determined by yij ↦ → sisj +titj is generated by two types of polynomials: offdiagonal 3 × 3minors and pentads. This confirms a conjecture by Drton, Sturmfels, and Sullivant on the Gaussian twofactor
Schwartz 1997 TwoFactor Model Technical Document
, 2010
"... The purpose of this document is to give the formulas and relations needed to understand the Schwartz twofactor commodity model (Schwartz, 1997). This includes parameter estimation using the Kalman filter, pricing of European options as well as computation of risk measures. 1 ..."
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The purpose of this document is to give the formulas and relations needed to understand the Schwartz twofactor commodity model (Schwartz, 1997). This includes parameter estimation using the Kalman filter, pricing of European options as well as computation of risk measures. 1
A TwoFactor Model for Commodity Prices and Futures Valuation ∗
, 2004
"... This paper develops a reduced form twofactor model for commodity spot prices and futures valuation. This model extends the Gibson and Schwartz (1990)Schwartz (1997) twofactor model by adding two new features. First the OrnsteinUhlenbeck process for the convenience yield is replaced by a CoxInge ..."
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This paper develops a reduced form twofactor model for commodity spot prices and futures valuation. This model extends the Gibson and Schwartz (1990)Schwartz (1997) twofactor model by adding two new features. First the OrnsteinUhlenbeck process for the convenience yield is replaced by a Cox
Confirmation of a TwoFactor Model of Premorbid Adjustment in Males with Schizophrenia
"... Because schizophrenia is considered to be a neurodevelopmental disorder, premorbid adjustment is of particular interest. Premorbid adjustment is probably not a unitary construct but rather is expressed across a number of developmental domains. The current investigation examined the validity of a ..."
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Cited by 1 (0 self)
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twofactor model that differentiated premorbid adjustment across social and academic domains and evaluated relationships between these premorbid adjustment domains and other variables of interest. Participants with schizophrenia (n = 141) underwent evaluation of premorbid adjustment (using
A TwoFactor Model for Electricity Prices with Dynamic Volatility
"... The wavelet transform is used to identify a biannual and an annual seasonality in the Phelix Day Peak and to separate the longterm trend from its shortterm motion. The shortterm/longterm model for commodity prices of Schwartz & Smith (2000) is applied but generalised to account for weekly pe ..."
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periodicities and timevarying volatility. Eventually we find a bivariate SARMACCCGARCH model to fit best. Moreover it surpasses the goodness of fit of an univariate GARCH model, which shows that the additional effort of dealing with a twofactor model is worthwile.
Switching Stochastic Volatility, TwoFactor Models and Term Structure
, 1999
"... We develop a twofactor model that includes level effects, stochastic volatility specification and possible regime switching in the data. The volatility process is specified to capture all possible exogenous shocks. An exogenous shock could be either discrete as occurring from possible changes in un ..."
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Cited by 6 (3 self)
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We develop a twofactor model that includes level effects, stochastic volatility specification and possible regime switching in the data. The volatility process is specified to capture all possible exogenous shocks. An exogenous shock could be either discrete as occurring from possible changes
A TWOFACTOR MODEL FOR STOCHASTIC MORTALITY WITH PARAMETER UNCERTAINTY: THEORY AND CALIBRATION
, 2006
"... In this article, we consider the evolution of the postage60 mortality curve in the United Kingdom and its impact on the pricing of the risk associated with aggregate mortality improvements over time: socalled longevity risk. We introduce a twofactor stochastic model for the development of this c ..."
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Cited by 111 (38 self)
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In this article, we consider the evolution of the postage60 mortality curve in the United Kingdom and its impact on the pricing of the risk associated with aggregate mortality improvements over time: socalled longevity risk. We introduce a twofactor stochastic model for the development
A twofactor model of value and growth with adjustment costs
, 2004
"... This paper examines a two factor model of value and growth, in an economy with many different industries consisting of identical competitive firms. A cyclical (value) factor captures permanent shocks to industry or aggregate demand, and innovations to this shock are assumed to command a generous ri ..."
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Cited by 4 (1 self)
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This paper examines a two factor model of value and growth, in an economy with many different industries consisting of identical competitive firms. A cyclical (value) factor captures permanent shocks to industry or aggregate demand, and innovations to this shock are assumed to command a generous
A twofactor model for low interest rate regimes
 AsiaPacific Financial Markets
, 2005
"... Abstract. This paper derives a two factor model for the term structure of interest rates that segments the yield curve in a natural way. The first factor involves modelling a nonnegative short rate process that primarily determines the early part of the yield curve and is obtained as a truncated Ga ..."
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Cited by 4 (2 self)
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Abstract. This paper derives a two factor model for the term structure of interest rates that segments the yield curve in a natural way. The first factor involves modelling a nonnegative short rate process that primarily determines the early part of the yield curve and is obtained as a truncated
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