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Persistent link: https://www.econbiz.de/10010511447
In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...
Persistent link: https://www.econbiz.de/10002476893
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This paper provides closed-form expansions for the transition density and likelihood function of arbitrary multivariate diffusions. The expansions are based on a Hermite series, whose coefficients are calculated explicitly by exploiting the special structure afforded by the diffusion hypothesis....
Persistent link: https://www.econbiz.de/10013222630
Persistent link: https://www.econbiz.de/10003706020
This paper provides closed-form expansions for the transition density and likelihood function of arbitrary multivariate diffusions. The expansions are based on a Hermite series, whose coefficients are calculated explicitly by exploiting the special structure afforded by the diffusion hypothesis....
Persistent link: https://www.econbiz.de/10012469758
We present a methodology to estimate fixed cost parameters relevant to the decision to operate, mothballor retire an open-cycle gas turbine (OCGT) using a dynamic discrete choice model, based on fuel andelectricity prices, as well as technical data and the operational status of OCGTs in the PJM...
Persistent link: https://www.econbiz.de/10012820376
The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux …(1984) to PML4 and QGPML2 methods, respectively. An asymptotic theory is developed which shows, in particular, that the …
Persistent link: https://www.econbiz.de/10003970462
Persistent link: https://www.econbiz.de/10012651340
Shear forming is a versatile process for manufacturing complex lightweight components which are required in increasing numbers by many different industries. Inherent advantages of the process are simple tooling, low tool costs, good external and internal surface quality, close dimensional...
Persistent link: https://www.econbiz.de/10003085110