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Simulation and estimation of hedonic models
Heckman, James J. - 2003
Making use of restrictions imposed by equilibrium, theoretical progress has been made on the nonparametric and semiparametric estimation and identification of scalar additive hedonic models (Ekeland, Heckman, and Nesheim, 2002) and scalar nonadditive hedonic models (Heckman, Matzkin, and...
Persistent link: https://www.econbiz.de/10011509388
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Regression and kriging metamodels with their experimental designs in simulation : review
Kleijnen, Jack P. C. - 2015
Persistent link: https://www.econbiz.de/10011349935
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Efficient numerical pricing of American call options using symmetry arguments
Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 2/59, pp. 1-26
regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …
Persistent link: https://www.econbiz.de/10012022212
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Estimating the structural credit risk model when equity prices are contaminated by trading noises
Duan, Jin-Chuan; Fulop, Andras - 2005
simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10011560691
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Applications of fractional response model to the study of bounded dependent variables in accounting research
Gallani, Susanna; Krishnan, Ranjani; Wooldridge, Jeffrey M. - 2015
Survey research studies make extensive use of rating scales to measure constructs of interest. The bounded nature of such scales presents econometric estimation challenges. Linear estimation methods (e.g. OLS) often produce predicted values that lie outside the rating scales, and fail to account...
Persistent link: https://www.econbiz.de/10011536090
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Decomposing portfolio value-at-risk : a general analysis
Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011301159
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The finite sample performance of semi- and nonparametric estimators for treatment effects and policy evaluation
Frölich, Markus; Huber, Martin; Wiesenfarth, Manuel - 2015
Persistent link: https://www.econbiz.de/10011302461
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Robust estimation of value-at-risk through distribution-free and parametric approaches using the joint severity and frequency model : applications in financial, actuarial, and natu...
Guharay, Sabyasachi; Chang, KC; Xu, Jie - In: Risks : open access journal 5 (2017) 3, pp. 1-29
Carlo simulation (MCS) approach, denoted henceforth as the classical approach, assumes the independence of loss severity and … approaches are verified using simulation experiments on synthetic data and validated on five publicly available datasets from …
Persistent link: https://www.econbiz.de/10011687895
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Various versatile variances : an object-oriented implementation of clustered covariances in R
Berger, Susanne; Graham, Nathaniel; Zeileis, Achim - 2017
methods' performance in a simulation study. …
Persistent link: https://www.econbiz.de/10011697332
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Local logit regression for recovery rate
Sopitpongstorn, Nithi; Silvapulle, Paramsothy; Gao, Jiti - 2017
Persistent link: https://www.econbiz.de/10011782259