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The global financial crisis proved the critical impact of the gap between individual rationality and group rationality. This gap is not supposed to arise in a Neoclassical world, but it frequently arises in a world as complex as ours. The paper explores how endogenous instability might arise due...
Persistent link: https://www.econbiz.de/10009421509
Importance Sampling, for simulating copula-based distributions and computing tail probabilities. Unlike existing methods for … copula simulation, this algorithm is general, in the sense that it can be used for any copula whose margins have an unbounded …
Persistent link: https://www.econbiz.de/10008515834