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A "One-line" Simulator for Maxima or Minima on Drifting Brownian Paths

Abrahamson, Allen - EconWPA - 2002

A simple transform of a standard uniform variate is given for simulation of the maximum attained by a Wiener process …

Persistent link: https://www.econbiz.de/10005561500

Backward Unraveling over Time: The Evolution of Strategic Behavior in the Entry-Level British Medical Labor Markets

Unver, M. Utku - EconWPA - 1999

This paper studies an adaptive artificial agent model using a genetic algorithm to analyze how a population of decision-makers learns to coordinate on the selection of an equilibrium or a social convention in a two-sided matching game. In the contexts of centralized and decentralized entry-level...

Persistent link: https://www.econbiz.de/10005550908

Assessing Forecast Performance in a VEC Model: An Empirical Examination

Bragoudakis, Zacharias - EconWPA - 2005

real-historical values using a stochastic simulation analysis. The simulation results provide new evidence supporting the …

Persistent link: https://www.econbiz.de/10005556281

On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates

Rodrigues, Paulo M. M.; Rubia, Antonio - EconWPA - 2004

Testing for unit roots in short-term interest rates plays a key role in the empirical modelling of these series. It is widely assumed that the volatility of interest rates follows some time-varying function which is dependent of the level of the series. This may cause distortions in the...

Persistent link: https://www.econbiz.de/10005556282

Can the SupLR test discriminate between different switching

Lanouar, CHARFEDDINE - EconWPA - 2005

simulation experiments we show that it is very difficult to differenciate between MSAR and SETAR models specially with large …

Persistent link: https://www.econbiz.de/10005556594

Solving, Estimating and Selecting Nonlinear Dynamic Economic Models without the Curse of Dimensionality

Winschel, Viktor - EconWPA - 2005

A welfare analysis of a risky policy is impossible within a linear or linearized model and its certainty equivalence property. The presented algorithms are designed as a toolbox for a general model class. The computational challenges are considerable and I concentrate on the numerics and...

Persistent link: https://www.econbiz.de/10005556708

How effective is advertising in duopoly markets?

Sznajd-Weron, Katarzyna; Weron, Rafal - EconWPA - 2003

A simple Ising spin model which can describe the mechanism of advertising in a duopoly market is proposed. In contrast to other agent- based models, the influence does not flow inward from the surrounding neighbors to the center site, but spreads outward from the center to the neighbors. The...

Persistent link: https://www.econbiz.de/10005556888

Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LI...

Fries, Christian P.; Kampen, Joerg - EconWPA - 2005

We consider a generic framework for generating likelihood ratio weighted Monte Carlo simulation paths, where we use one … simulation scheme K° (proxy scheme) to generate realizations and then reinterpret them as realizations of another scheme K …; Malliavin, 1997] reconsidered on the level of the discrete numerical simulation scheme. Since the numerical scheme represents a …

Persistent link: https://www.econbiz.de/10005561564

Persistence Characteristics of the Chinese Stock Markets

Los, Cornelis A.; Yu, Bing - EconWPA - 2005

This paper identifies such fundamental characteristics as the lack of ergodicity, stationarity, and independence, and it identifies the degree of initial persistence of the Chinese stock markets when they were more regulated. The index series are from the Shanghai (SHI) stock market and Shenzhen...

Persistent link: https://www.econbiz.de/10005561572

Measurement of Financial Risk Persistence

Los, Cornelis A. - EconWPA - 2005

This paper discusses various ways of measuring the persistence or Long Memory (LM) of financial market risk in both its time and frequency domains. For the measurement of the risk, irregularity or 'randomness' of these series, we can compute a set of critical Lipschitz - Hölder exponents, in...

Persistent link: https://www.econbiz.de/10005561591