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The medium and long term effects of an expansion of education on poverty in Côte d<92>Ivoire A dynamic microsimulation study

Grimm, Michael - EconWPA - 2004

I use a dynamic microsimulation model to analyse the distributional effects of an expansion of education in Côte d'Ivoire in the medium and long term. The simulations are performed in order to replicate several policies in force or subject to debate in this country. Various hypotheses...

Persistent link: https://www.econbiz.de/10005076938

ENTERPRISE MICROSIMULATION MODELS AND DATA CHALLENGES

Oropallo, Filippo - EconWPA - 2004

Microsimulation models to study the fiscal impact and the development of micro-founded indicators on enterprise performance require a great deal of information. This is normally scattered in various statistical surveys and administrative sources. Each different data source is conceived to serve...

Persistent link: https://www.econbiz.de/10005125877

The Foresight Bias in Monte-Carlo Pricing of Options with Early

Fries, Christian - EconWPA - 2005

compound options if the exercise criteria is calculated by the same Monte-Carlo simulation as the exercise values. The standard … approach to remove the foresight bias is to use two independent Monte-Carlo simulations: One simulation is used to estimate the …-Carlo simulation and may be inadequate for Bermudan options with many exercise dates (for which the foresight bias may become a …

Persistent link: https://www.econbiz.de/10005125051

New Hope for the Fisher Effect? A Re-Examination Using Threshold Cointegration

Weidmann, Jens - EconWPA - 1997

This paper reassesses the long-run relation between nominal interest rates and inflation using German data. It shows that the empirical rejection of the strict Fisher effect in previous studies, i.e., the finding of interest rates not fully adjusting to changes in inflation, can be attributed to...

Persistent link: https://www.econbiz.de/10005126206

Monte Carlo Pricing of American Options Using Nonparametric Regression

Claudio, Pizzi; Paolo, Pellizzari - EconWPA - 2002

This paper provides an introduction to Monte Carlo algorithms for pricing American options written on multiple assets, with special emphasis on methods that can be applied in a multi-dimensional setting. Simulated paths can be used to estimate by nonparametric regression the continuation value...

Persistent link: https://www.econbiz.de/10005134676

Measuring Loss Potential of Hedge Fund Strategies

Prado, Marcos Mailoc López de; Peijan, Achim - EconWPA - 2005

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under-The-Water. Calculations are carried out considering three different frameworks regarding Hedge Fund returns: i) Normality and time-independence, ii) Non-normality and time-...

Persistent link: https://www.econbiz.de/10005134729

PPP May not Hold for Agricultural Commodities

Gutierrez, Luciano - EconWPA - 2003

Monte Carlo simulation. Summarizing, our results show that during the post-Bretton-Woods period of flexible exchange rates …

Persistent link: https://www.econbiz.de/10005062609

Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power

Kocenda, Evzen; Briatka, Lubos - EconWPA - 2004

This paper builds on Kočenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε- ranges new critical values for various lengths of the data sets are introduced and through...

Persistent link: https://www.econbiz.de/10005407903

Static Hedging of Standard Options

Carr, Peter; Wu, Liuren - EconWPA - 2004

finite set of shorter-term options and use Monte Carlo simulation to determine the hedging error thereby introduced. We … simulation results indicate that the two types of hedging strategies exhibit comparable performance in the classic Black …

Persistent link: https://www.econbiz.de/10005413226

Random Walks with Drifts, Simulaneous Equation Errors, and Small Samples - Simulating the Bird's Eye View

Entorf, Horst - EconWPA - 2004

statistics is analysed both analytically and by simulation methods. Moreover, Haavelmo's famous example for the presence of some …

Persistent link: https://www.econbiz.de/10005556305