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Simulation based methods of moments in empirical finance

Liesenfeld, Roman; Breitung, Jörg - 1998

Persistent link: https://www.econbiz.de/10009578008

Compensator-based simulation of correlated defaults

Giesecke, Kay - 2002

performance of the underlying credits. In this paper we discuss the simulation of correlated unpredictable default arrival times … can be estimated from readily available equity and single-name credit derivatives market data. -- simulation ; correlated …

Persistent link: https://www.econbiz.de/10009624843

Simulation based option pricing

Lüssem, Jens; Schumacher, Jürgen - 2002

Persistent link: https://www.econbiz.de/10009624847

An exponential model for dependent defaults

Giesecke, Kay - 2002

efficient simulation of dependent default times for pricing and risk management purposes is straightforward as well. Parameter … management solutions. -- simulation ; correlated defaults ; multivariate exponential model …

Persistent link: https://www.econbiz.de/10009625801

Estimating the Kronecker indices of cointegrated echelon form VARMA models

Bartel, Holger; Lütkepohl, Helmut - 1997

selection criteria. The small sample performance of the methods is compared in a simulation study. It is found that the …

Persistent link: https://www.econbiz.de/10009630541

The relevance of equal splits : on a behavioral discontinuity in ultimatum games

Güth, Werner; Huck, Steffen; Müller, Wieland - 1998

The findings on the ultimatum game are considered as belonging to the most robust experimental results. In this paper we present a slightly altered version of the mini ultimatum game of Bolton and Zwick (1995). Whereas in the latter exactly equal splits were feasible in our games these were...

Persistent link: https://www.econbiz.de/10009574884

Maximization of empirical Shannon information in testing significant variables of linear model

Malyutov, M.; Sadaka, H. - 1998

Search for an unknown set A,Card(A) = s, of significant variables of a linear model with random IID discrete binary carriers and finitely supported IID noise is studied. Two statistics T1, Ts, based on maximization of Shannon Information (SI) of the corresponding classes of joint empirical...

Persistent link: https://www.econbiz.de/10009574888

A psychological approach to individual differences in intertemporal consumption patterns

Brandstätter, Hermann; Güth, Werner - 1998

When people decide about saving and consumption across the various periods of their life time they take into account their life expectancy when comparing present and future needs and resources for satisfying them. The experimental design, applied at two sites (Humboldt-University at Berlin and...

Persistent link: https://www.econbiz.de/10009578010

Presents or investments? : an experimental analysis

Genîzî, Ûrî; Güth, Werner; Verboven, Frank - 1998

design an experiment to study whether such commodity transfers can be viewed as investments based on trust and reciprocity …, or whether they rather resemble presents with distributional intentions. Our experiment essentially modifies Berg et al …

Persistent link: https://www.econbiz.de/10009578011

Employment duration and resistance to wage reductions : experimental evidence

Burda, Michael C.; Güth, Werner; Kirchsteiger, Georg; … - 1998 - Rev.

employees to accept lower wages as well? As an alternative to reviewing statistical data, we have performed an experiment with a … lower competitive wage in the second phase of an employment relationship that is known to both parties. The experiment casts …

Persistent link: https://www.econbiz.de/10009578579