Similar Search Results

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Institute - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, a location-scale transformation and a transformation to polar coordinates are used....

Persistent link: https://www.econbiz.de/10005137171

Counting with Combined Splitting and Capture-Recapture Methods

Dupuis, Paul; Kaynar, Bahar; Ridder, Ad; Rubinstein, Reuven - Tinbergen Institute - 2011

We apply the splitting method to three well-known counting problems, namely 3-SAT, random graphs with prescribed degrees, and binary contingency tables. We present an enhanced version of the splitting method based on the capture-recapture technique, and show by experiments the superiority of...

Persistent link: https://www.econbiz.de/10008916010

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Institute - 1999

assumptions on the underlying statistical distributions, a variety of analytical methods and simulation-based methods are … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation … simulation context.<BR> This paper tries to fill this gap by investigating these VaR concepts in a general distribution …

Persistent link: https://www.econbiz.de/10005144576

Total Factor Productivity and the Mongolian Transition

Chessa, Antonio G.; Schouwstra, Marije C. - Tinbergen Institute - 2005

Total Factor Productivity (TFP)is often used on the macro-economic level as an indicator of changes in efficiency of a country. In many transition economies TFP is seen to have been negative the last decade of the plan economy and starts increasing and become positive after a (quite a) few years...

Persistent link: https://www.econbiz.de/10005137124

Tax Liability Side Equivalence in Gift-Exchange Labor Markets

Riedl, Arno; Tyran, Jean-Robert - Tinbergen Institute - 2003

Tax Liability Side Equivalence (tax LSE) claims that the statutory incidence of a tax is irrelevant for its economic incidence. In gift-exchange labor markets, firms provide a gift to workers by paying high wages, and workers reciprocate by providing high efforts. Tax LSE is theoretically...

Persistent link: https://www.econbiz.de/10005795580

The Bicausal Relation between Religion and Income

Bettendorf, Leon; Dijkgraaf, Elbert - Tinbergen Institute - 2005

In this paper the relation between religion and income is investigated using a micro-dataset for the Netherlands. Religiosity is measured by religious membership and by participation. Instead of estimating separately a religion and an income equation, joint regression is preferred since this...

Persistent link: https://www.econbiz.de/10005144570

The Connexion between Old and New Approaches to Financial Satisfaction

Praag, Bernard M.S. Van - Tinbergen Institute - 2004

Published in: Luigino Bruni and Pierluigi Porta (eds.), 'Economics and Happiness. Framing the Analysis', Oxford University Press, 2005.

Persistent link: https://www.econbiz.de/10005450744

Optimal Fourier Inversion in Semi-analytical Option Pricing

Lord, Roger; Kahl, Christian - Tinbergen Institute - 2006

At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...

Persistent link: https://www.econbiz.de/10005209502

Quantity Constrained Equilibria

Herings, P. Jean-Jacques; Laan, Gerard van der; Talman, Dolf - Tinbergen Institute - 2001

In a standard general equilibrium model it is assumed that there are no price restictions and that prices adjust infinitely fast to their equilibrium values. In this paper the set of admissible prices is allowed to be an arbitrary convex set. For such an arbitrary set it cannot be guaranteed...

Persistent link: https://www.econbiz.de/10005144447

Stochastic Dominance: Convexity and Some Efficiency Tests

Lizyayev, Andrey M. - Tinbergen Institute - 2009

This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We review

Persistent link: https://www.econbiz.de/10008513225

1
2
3
4
5
6
7
8
Next
Last