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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Instituut - 1999
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...
Persistent link: https://www.econbiz.de/10011256462
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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - Tinbergen Instituut - 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011256282
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - Tinbergen Instituut - 2013
The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …
Persistent link: https://www.econbiz.de/10011256964
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Counting with Combined Splitting and Capture-Recapture Methods
Dupuis, Paul; Kaynar, Bahar; Ridder, Ad; Rubinstein, Reuven - Tinbergen Instituut - 2011
This discussion paper resulted in a publication in <Stochastic Models</I> (2012). Volume 28(3), pages 478-502.<P> 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...</p></stochastic>
Persistent link: https://www.econbiz.de/10011255459
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On Distributions of Ratios
Broda, Simon A.; Kan, Raymond - Tinbergen Instituut - 2014
A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...
Persistent link: https://www.econbiz.de/10011255898
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Nonparametric Tests for Serial Independence Based on Quadratic Forms
Diks, Cees; Panchenko, Valentyn - Tinbergen Instituut - 2005
See also C. Diks: <A href="http://www1.fee.uva.nl/cendef/upload/6/ecss_diks_r1.pdf">'Nonparametric tests for independence'</A>. In R. Meyers (Ed.), Encyclopedia of Complexity and Systems Science. Berlin: Springer Verlag, 2009. <P> Tests for serial independence and goodness-of-fit based on divergence notions between probability distributions, such as the...</p></a>
Persistent link: https://www.econbiz.de/10011255895
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Variable Selection and Functional Form Uncertainty in Cross-Country Growth Regressions
Salimans, Tim - Tinbergen Instituut - 2011
Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...
Persistent link: https://www.econbiz.de/10011256334
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Are Economic Agents Successful Optimizers? An Analysis through Service Strategy in Tennis
Klaasen, Franc J.G.M.; Magnus, Jan R. - Tinbergen Instituut - 2006
We consider the question whether top tennis players in a top tournament (Wimbledon) employ an optimal (efficient) service strategy. We show that top players do not, in general, follow an optimal strategy, and we provide a lower bound of the inefficiency. The inefficiency regarding winning a...
Persistent link: https://www.econbiz.de/10011257384
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Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2013
This discussion paper led to an article in the <I>Journal of Risk and Financial Management</I> (2014). Volume 7(2), pages 80-109.<P> In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where...</p></i>
Persistent link: https://www.econbiz.de/10011256164
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the …
Persistent link: https://www.econbiz.de/10011256696