Narrow search
Showing 1 - 10 of 132
Cover Image
The Mean Reversion Stochastic Processes Applications in Risk Management
Radkov, Petar - Volkswirtschaftliche Fakultät, … - 2010
In this study we investigate using the mean reversion processes in financial risk management, as they provide an good description of stock price uctuations and market risks. This paper does not aim at being exhaustive, but gives examples for practically implementable models allowing for stylised...
Persistent link: https://www.econbiz.de/10011107602
Cover Image
Identification and Estimation of a Discrete Game by Observing its Correlated Equilibria
Wang, Yafeng; Graham, Brett - Volkswirtschaftliche Fakultät, … - 2010
estimated from the data. The importance sampling technique is used to reduce computational burden and overcome the non …
Persistent link: https://www.econbiz.de/10011111020
Cover Image
Stochastic conditonal range, a latent variable model for financial volatility
Galli, Fausto - Volkswirtschaftliche Fakultät, … - 2014
sampling depending on the hypotheses on the distributional form of the innovations. A predic- tive accuracy comparison with the …
Persistent link: https://www.econbiz.de/10011112722
Cover Image
Stochastic conditonal range, a latent variable model for financial volatility
Galli, Fausto - Volkswirtschaftliche Fakultät, … - 2014
). We propose to estimate its parameters by Kalman filter, importance sampling and simulated maximum likelihood depending on …
Persistent link: https://www.econbiz.de/10011113646
Cover Image
Marginal Likelihood Estimation with the Cross-Entropy Method
Chan, Joshua; Eisenstat, Eric - Volkswirtschaftliche Fakultät, … - 2012
We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is … importance sampling approach is that random samples can be obtained from some convenient density with little additional costs. As …
Persistent link: https://www.econbiz.de/10011114415
Cover Image
Simulation Based Estimation of Discrete Sequential Move Games of Perfect Information
Wang, Yafeng; Graham, Brett - Volkswirtschaftliche Fakultät, … - 2010
simulated moments and importance sampling. We use importance sampling techniques not only to reduce computational burden and …
Persistent link: https://www.econbiz.de/10008602769
Cover Image
Efficient Bayesian estimation and combination of GARCH-type models
Ardia, David; Hoogerheide, Lennart F. - Volkswirtschaftliche Fakultät, … - 2010
used in importance sampling for model estimation, model selection and model combination. The procedure is fully automatic …
Persistent link: https://www.econbiz.de/10008498470
Cover Image
Price Calibration of basket default swap: Evidence from Japanese market
Fathi, Abid; Nader, Naifar - Volkswirtschaftliche Fakultät, … - 2007
basket credit derivatives. Joshi and Kainth (2004) introduced an Importance Sampling technique for rare-event that forces a …
Persistent link: https://www.econbiz.de/10005260302
Cover Image
Copula based simulation procedures for pricing basket Credit Derivatives
Fathi, Abid; Nader, Naifar - Volkswirtschaftliche Fakultät, … - 2007
importance sampling procedures for simulation which captures the dependence structure between the underlying variables at extreme …
Persistent link: https://www.econbiz.de/10005622056
Cover Image
File-Sharing, Sampling, and Music Distribution
Peitz, Martin; Waelbroeck, Patrick - Volkswirtschaftliche Fakultät, … - 2004
, we show that the existence of P2P networks may alter the standard business model: sampling may replace costly marketing …
Persistent link: https://www.econbiz.de/10005835223