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Contagious herding and endogenous network formation in financial networks
Georg, Co-Pierre - 2014
When banks choose similar investment strategies, the financial system becomes vulnerable to common shocks. Banks decide about their investment strategy ex-ante based on a private belief about the state of the world and a social belief formed from observing the actions of peers. When the social...
Persistent link: https://www.econbiz.de/10010405430
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Interbank risk assessment : a simulation approach
Jager, Maximilian; Siemsen, Thomas; Vilsmeier, Johannes - 2020
We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank …
Persistent link: https://www.econbiz.de/10012201789
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Industrialization, returns, inequality
Albers, Thilo N. H.; Kersting, Felix; Stieglitz, Timo - 2023
How does revolutionary technological change impact wealth inequality? We turn to the mother of all technological shocks–the Industrial Revolution–and analyze its role for wealth concentration both empirically and theoretically. Based on a novel dataset on wealth shares at the level of...
Persistent link: https://www.econbiz.de/10014487319
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Leptokurtic stock distributions : implications for option valuation
Chan, Howard Wei-hong - 1992
Persistent link: https://www.econbiz.de/10000873201
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Quasi-Monte Carlo methods in stochastic simulations : an application to fiscal policy simulations using an aggregate disequilibrium model of the West German economy 1960 - 1994
Franz, Wolfgang (contributor) - 1998
Different stochastic simulation methods are used in order to check the robustness of the outcome of policy simulations … possible margin. Because of nonlinearities confidence intervals for the simulation results have to be obtained by means of … stochastic simulations. The main contribution of this paper consists in presenting the simulation results. The robustness of …
Persistent link: https://www.econbiz.de/10000654506
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Availability simulation as a tool for increasing production from a continuous process plant
Allen, Derek H.; Thomas, Richard E. - 1983
Persistent link: https://www.econbiz.de/10003466650
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A program for solving and simulating discrete time linear rational expectations models
Buiter, W. H.; Dunn, R. - 1982
Persistent link: https://www.econbiz.de/10003504925
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Cash management and payment choices : a simulation model with international comparisons
Arango, Carlos; Bouhdaoui, Yassine; Bounie, David; … - 2014
develops a simulation model to test whether standard implications of the theory on cash management and payment choices can …
Persistent link: https://www.econbiz.de/10010249691
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Robust small area estimation under spatial non-stationarity
Baldermann, Claudia; Salvati, Nicola; Schmid, Timo - 2016
Geographically weighted small area methods have been studied in literature for small area estimation. Although these approaches are useful for the estimation of small area means efficiently under strict parametric assumptions, they can be very sensitive to outliers in the data. In this paper, we...
Persistent link: https://www.econbiz.de/10011455039
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Finding relevant variables in sparse Bayesian factor models : economic applications and simulation results
Kaufmann, Sylvia; Schumacher, Christian - 2012
This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...
Persistent link: https://www.econbiz.de/10009674269