Similar Search Results

Brandts, Jordi; Saijō, Tatsuyoshi; Schram, Arthur - 2002

This paper studies behavior in experiments with a linear voluntary contributions mechanism for public goods conducted in Japan, the Netherlands, Spain and the USA. The same experimental design was used in the four countries. Our 'contribution function' design allows us to obtain a view of...

Persistent link: https://www.econbiz.de/10011327522

Nonrenewable resources, strategic behavior and the hotelling rule : an experiment

Veldhuizen, Roel van; Sonnemans, Joep - 2011

This study uses the methods of experimental economics to investigate possible causes for the failure of the Hotelling rule for nonrenewable resources. We argue that as long as resource stocks are high enough, producers may choose to (partially) ignore the dynamic component of their production...

Persistent link: https://www.econbiz.de/10011382748

Rich meets poor : an international fairness experiment

Cappelen, Alexander W.; Moene, Karl Ove; Sørensen, Erik Ø. - 2008

Why do people in rich countries not transfer more of their income to people in the world's poorest countries? To study this question and the relative importance of needs, entitlements, and nationality in people's social preferences, we conducted a real effort fairness experiment where people in...

Persistent link: https://www.econbiz.de/10011377115

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 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/10011301159

Adaptive polar sampling with an application to a Bayes measure of value-at-risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 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/10011302625

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a …

Persistent link: https://www.econbiz.de/10010259626

Modelling and simulation : an overview

McAleer, Michael; Chan, Felix; Oxley, Les - 2013

Persistent link: https://www.econbiz.de/10009765832

Penalized indirect inference

Blasques, Francisco; Duplinskiy, Artem - 2015

Parameter estimates of structural economic models are often difficult to interpret at the light of the underlying economic theory. Bayesian methods have become increasingly popular as a tool for conducting inference on structural models since priors offer a way to exert control over the...

Persistent link: https://www.econbiz.de/10010464781

Numerically accelerated importance sampling for nonlinear non-Gaussian state space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012

methods. Our methodology explores the idea that only a small part of the likelihood evaluation problem requires simulation. We …-off encountered by other sampling methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal …

Persistent link: https://www.econbiz.de/10011386179

The impact of effect size heterogeneity on meta-analysis : a Monte Carlo experiment

Koetse, Mark J.; Florax, Raymond J. G. M.; Groot, Henri … - 2007

In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a …

Persistent link: https://www.econbiz.de/10011372995