The main objective of this paper is to study the relationship between external public debt and equilibrium real exchange rate in developing countries. Using a extension of Obstfeld & Rogoff (1995) model we show that debt overhang tend to appreciate real exchange rate in the long run (Krugman...

This paper proposes an evaluation of the main empirical approaches used in the literature to estimate the productive contribution of public capital stock to private factors productivity and growth. Our analysis is based on the replication of these approaches on pseudo samples generated using a...

Si Dooley (2002, p. 829) considère que « la simulation a une popularité croissante en tant qu’approche méthodologique auprès des chercheurs en sciences des organisations », ceci peut s’apprécier par les numéros spéciaux d’American Journal of Sociology en 2005 ou d’Academy of...

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...

While statisticians are well-accustomed to performing exploratory analysis in the modeling stage of an analysis, the notion of conducting preliminary general-purpose exploratory analysis in the Monte Carlo stage (or more generally, the model-fitting stage) of an analysis is an area that we feel...

Alpha-Beta pruning is one of the most powerful and fundamental MiniMax search improvements. It was designed for sequential two-player zero-sum perfect information games. In this paper we introduce an Alpha-Beta-like sound pruning method for the more general class of “stacked matrix games”...

Gibbs sampling has had great success in the analysis of mixture models. In particular, the “latent variable” formulation of the mixture model greatly reduces computational complexity. However, one failing of this approach is the possible existence of almost-absorbing states, called trapping...

Many authors have considered the problem of estimating a covariance matrix in small samples. In this framework the sample covariance matrix is not robust, the solution is to impose some ad hoc structure on the covariance matrix to force it to be well-conditioned. This method is known as...

We propose a general sequential Monte Carlo approach for optimization of pseudo-Boolean objective functions. There are three aspects we particularly address in this work. First, we give a unified approach to stochastic optimization based on sequential Monte Carlo techniques, including the...

A viability algorithm is developed to compute the constrained minimum time function for general dynamical systems. The algorithm is instantiated for a specific dynamics(Dubin’s vehicle forced by a flow field) in order to numerically solve the minimum time problem. With the specific...