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Market Exchange Modelling Experiment, Simulation Algorithms, and Theoretical Analysis
Buda, Rodolphe - Volkswirtschaftliche Fakultät, … - 1999
The purpose of this paper is, through a system of software, to analyze some theoretical aggregate models. We suggest to build a disaggregated model to compare its results with these of the aggregated one. The disaggregated model uses an analogical mechanism of the individual behaviors so that a...
Persistent link: https://www.econbiz.de/10005835670
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Bootstrap prediction intervals for threshold autoregressive models
Jing, Li - Volkswirtschaftliche Fakultät, … - 2009
coefficients and allow for heterogeneous errors. Simulation shows that (1) accounting for the sampling variability of estimated …
Persistent link: https://www.econbiz.de/10005835843
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Fast and accurate simulation of differently seasoned loan defaults in a Merton-style framework in discrete time
Varsanyi, Zoltan - Volkswirtschaftliche Fakultät, … - 2008
In this paper I present a method for the simulation of the default of such loans that have two important properties … widely considered in modelling, linking them into one single (simulation) framework might not be that common. However, the … most important merit of this paper is showing a fast and accurate simulation algorithm for the asset values. …
Persistent link: https://www.econbiz.de/10005837041
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Brand and Quantity Choice Dynamics Under Price Uncertainty
Erdem, Tulin; Imai, Susumu; Keane, Michael - Volkswirtschaftliche Fakultät, … - 2003
We develop a model of household demand for frequently purchased consumer goods that are branded, storable and subject to stochastic price fluctuations. Our framework accounts for how inventories and expectations of future prices affect current period purchase decisions. We estimate our model...
Persistent link: https://www.econbiz.de/10011257829
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A hybrid simulation model of bank branch considered as system of queuing: the role of human factor
Rumyantsev, Mikhail I. - Volkswirtschaftliche Fakultät, … - 2011
This paper continues consideration of computer simulation of a bank branch by means of GPSS World and structural … report on the development of a simulation model to examine the influence of skills, motivation and an emotional condition of …
Persistent link: https://www.econbiz.de/10011257917
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Productivity change using growth accounting and frontier-based approaches – Evidence from a Monte Carlo analysis
Giraleas, Dimitris; Emrouznejad, Ali; Thanassoulis, Emmanuel - Volkswirtschaftliche Fakultät, … - 2011
This study presents some quantitative evidence from a number of simulation experiments on the accuracy of the …
Persistent link: https://www.econbiz.de/10011258844
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Relevant States and Memory in Markov Chain Bootstrapping and Simulation
Cerqueti, Roy; Falbo, Paolo; Pelizzari, Cristian - Volkswirtschaftliche Fakultät, … - 2013
Markov chain theory is proving to be a powerful approach to bootstrap highly nonlinear time series. In this work we provide a method to estimate the memory of a Markov chain (i.e. its order) and to identify its relevant states. In particular the choice of memory lags and the aggregation of...
Persistent link: https://www.econbiz.de/10011259232
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Simulation Based Inference for Dynamic Multinomial Choice Models
Geweke, John; Houser, Dan; Keane, Michael - Volkswirtschaftliche Fakultät, … - 1999
Our goal in this chapter is to explain concretely how to implement simulation methods in a very general class of models …
Persistent link: https://www.econbiz.de/10011260171
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On the problem of the adequacy estimation of simulation models of the banking business processes
Rumyantsev, Mikhail I. - Volkswirtschaftliche Fakultät, … - 2010
This paper presents an overview of some general concepts and techniques of an adequacy estimation of simulation models … of the banking business processes. A proposal on specific requirements for computer simulation models to banking activity …
Persistent link: https://www.econbiz.de/10011260831
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Моделирование деятельности финансово-кредитного учреждения средствами системной динамики
Rumyantsev, Mikhail I. - Volkswirtschaftliche Fakultät, … - 2008
The article examines an approach to the simulation of financial institution behavior (and bank in particular) based …
Persistent link: https://www.econbiz.de/10011261120