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Merger simulation in competition policy : a survey

Budzinski, Oliver; Ruhmer, Isabel - 2009

employment of merger simulation models in merger control procedures during the past almost 15 years. Merger simulation is … of state-of-the-art merger simulation models and review their previous employment in merger cases as well as the problems … and limitations currently associated with their use in merger control. In summary, merger simulation models represent an …

Persistent link: https://www.econbiz.de/10003821585

Simulating WTP values from random-coefficient models

Rischatsch, Maurus - 2009

economics. With increased computation power and advanced simulation techniques, random-coefficient models have gained an … have a known distribution. -- willingness-to-pay ; discrete choice ; simulation ; random-coefficient models …

Persistent link: https://www.econbiz.de/10003900948

Social sustainability in European banks : a machine learning approach using interval-based composite indicators

Drago, Carlo; Di Nallo, Loris; Russotto, Maria Lucetta - 2023

methodological approach employed is based on a Monte-Carlo simulation and allows for improving the information the composite …

Persistent link: https://www.econbiz.de/10014304098

MaCGE-MOD : Malta's computable general equilibrium model

Cassar, Ian P.; Debono, Nathaniel; Deriu, Stefano; … - 2023

This paper introduces the latest addition to the modelling toolkit of the Central Bank of Malta: a static Computable General Equilibrium model for Malta named MaCGE-MOD. Developed through a collaboration with the University of Macerata, the model is a multiinput, multi-output and multi-sector...

Persistent link: https://www.econbiz.de/10014330001

Testing for Equality between Two Copulas

Rémillard, Bruno; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramér-von Mises test statistic. Finite sample properties are...

Persistent link: https://www.econbiz.de/10005858034

fficient Importance Sampling For ML Estimation of SCD Models

Bauwens, Luc; Galli, Fausto - Institut für Schweizerisches Bankwesen <Zürich> - 2007

The evaluation of the likelihood function of the stochastic conditional duration model requires to compute an integral that has the dimension of the sample size. We apply the efficient importance sampling method for computing this integral. We compare EIS-based ML estimation with QML estimation...

Persistent link: https://www.econbiz.de/10005858050

Getting PPP right : identifying mean-reverting real exchange rates in panels

Chortareas, Georgios E. (contributor); … - 2008

Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...

Persistent link: https://www.econbiz.de/10003740322

Block bootstrap and long memory

Kapetanios, George; Papailias, Fotis - 2011

We consider the issue of Block Bootstrap methods in processes that exhibit strong dependence. The main difficulty is to transform the series in such way that implementation of these techniques can provide an accurate approximation to the true distribution of the test statistic under...

Persistent link: https://www.econbiz.de/10009157629

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...

Persistent link: https://www.econbiz.de/10011389786

Common and country specific economic uncertainty

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the...

Persistent link: https://www.econbiz.de/10011306276

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