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Convergence studies on Monte Carlo methods for pricing mortgage-backed securities

Pang, Tao; Yang, Yipeng; Zhao, Dai - In: International Journal of Financial Studies 3 (2015) 2, pp. 136-150

Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only,...

Persistent link: https://www.econbiz.de/10011708977

New strategies to improve the accuracy of predictions based on Monte Carlo and bootstrap simulations: An application to Bulgarian and Romanian inflation

Simionescu, Mihaela - In: Revista de Métodos Cuantitativos para la Economía y … 18 (2014), pp. 112-129

The necessity of improving the forecasts accuracy grew in the context of ac- tual economic crisis, but few researchers were interested till now in finding out some empirical strategies to improve their predictions. In this article, for the inflation rate forecasts on the horizon 2010 - 2012, we...

Persistent link: https://www.econbiz.de/10011307215

Improving Value-at-Risk estimation from the normal EGARCH model

Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary Economics 11 (2017) 1, pp. 91-106

-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both … to accurate for the tendency of the model tomiscalculate the VaR. Empirical results indicate that the bias …-correction method can improve the n-GARCH and n-EGARCH VaR forecasts so much that the acquired VaR predictions are different from the …

Persistent link: https://www.econbiz.de/10011659907

How do parliamentary elections affect stock market volatility? Example from the Republic of Macedonia

Trajkovska, Aleksandra - In: Journal of Contemporary Economic and Business Issues 5 (2018) 2, pp. 53-62

The main aim of this research is to examine the effect that political elections have on stock prices on the Macedonian Stock Exchange Index MBI 10. Our paper strains to imply the existence of problems due to political uncertainties of the efficient market hypothesis. The methodology used for the...

Persistent link: https://www.econbiz.de/10011984759

Cryptocurrency returns before and after the introduction of Bitcoin futures

Deniz, Pinar; Stengos, Thanasēs - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-21

This paper examines the behaviour of Bitcoin returns and those of several other cryptocurrencies in the pre and post period of the introduction of the Bitcoin futures market. We use the principal component-guided sparse regression (PC-LASSO) model to analyze several sample sizes for the pre and...

Persistent link: https://www.econbiz.de/10012611345

A comparison of some bayesian and classical procedures for simultaneous equation models with weak instruments

Gao, Chuanming; Lahiri, Kajal - In: Econometrics 7 (2019) 3, pp. 1-28

We compare the finite sample performance of a number of Bayesian and classical procedures for limited information simultaneous equations models with weak instruments by a Monte Carlo study. We consider Bayesian approaches developed by Chao and Phillips, Geweke, Kleibergen and van Dijk, and...

Persistent link: https://www.econbiz.de/10012696248

Comparative numerical analysis of two stock-flow consistent post-Keynesian growth models

Ciuffo, Biagio; Rosenbaum, Eckehard - In: European Journal of Economics and Economic Policies: … 12 (2015) 1, pp. 113-134

Stock-flow consistent (SFC) models become complex and hence rather intractable once they seek to incorporate more features of reality. Solving such models numerically for preselected parameter values can help to overcome this problem. But how should the parameters be selected given that there...

Persistent link: https://www.econbiz.de/10014363228

Selection criteria in regime switching conditional volatility models

Chuffart, Thomas - In: Econometrics 3 (2015) 2, pp. 289-316

A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a...

Persistent link: https://www.econbiz.de/10011755282

The sensitivity of Value-at-Risk estimates using Monte Carlo approach

Agiakloglou, Christos; Agiropoulos, Charalampos - In: SPOUDAI - Journal of Economics and Business 61 (2011) 1/2, pp. 7-12

This study examines the sensitivity of VaR estimates obtained with Monte Carlo technique using the data set of Benninga …

Persistent link: https://www.econbiz.de/10010343124

Volatility modelling and VaR: The case of Bitcoin, Ether and Ripple

Ječmínek, Jakub; Kukalová, Gabriela; Moravec, Lukáš - In: DANUBE: Law, Economics and Social Issues Review 11 (2020) 3, pp. 253-269

GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and … VaR estimation for three major digital assets and conclude which method gives the best results in terms of risk management …. The methods we used are parametric (GARCH and EWMA model), non-parametric (historical VaR) and Monte Carlo simulation …

Persistent link: https://www.econbiz.de/10012622669