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Euro – How Big a Difference: Finland and Sweden in Search of Macro Stability
Suni, Paavo; Vihriälä, Vesa - Elinkeinoelämän Tutkimuslaitos (ETLA) - 2013
joined the EMU in 1999. The simulation exercise suggests that the independent monetary regime reduced the impact of the …
Persistent link: https://www.econbiz.de/10010987111
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Techniques and Simulation Models in Risk Management
GHEORGHE, Mirela - In: Economia. Seria Management 15 (2012) 2, pp. 354-362
In the present paper, the scientific approach of the research starts from the theoretical framework of the simulation … concept and then continues in the setting of the practical reality, thus providing simulation models for a broad range of … inherent risks specific to any organization and simulation of those models, using the informatics instrument @Risk (Palisade …
Persistent link: https://www.econbiz.de/10010857607
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - Institute of Economic Research, Kyoto University - 2013
The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …
Persistent link: https://www.econbiz.de/10010860080
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Causes of nonlinearities in low-order models of the real exchange rate
Ahmad, Yamin; Lo, Ming Chien; Mykhaylova, Olena - In: Journal of International Economics 91 (2013) 1, pp. 128-141
This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the...
Persistent link: https://www.econbiz.de/10010906909
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Modeling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - Department of Economics and Finance, College of … - 2013
The papers in this special issue of Mathematics and Computers in Simulation cover the following topics. Improving …, globalization, and innovation. A general equilibrium simulation, whether exchange rates affect consumer prices. A comparative …
Persistent link: https://www.econbiz.de/10010907447
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Identifying I(0) Series in Macro-panels: Are Sequential Panel Selection Methods Useful?
Costantini, Mauro; Lupi, Claudio - Dipartimento di Economia, Gestione, Società e … - 2014
Sequential panel selection methods (spsms) are based on the repeated application of panel unit root tests and are increasingly used to identify I (0) time series in macro- panels. We check the reliability of spsms by using Monte Carlo simulations based on generating the individual test...
Persistent link: https://www.econbiz.de/10010907629
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Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - Frankfurt School of Finance and Management - 2012
beta errors. Furthermore, some new market risk validation models are introduced. In the end, a simulation with various …
Persistent link: https://www.econbiz.de/10010957485
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Treatments of Non-metric Variables in Partial Least Squares and Principal Component Analysis
Yoon, Jisu; Krivobokova, Tatyana - Courant Research Centre PEG - 2015
Analysis (PCA) algorithms. The performance of different treatments is compared in the extensive simulation study under several …
Persistent link: https://www.econbiz.de/10011212213
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On the optimal use of put options under trade restrictions
Bell, Peter N - Volkswirtschaftliche Fakultät, … - 2014
simulation to compare the optimal quantity when the agent maximizes mean-variance utility or Value at Risk over wealth at option …
Persistent link: https://www.econbiz.de/10011274398
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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