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Schätzung des Stichprobenfehlers in Mikrozensus Scientific Use Files ab 2005

Schimpl-Neimanns, Bernhard - In: AStA Wirtschafts- und Sozialstatistisches Archiv 5 (2011) 1, pp. 19-38

Scientific Use Files from 2005 can be estimated using design weights as well as calibration weights. Copyright Springer 2011 …

Persistent link: https://www.econbiz.de/10011151280

Hydropower Suitability Analysis on a Large Scale Level: Inclusion of a Calibration Phase to Support Determination of Model Parameters

Šantl, Sašo; Steinman, Franci - In: Water Resources Management 29 (2015) 1, pp. 109-123

a calibration stage, which can efficiently upgrade in cases when calibration data is available. The proposed method was …

Persistent link: https://www.econbiz.de/10011151741

Probabilistic risk attitudes and local risk aversion: a paradox

Sadiraj, Vjollca - In: Theory and Decision 77 (2014) 4, pp. 443-454

Prominent theories of decision under risk that challenge expected utility theory model risk attitudes at least partly with transformation of probabilities. This paper shows how attributing local risk aversion to attitudes towards probabilities can produce extreme probability distortions that...

Persistent link: https://www.econbiz.de/10011154899

Market Practice in Financial Modelling

Tan, Chia Chiang - World Scientific Publishing Co. Pte. Ltd.

Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for...

Persistent link: https://www.econbiz.de/10011156355

Theory and Application of Positive Mathematical Programming in Agriculture and the Environment

Mérel, Pierre; Howitt, Richard - In: Annual Review of Resource Economics 6 (2014) 1, pp. 451-470

This review critically looks at the theoretical and empirical foundations of positive mathematical programming and its evolution in the past decade or so. We show how the need to model new empirical phenomena has induced the literature to rethink model specifications and to address new questions...

Persistent link: https://www.econbiz.de/10011004703

AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS

HEIDER, PASCAL - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250049-1

calibration strategy is presented and numerical examples are studied to validate the model assumptions. Besides option pricing, we …

Persistent link: https://www.econbiz.de/10011011262

EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL

LEVENDORSKIĬ, SERGEI - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250050-1

inaccurate pricing and calibration. As applications, we consider the Heston model and its generalization. For many parameter sets …

Persistent link: https://www.econbiz.de/10011011297

К вопросу оценки адекватности имитационных моделей банковских бизнес-процессов

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 re-engineering and optimization is formulated.

Persistent link: https://www.econbiz.de/10011260831

Calibration without Reduction for Non-Expected Utility

Freeman, David - Department of Economics, Simon Fraser University - 2015

Calibration results in Rabin (2000) and Safra and Segal (2008; 2009) suggest that both expected and non … over large stakes. This paper provides calibration results for recursive non-expected utility theories that relax the … Reduction of Compound Lotteries axiom (as in Segal 1990). These calibration results imply that a broad class of non …

Persistent link: https://www.econbiz.de/10011200176

A New Application of Taylor Rules: Model Evaluation

Salyer, Kevin; Van Gaasback, Kristin - Economics Department, University of California-Davis - 2003

Taylor rules posit a linear relationship between the output gap, inflation, and short-term nominal interest rates. Previous work has shown that the relationship between these key economic variables as captured by the Taylor rule is quite robust both across countries and monetary policy regimes....

Persistent link: https://www.econbiz.de/10008620329