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Decomposing portfolio value-at-risk : a general analysis
Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011301159
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Calculating confidence intervals for continuous and discontinuous functions of parameters
Woutersen, Tiemen; Ham, John C. - 2013
Applied researchers often need to estimate confidence intervals for functions of parameters, such as the effects of counterfactual policy changes. If the function is continuously differentiable and has non-zero and bounded derivatives, then they can use the delta method. However, if the function...
Persistent link: https://www.econbiz.de/10009747952
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Applications of fractional response model to the study of bounded dependent variables in accounting research
Gallani, Susanna; Krishnan, Ranjani; Wooldridge, Jeffrey M. - 2015
Survey research studies make extensive use of rating scales to measure constructs of interest. The bounded nature of such scales presents econometric estimation challenges. Linear estimation methods (e.g. OLS) often produce predicted values that lie outside the rating scales, and fail to account...
Persistent link: https://www.econbiz.de/10011536090
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Efficient numerical pricing of American call options using symmetry arguments
Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 2/59, pp. 1-26
regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …
Persistent link: https://www.econbiz.de/10012022212
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Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation
Cappellari, Lorenzo (contributor);  … - 2006
We discuss methods for calculating multivariate normal probabilities by simulation and two new Stata programs for this … used for maximum simulated likelihood estimation. -- simulation estimation ; maximum simulated likelihood ; multivariate …
Persistent link: https://www.econbiz.de/10003316516
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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables
Keane, Michael P.; Sauer, Robert M. - 2009
This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data … important determinants of participation, while race is much less important. -- Initial conditions ; missing data ; simulation …
Persistent link: https://www.econbiz.de/10003824296
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An objective function for simulation based inference on exchange rate data
Winker, Peter (contributor); Gilli, Manfred (contributor);  … - 2007
estimation approach, e.g., for agent based microsimulation models or complex multifractal models, simulation based estimators …
Persistent link: https://www.econbiz.de/10003548061
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Testing for equality between two copulas
Remillard, Bruno (contributor);  … - 2007
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 Crameacute;r-von Mises test statistic. Finite sample properties...
Persistent link: https://www.econbiz.de/10003550857
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Monte Carlo approximate tensor moment simulations
Arismendi Zambrano, Juan Carlos; Kimura, Herbert - 2014
An algorithm to generate samples with approximate first-, second-, and third-order moments is presented extending the Cholesky matrix decomposition to a Cholesky tensor decomposition of an arbitrary order. The tensor decomposition of the first-, second-, and third-order objective moments...
Persistent link: https://www.econbiz.de/10010532225
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On importance sampling for state space models
Jungbacker, Borus; Koopman, Siem Jan - 2005
and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …
Persistent link: https://www.econbiz.de/10011348357