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Self-organized percolation model for stock market fluctuations

Stauffer, Dietrich; Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 271 (1999) 3, pp. 496-506

In the Cont–Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors …

Persistent link: https://www.econbiz.de/10011058313

Unstable weights in the combination of forecasts

Kang, Heejoon - In: Management science : journal of the Institute for … 32 (1986) 6, pp. 683-695

Persistent link: https://www.econbiz.de/10001017818

Impulse response analysis in a misspecified DSGE model : a comparison of full and limited information techniques

Giesen, Sebastian; Scheufele, Rolf - In: Applied economics letters 23 (2016) 1/3, pp. 162-166

Persistent link: https://www.econbiz.de/10011414505

Improved inferences for spatial regression models

Liu, Shew Fan; Yang, Zhenlin - In: Regional science & urban economics 55 (2015), pp. 55-67

Persistent link: https://www.econbiz.de/10011479842

Value-at-risk time scaling : a Monte Carlo approach

Malataliana, Moepa; Rigotard, Michael - In: The journal of risk model validation 10 (2016) 1, pp. 47-57

Persistent link: https://www.econbiz.de/10011485151

Application of Monte Carlo methods : computing heterogeneous agent models without aggregate uncertainty

Vasilev, Aleksandar - 2009

In this paper we solve the benchmark heterogeneous agents model by Aiyagari (1994) using Monte Carlo methods. In addition, the idiosyncratic shocks process is approximated using Tauchen's (1986) method. This we go beyond the 2 by 2 Markov matrix approximation of the AR(1) stochastic process. The...

Persistent link: https://www.econbiz.de/10011487337

The influence of additive outliers on the performance of information criteria to detect nonlinearity

Rinke, Saskia - 2016

In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...

Persistent link: https://www.econbiz.de/10011488709

Modeling fund and portfolio risk : a bi-modal approach to analyzing risk in turbulent markets

Karagiannidis, Iordanis; Wilford, D. S. - In: Review of financial economics : RFE 25 (2015), pp. 19-26

Persistent link: https://www.econbiz.de/10011498207

Diagnostic analysis and computational strategies for estimating discrete time duration models : a Monte Carlo study

Li, Xianghong; Smith, Barry J. - In: Journal of econometrics 187 (2015) 1, pp. 275-292

Persistent link: https://www.econbiz.de/10011499419

Information criteria for nonlinear time series models

Rinke, Saskia; Sibbertsen, Philipp - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 325-341

Persistent link: https://www.econbiz.de/10011507539

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