The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are born equal:...

This paper examines the role of peer effects in smoking behavior using data of middle and high school students in the United States. I present a random utility model that explicitly incorporates complementarity between individual and peer smokings. A Markov process model of smoking interactions...

We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a proxy for interconnectedness. We measure systemic...

This paper examines the role of peer effects in smoking behavior using data of middle and high school students in the United States. I present a random utility model that explicitly incorporates complementarity between individual and peer smokings. A Markov process model of smoking interactions...

Using equations that arise in quantum mechanics, this paper describes a way to more accurately and efficiently represent non-Gaussian return distributions than the standard method of invoking skewness and kurtosis. Then, it provides a new single intuitive number, defined here as the “crash...

Johan Gielis showed that all closed curves might be considered as some sort of deformed ellipses. He gave a superformula to parameterize such shapes. In this study an attempt has been made to estimate the parameters of Gielis' superformula from empirical data. We use an optimum search algorithm...

In this paper we analyze spot prices and futures quotation data to get inference under both the historical and the risk neutral measure in a commodity crude oil market (data are referred to WTI index which tracks the crude oil barrel price on NYMEX market).While big part of research and...

In this paper, I show how gradient-based optimization methods can be used to estimate stochastic dynamic models in economics. By extending the state space to include all model parameters, I show that we need to solve the model only once to do structural estimation. Parameters are then estimated...

The largest US banks and Systemically Important Financial Institutions are required by regulatory mandate to estimate the operational risk capital they must hold using an Advanced Measurement Approach (AMA) as defined by the Basel II/III Accords. Most of these institutions use the Loss...