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Stochastic Volatility Estimation with GPU Computing
Santos, António Alberto; Andrade, João - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2014
In this paper, we show how to estimate the parameters of stochastic volatility models using Bayesian estimation and Markov chain Monte Carlo (MCMC) simulations through the approximation of the a-posteriori distribution of parameters. Simulated independent draws are made possible by using...
Persistent link: https://www.econbiz.de/10010765774
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Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments
Durham, Garland; Geweke, John - 2013
Massively parallel desktop computing capabilities now well within the reach of individual academics modify the environment for posterior simulation in fundamental and potentially quite advantageous ways. But to fully exploit these benefits algorithms that conform to parallel computing...
Persistent link: https://www.econbiz.de/10014158835
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Divide to conquer? The Silicon Valley - Boston 128 case revisited
Press, Kerstin - Disciplinegroep Economische Geografie, Faculteit … - 2006
The present paper investigates the role of decentralisation for the adaptability of production networks in clusters. It … develops a simulation model able to test to what extent decentralised, networked clusters with many small firms (Silicon Valley … decentralised clusters. Only if they host more firms than integrated cluster types is their lead in performance maintained. As a …
Persistent link: https://www.econbiz.de/10005345947
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Merging simulation and projection approaches to solve high-dimensional problems with an application to a new Keynesian model
Maliar, Lilia; Maliar, Serguei - In: Quantitative economics : QE ; journal of the … 6 (2015) 1, pp. 1-47
We introduce a numerical algorithm for solving dynamic economic models that merges stochastic simulation and projection approaches: we use simulation to approximate the ergodic measure of the solution, we cover the support of the constructed ergodic measure with a fixed grid, and we use...
Persistent link: https://www.econbiz.de/10011757628
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Relevant States and Memory in Markov Chain Bootstrapping and Simulation
Cerqueti, Roy; Falbo, Paolo; Pelizzari, Cristian - Volkswirtschaftliche Fakultät, … - 2013
Markov chain theory is proving to be a powerful approach to bootstrap highly nonlinear time series. In this work we provide a method to estimate the memory of a Markov chain (i.e. its order) and to identify its relevant states. In particular the choice of memory lags and the aggregation of...
Persistent link: https://www.econbiz.de/10011259232
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Simulation Based Inference for Dynamic Multinomial Choice Models
Geweke, John; Houser, Dan; Keane, Michael - Volkswirtschaftliche Fakultät, … - 1999
Our goal in this chapter is to explain concretely how to implement simulation methods in a very general class of models that are extremely useful in applied work: dynamic discrete choice models where one has available a panel of multinomial choice histories and partially observed payoffs....
Persistent link: https://www.econbiz.de/10011260171
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Simulating tourists' behaviour using multi-agent modelling
Corniglion, Sébastien; Turnois, Nadine - Volkswirtschaftliche Fakultät, … - 2011
We discuss who should be in charge of providing data relevant to marketing segmentation for the tourism industry. We describe the difficulties of using the most commonly found consumer behavioural models within an information system, and oppose them to a novel approach in marketing segmentation,...
Persistent link: https://www.econbiz.de/10009322626
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Methodological Issues and Models in 'History Friendly' Simulations
Garavaglia, Christian - KITeS, Centre for Knowledge, Internationalization and … - 2009
Simulation techniques have proliferated a lot in the last years. In economics the industrial dynamics approach makes use of simulation techniques to understand the complexity of the industrial process of continuous change. Among these models, a new branch of studies called “History-friendly”...
Persistent link: https://www.econbiz.de/10008683416
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Competitive Balance Measures in Sports Leagues: The Effects of Variation in Season Length
Owen, P Dorian; King, Nicholas - National Centre for Econometric Research (NCER) - 2013
Appropriate measurement of competitive balance is a cornerstone of the economic analysis of professional sports leagues. We examine the distributional properties of the ratio of standard deviations (RSD) of points percentages, the most widely used measure of competitive balance in the sports...
Persistent link: https://www.econbiz.de/10010692188
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Stability of the World Trade Web over time – An extinction analysis
Foti, Nicholas J.; Pauls, Scott; Rockmore, Daniel N. - In: Journal of Economic Dynamics and Control 37 (2013) 9, pp. 1889-1910
The World Trade Web (WTW) is a weighted network whose nodes correspond to countries while edge weights reflecting the value of imports and/or exports between countries. In this paper we introduce to this macroeconomic system the notion of extinction analysis, a technique often used in the...
Persistent link: https://www.econbiz.de/10011051898