The goal of this study is to investigate the causality relationship between the Utilities industry and the nine other industries. Previous literatures show that volatility of stock prices is informative; Granger causality is applied in this research by using of a leveraged bootstrap test...

The Kumaraswamy distribution is very similar to the Beta distribution, but has the important advantage of an invertible closed-form cumulative distribution function. The parameterization of the distribution in terms of shape parameters and the lack of simple expressions for its mean and variance...

The paper introduces four unbiased probability-simulators which produce continuous (simulated) log-likelihood functions with almost everywhere continuous derivatives. Identification conditions are derived which show that in the presence of intercepts in the latent utilities, then the shocks'...

We derive the asymptotic distribution of the parameters of the \citet{blp} (BLP) model in a many markets setting which takes into account simulation noise under the assumption of overlapping simulation draws. We show that as long as the number of simulation draws $R$ and the number of markets...

This paper looks at the problem of performing likelihood inference for limited dependent processes. Throughout we use simulation to carry out either classical inference through a simulated score method (simulated EM algorithm) or Bayesian analysis. A common theme is to develop computationally...

In the literature on tests of normality, much concern has been expressed over the problems associated with residual-based procedures. Indeed, the specialized tables of critical points which are needed to perform the tests have been derived for the location-scale model; hence, reliance on...

This paper proves that it is wrong to require that regressing a model's outputs on the observed real outcomes give a 45 line through the origin (unit slope, zero intercept). Therefore this paper proposes an alter-native requirement: the responses of the model and the real system should have the...

The main aim of this study is to evaluate the performance of structural equation models in the estimation of capabilities in a multidimensional development space. We simulate an artificial society using agent-based modelling techniques. Our artificial world is generated to closely resemble a...

The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...

The use of simulation in industry, of late, has become an important technique. It is used in the analysis of a number of complex systems, where analytical methods are either difficult to apply or not possible to apply. The problem discussed here is to increase the reliability of a system, which,...