In this paper there's a simulation study on evolutionary finance models from Evstigneev/Hens/Schenk-Hoppe and applies the scenario generation algorithm from Hoyland/Kaut/Wallace with moment matching. Further it shows with different dividend models which investment strategies perform best under...

This paper is concerned with the problems of posterior simulation and model choice for Poisson panel data models with multiple random effects. Efficient algorithms based on Markov Chain Monte Carlo methods for sampling the posterior distribution are developed. A new parameterization of the...

In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a unified, practical likelihood-based framework for the analysis of stochastic volatility models. A highly effective method is developed that samples all the unobserved volatilities at once using an approximating...

Making use of restrictions imposed by equilibrium, theoretical progress has been made on the nonparametric and semiparametric estimation and identification of scalar additive hedonic models (Ekeland, Heckman, and Nesheim, 2002) and scalar nonadditive hedonic models (Heckman, Matzkin, and...

This paper presents a study of a coordinated production inventory-system. In the proposed model, any echelon considers its successors as part of its inventory system and generates the replenishment order on the basis of operational information of its partners. We show that the coordinated...

Textbooks on Design of Experiments invariably start by explaining why one-factor-at-a-time (OAT) is an inferior method. Here we will show that in a model with all interactions a variant of OAT is extremely efficient, provided that we only have non-negative parameters and that there are only a...

Monte Carlo methods are simulation algorithms to estimate a numerical quantity in a statistical model of a real system. These algorithms are executed by computer programs. Variance reduction techniques (VRT) are needed, even though computer speed has been increasing dramatically, ever since the...

This paper provides new evidence on the effects of banking sector recapitalization in Nigeria. It set up a simple model of the banking firm, to investigating the impact of capital regulation on banks behavior as well as having possible effects on the economy. Time series data covering the year...

This paper focuses on simulation-based inference for the time-deformation models directed by a duration process. In order to describe the heavy tail property of the time series of financial asset returns, the innovation of the observation equation is assumed to have a Student-t distribution....