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Importance sampling in the presence of PD-LGD correlation

Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36

to as PD-LGD correlation (here PD refers to probability of default, which is often used synonymously with default rate …This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large …). There is a large literature on modelling stochastic LGD and PD-LGD correlation, but there is a dearth of literature on using …

Persistent link: https://www.econbiz.de/10012203783

Stochastic multivariate mixture covariance model

So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155

Persistent link: https://www.econbiz.de/10011729126

Covariance estimation using random permutations

Padmakumari, Lakshmi; Maheswaran, S. - In: International journal of financial engineering 5 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011922956

The dynamic striated Metropolis-Hastings sampler for high-dimensional models

Waggoner, Daniel F.; Wu, Hongwei; Zha, Tao - 2014

avoiding the weaknesses of the straight Metropolis-Hastings algorithm as well as those of importance sampling. In particular …

Persistent link: https://www.econbiz.de/10010434021

Variable selection and estimation in high-dimensional models

Horowitz, Joel - In: The Canadian journal of economics 48 (2015) 2, pp. 389-407

Persistent link: https://www.econbiz.de/10011568501

Bayesian semiparametric modeling of realized covariance matrices

Jin, Xin; Maheu, John M. - In: Journal of econometrics 192 (2016) 1, pp. 19-39

Persistent link: https://www.econbiz.de/10011610652

Infinite Markov pooling of predictive distributions

Jin, Xin; Maheu, John M.; Yang, Qiao - In: Journal of econometrics 228 (2022) 2, pp. 302-321

Persistent link: https://www.econbiz.de/10013441752

Which factors are risk factors in asset pricing? : a model scan framework

Chib, Siddhartha; Zeng, Xiaming - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 771-783

Persistent link: https://www.econbiz.de/10012313369

Joint Bayesian analysis of parameters and states in nonlinear, non-Gaussian state space models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2014

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

Persistent link: https://www.econbiz.de/10010399681

Tail distribution of the maximum of correlated Gaussian random variables

Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015

completely new sequential importance sampling estimator of the desired tail probability. Numerical experiments suggest that the … sequential importance sampling estimator can be significantly more efficient than its competitor. …

Persistent link: https://www.econbiz.de/10011431354