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Monte Carlo simulation of macroeconomic risk with a continuum of agents : the symmetric case

Hammond, Peter J.; Sun, Yeneng - In: Economic theory : official journal of the Society for … 21 (2003) 2/3, pp. 743-766

Persistent link: https://www.econbiz.de/10001732966

Estimation of hyperbolic diffusion using MCMC method

Tse, Yiu Kuen; Zhang, X. B.; Yu, Jun - 2002

Persistent link: https://www.econbiz.de/10001715835

Time series models with a common stochastic variance for analysing economic time series

Koopman, Siem Jan; Bos, Charles S. - 2002

Persistent link: https://www.econbiz.de/10001718624

Estimation of hyperbolic diffusion using MCMC method

Tse, Yiu Kuen; Zhang, Xibin; Yu, Jun - 2002

Persistent link: https://www.econbiz.de/10001722409

Finite sample comparison of alternative estimators of Itô diffusion processes : a Monte Carlo study

Jiang, George J.; Knight, John L. - In: The journal of computational finance 2 (1999) 3, pp. 5-38

Persistent link: https://www.econbiz.de/10001638577

Markov chain Monte Carlo methods for stochastic volatility models

Chib, Siddhartha; Nardari, Federico; Shephard, Neil G. - In: Journal of econometrics 108 (2002) 2, pp. 281-316

Persistent link: https://www.econbiz.de/10001657610

Testing the nominal-to-real transformation

Kongsted, Hans Christian - In: Journal of econometrics 124 (2005) 2, pp. 205-225

Persistent link: https://www.econbiz.de/10002515533

Classical and Bayesian analysis of univariate and multivariate stochastic volatility models

Liesenfeld, Roman (contributor); … - 2004 - [Elektronische Ressource]

In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...

Persistent link: https://www.econbiz.de/10002476893

Fixed size confidence regions for parameters of stationary processes based on a minimum contrast estimator

Shiohama, Takayuki (contributor) - 2005

Persistent link: https://www.econbiz.de/10003054584

Stationarity tests under time-varying second moments

Cavaliere, Giuseppe; Taylor, Robert - 2004

Persistent link: https://www.econbiz.de/10002379273