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Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation

Cappellari, Lorenzo (contributor); … - 2006

We discuss methods for calculating multivariate normal probabilities by simulation and two new Stata programs for this purpose: mvdraws for deriving draws from the standard uniform density using either Halton or pseudo-random sequences, and an egen function mvnp() for calculating the...

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Estimating default probabilities implicit in equity prices

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Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation

Cappellari, Lorenzo (contributor); … - 2006

We discuss methods for calculating multivariate normal probabilities by simulation and two new Stata programs for this purpose: -mdraws- for deriving draws from the standard uniform density using either Halton or pseudo-random sequences, and an egen function -mvnp()- for calculating the...

Persistent link: https://www.econbiz.de/10003316516

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Tail index regression

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