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Simulating WTP values from random-coefficient models

Rischatsch, Maurus - 2009

economics. With increased computation power and advanced simulation techniques, random-coefficient models have gained an …

Persistent link: https://www.econbiz.de/10010315509

Quantitative analysis of financial market infrastructures: further perspectives on financial stability

Laine, Tatu (contributor) - 2015

This simulator seminar book includes twelve chapters dealing with various aspects of quantitative analysis of financial market infrastructures. The topics include, among others, systemic risks, participant behavior, and new monitoring methods of various payment systems. The methodologies vary...

Persistent link: https://www.econbiz.de/10012148914

Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

Winker, Peter; Gilli, Manfred - 2001

This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of … financial market data to assess the similarity of simulation outcomes. …

Persistent link: https://www.econbiz.de/10009138391

Markowitz versus Michaud: Portfolio Optimization Strategies Reconsidered

Becker, Franziska; Gürtler, Marc; Hibbeln, Martin - Institut für Finanzwirtschaft <Braunschweig> - 2009

efficiency in a comprehensive simulation study for a largenumber of relevant estimators appearing in the literature. In this …

Persistent link: https://www.econbiz.de/10005869534

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10011301159

Standard and shuffled Halton sequences in a mixed logit model

Staus, Alexander - 2008

. Simulation methods have been developed to approximate a solution for these integrals. This paper describes the Standard Halton … sequence and a modification of it, the Shuffled Halton sequence. Both are simulation methods which can reduce computational … effort compared to a random sequence. We compare the simulation methods in their coverage of the multi-dimensional area and …

Persistent link: https://www.econbiz.de/10011342045

Total factor productivity and the Mongolian transition

Chessa, Antonio G.; Schouwstra, Marije C. - 2005

Total Factor Productivity (TFP)is often used on the macro-economic level as an indicator of changes in efficiency of a country. In many transition economies TFP is seen to have been negative the last decade of the plan economy and starts increasing and become positive after a (quite a) few years...

Persistent link: https://www.econbiz.de/10011346474

Calculating confidence intervals for continuous and discontinuous functions of parameters

Woutersen, Tiemen; Ham, John C. - 2013

Applied researchers often need to estimate confidence intervals for functions of parameters, such as the effects of counterfactual policy changes. If the function is continuously differentiable and has non-zero and bounded derivatives, then they can use the delta method. However, if the function...

Persistent link: https://www.econbiz.de/10009747952

Applications of fractional response model to the study of bounded dependent variables in accounting research

Gallani, Susanna; Krishnan, Ranjani; Wooldridge, Jeffrey M. - 2015

Survey research studies make extensive use of rating scales to measure constructs of interest. The bounded nature of such scales presents econometric estimation challenges. Linear estimation methods (e.g. OLS) often produce predicted values that lie outside the rating scales, and fail to account...

Persistent link: https://www.econbiz.de/10011536090

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7

In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...

Persistent link: https://www.econbiz.de/10010490408