This paper explores the properties of random orthogonal matrix (ROM) simulation when the random matrix is drawn from …

Large scale, computationally expensive simulation models pose a particular challenge when it comes to estimating their … parameters from empirical data. Most simulation models do not possess closed form expressions for their likelihood function …, requiring the use of simulation-based inference, such as simulated method of moments, indirect inference or approximate Bayesian …

standard approaches (student-t-distribution, log normal, historical simulation) and sophisticated volatility models (EWMA …

We propose an optimisation approach to determine the optimal decay factor in time weighted (BRW) simulation. The … backtesting of the BRW simulation involving different decay factors together with a broad range of competing VaR models has been … simulation with optimised decay factor in regard to Lopez (1998) size-adjusted function is among the best performing VaR models …

comparison is based on a small simulation study. The processes that are simulated are in the class of ARMA (5,5) processes. Based … on the simulation evidence, we suggest to use a slightly modified version of Buehlmann's (1996) iterative method. …

methodology is thus termed ``ROM simulation''. We discuss certain classes of random orthogonal matrices and show how each class … produces samples with different characteristics. ROM simulation has applications to many problems that are resolved using … illustration, we apply ROM simulation to determine the value-at-risk of a stock portfolio. …

. Supplementary o most former studies, the simulation is strongly based on empirical evaluation ituations. This reality orientation … recommendations in the empirical literature. Thus, in the simulation, two balancing scores (the propensity score and the index score … distributions of the characteristics in the treatment and the control groups. The simulation results show that, in small samples …

valuation by simple simulation. Many empirical researchers have observed the non-Fickian degrees of persistence or long memory …