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Estimating asset correlations fromstock prices or default rates –which method is superior?
Düllmann, Klaus; Küll, Jonathan; Kunisch, Michael - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
institutions. By means of a simulation study, we explore the hypothesis that differencesin the correlation estimates are due to a …
Persistent link: https://www.econbiz.de/10005866366
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Cycles of conditional cooperation in a real-time voluntarycontribution mechanism
Levati, Maria Vittoria; Zultan, Ro'i - Max-Planck-Institut für Ökonomik <Jena> / Abteilung … - 2009
This paper provides a new way to identify conditional cooperationin a real-time version of the standard voluntary contribution mechanism. Ourapproach avoids most drawbacks of the traditional procedures because it relieson endogenous cycle lengths, which are defined by the number of contributors...
Persistent link: https://www.econbiz.de/10005866399
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Spatial-serial dependency in multivariate GARCH models and dynamic copulas: A simulation study
Klein, Ingo; Köck, Christian; Tinkl, Fabian - Friedrich-Alexander-Universität <Erlangen-Nürnberg>; … - 2009
The serial dependency of multivariate nancial data will often be ltered by con-sidering the residuals of univariate GARCH models adapted to every single series.This is the correct ltering strategy if the multivariate process follows a so-calledcopula based multivariate dynamic model (CMD). These...
Persistent link: https://www.econbiz.de/10005866743
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A Note on Conditional Arbitrage-Free Maximum Entropy Densities For Simulative Option Pricing
Herrmann, Klaus - Universität <Erlangen - 2009
In this note we present a simple method to include the no-arbitrage condition into thederivation of conditional densities using the principle of maximum entropy. For the case ofidentically and independently distributed returns, we easily derive that the whole processestimated that way is...
Persistent link: https://www.econbiz.de/10005866785
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Imitation - Theory and Experimental Evidence
Apesteguia, Jose; Huck, Steffen; Oechssler, Jörg - Alfred-Weber-Institut für Sozial- und … - 2005
We introduce a generalized theoretical approach to study imitation andsubject it to rigorous experimental testing. In our theoretical analysiswe …nd that the different predictions of previous imitation models aredue to different informational assumptions, not to different behavioralrules. It is...
Persistent link: https://www.econbiz.de/10005868466
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Evaluating the impact of average cost based contractson the industrial sector in the European emissiontrading scheme
Oggioni, Giorgia; Smeers, Yves - Center for Operations Research and Econometrics … - 2008
.The analysis of these problems is conducted with simulation models applied to the NorthwesternEuropean market. The equilibrium …
Persistent link: https://www.econbiz.de/10005868748
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Simulator Development - Annual Report Year 3
Streitberger, Werner; Eymann, Torsten; Zini, Floriano; … - 2007
The objective of WP2 - Simulation of the CATNETS project was to identify the requiredfeatures of the CATNETS simulator …
Persistent link: https://www.econbiz.de/10005869012
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Performance Evaluation - Annual Report Year 3
Buß, Georg; Parasie, Nils; Veit, Daniel; Catalano, Michele - 2007
The deliverable reports the performance assessment of the Catallactic approach. Itdepends on the work done and results achieved in the other workpackages, particularlyWP2, the simulator and scenario generator development, and WP3, the prototypedevelopment....
Persistent link: https://www.econbiz.de/10005869020
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TWO-STAGE QUANTILE REGRESSION
Kim, Tae-Hwan; Muller, Christophe - University <Nottingham> / Department of Economics - 2000
explanatory variables is treated viaancilliary predictive equations. Simulation results illustrate the usefulness of this approach... …
Persistent link: https://www.econbiz.de/10005869189
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AGENT SIMULATION OF FLOUR SILO INSTALLATIONS AS PLANNING TOOL FOR DECISION-MAKING
Ulbrich, Alexander; Kraul, Ralf; Tilke, Christoph; … - Technische Universität <München> / Lehrstuhl für … - 2009
In this paper we discuss the approach of using simulation for the planning process of flour silo installations. After a … brief introduction in the topic the usual performed planning process is presented. Advantages of using simulation as support … tool, the requirements for the acceptance and the establishment of simulation during the planning process are described …
Persistent link: https://www.econbiz.de/10005869261