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A study of the quantile correlation test for normality
Krauczi, Éva - In: TEST: An Official Journal of the Spanish Society of … 18 (2009) 1, pp. 156-165
Persistent link: https://www.econbiz.de/10005390591
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Averages of Hill estimators
Martins, M. João; Gopmes, M. Ivette; Neves, M. Manuela - In: TEST: An Official Journal of the Spanish Society of … 13 (2004) 1, pp. 113-128
Persistent link: https://www.econbiz.de/10005390625
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A hyperbolic diffusion model for stock prices (*)
Bibby, Bo Martin; SÛrensen, Michael - In: Finance and Stochastics 1 (1996) 1, pp. 25-41
In the present paper we consider a model for stock prices which is a generalization of the model behind the Black-Scholes formula for pricing European call options. We model the log-price as a deterministic linear trend plus a diffusion process with drift zero and with a diffusion coefficient...
Persistent link: https://www.econbiz.de/10005390700
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The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
Salau, M. - In: Statistical Papers 44 (2003) 1, pp. 89-105
Persistent link: https://www.econbiz.de/10005391192
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Agent-Based Modelling: A Methodology for Neo-Schumpeterian Economics
Pyka, Andreas; Fagiolo, Giorgio - Institut für Volkswirschaftlehre, Fakultät für … - 2005
the descriptive accuracy required to model a particular phenomenon. A new class of simulation models has shown to be well …
Persistent link: https://www.econbiz.de/10005392613
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Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
Nielsen, Bent; Reade, J. James - In: Econometric Reviews 26 (2007) 5, pp. 487-501
constituted a bar on supporting asymptotic results by means of simulation, and analyzing the finite sample properties of tests in …
Persistent link: https://www.econbiz.de/10005511902
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VALUING AGRICULTURAL MORTGAGE-BACKED SECURITIES
Stokes, Jeffrey R.; Brinch, Brian M. - In: Journal of Agricultural and Applied Economics 33 (2001) 03
the embedded options in the mortgages. Monte Carlo simulation is also used to determine the probability to optimal …
Persistent link: https://www.econbiz.de/10005513917
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Regional Economic and Monetary Integration: A Modelling and Policy Analysis
Harvie, Charles - School of Accounting, Economics, and Finance, … - 2004
solution and simulation of the model. …
Persistent link: https://www.econbiz.de/10005515401
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Water-Price Differential and the Efficient Population Size and Urban-Rural Composition of a Distant, Large, Arid Island
Levy, Amnon; Zamani, Reza - School of Accounting, Economics, and Finance, … - 2004
simulation results illustrate the central role of the effect of immigration on the urban unemployment rate in the determination …
Persistent link: https://www.econbiz.de/10005515408
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A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis
Wagner, Martin - Department Volkswirtschaftlehre, Universität Bern - 2002
The methods listed in the title are compared by means of a simulation study and a real world application. The aspects …
Persistent link: https://www.econbiz.de/10005515705