For testing normality we investigate the power of several tests, first of all, the well-known test of Jarque & Bera (1980) and furthermore the tests of Kuiper (1960) and Shapiro & Wilk (1965) as well as tests of Kolmogorov-Smirnov and Cramer-von Mises type. The tests on normality are based,...

Las implicaciones sobre la calidad del agua, medida ésta a través de los parámetros de carácter físico-químico empleados en la literatura específica, es uno de los principales problemas asociados a los trasvases de aguas superficiales. En este trabajo se realiza una valoración de la...

This paper proposes a simple modification to the standard Monte Carlo simulation procedure for computing the prices of derivative securities. The modification imposes the martingale property on the simulated sample paths of the underlying asset price. This procedure is referred to as the...

This paper analyzes an explicit return smoothing mechanism which has recently been introduced as part of a new type of pension savings contract that has been offered by Danish life insurers. We establish the payoff function implied by the return smoothing mechanism and show that its...

Control variates are often used to reduce variability in Monte Carlo estimates and their effectiveness is traditionally measured by the so-called speed-up factor. The main objective of this paper is to demonstrate that a control variate can also be applied to reduce the bias stemming from the...

This paper uses the empirical characteristic function (ECF) procedure to estimate the parameters of mixtures of normal distributions. Since the characteristic function is uniformly bounded, the procedure gives estimates that are numerically stable. It is shown that, using Monte Carlo simulation,...

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Testing the distribution of a random sample can be considered ,indeed, as a goodness-of-fit problem. If we use the nonparametric density estimation of the sample as a consistent estimate of exact distribution, the problem reduces, more specifically, to the distance of two functions. This paper...

This communication is a response to the insightful note by Fellows on previous papers by the author. Not only has Fellows supplemented Chau's major arguments, he has also expanded the scope of discussion and raised new issues. While the author agrees with most of the points made by Fellows,...

Assessment of BOT project financial risk is generally performed by combining Monte Carlo simulation with discounted cash flow analysis. The outcomes of this risk assessment depend, to a significant extent, upon the total project uncertainty, which aggregates aleatory and epistemic uncertainties...