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Estimating capabilities with structural equation models: How well are we doing in a 'real' world?
Krishnakumar, Jaya; Juarez, Florian Wendelspiess Chavez - Institut d'Economie et Econométrie, Université de Genève - 2014
remains about their appropriateness. In this paper, we perform a unique simulation experiment for testing the validity of such …
Persistent link: https://www.econbiz.de/10010797543
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Validity of Capability Estimates Obtained through Structural Equation Modelling in a Multidimensional Setting – An Agent-Based Simulation Exercise
Chávez-Juárez, Florian; Krishnakumar, Jaya - 2018
The main aim of this study is to evaluate the performance of structural equation models in the estimation of capabilities in a multidimensional development space. We simulate an artificial society using agent-based modelling techniques. Our artificial world is generated to closely resemble a...
Persistent link: https://www.econbiz.de/10014114081
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Bayesian estimation of large-scale simulation models with Gaussian process regression surrogates
Barde, Sylvain - 2022
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 …
Persistent link: https://www.econbiz.de/10013439970
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Estimating capabilities with structural equation models : how well are we doing in a "real" world?
Krishnakumar, Jayalakshmi; Wendelspiess Chávez … - 2014
Persistent link: https://www.econbiz.de/10010438204
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Package CovRegpy : Regularised Covariance Regression and Forecasting in Python
van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023
This paper will outline the functionality available in the CovRegpy package for actuarial practitioners, wealth managers, fund managers, and portfolio analysts written in Python 3.7. The major contributions of CovRegpy can be found in the CovRegpy_DCC.py, CovRegpy_IFF.py, CovRegpy_RCR.py,...
Persistent link: https://www.econbiz.de/10014253907
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Valuation of a Cashflow CDO Without Monte Carlo Simulation
Gallagher, Donal A. - 2009
Unlike tranches of synthetic CDOs, that depend only on the defaults of the underlying securities, tranches of cashflow CDOs also depend on the interest cash flows from the coupons of the securities. Whilst fast, accurate, (semi-)analytic methods exist for pricing synthetic CDO tranches (Hull and...
Persistent link: https://www.econbiz.de/10013156360
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Empirical validation of simulated models through the GSL-div : an illustrative application
Lamperti, Francesco - 2016
A major concern about the use of simulation models regards their relationship with the empirical data. The … assess the degree of similarity between the dynamics observed in the data and those generated by the numerical simulation of …
Persistent link: https://www.econbiz.de/10011457387
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An information theoretic criterion for empirical validation of time series models
Lamperti, Francesco - 2015
Simulated models suffer intrinsically from validation and comparison problems. The choice of a suitable indicator quantifying the distance between the model and the data is pivotal to model selection. However, how to validate and discriminate between alternative models is still an open problem...
Persistent link: https://www.econbiz.de/10010490842
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Calibration of Credit Spread Scenarios for Monte Carlo Simulations
Dubrana, Ludovic - 2012
The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...
Persistent link: https://www.econbiz.de/10013105185
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Network Calibration and Metamodeling of a Financial Accelerator Agent Based Model
Bargigli, Leonardo - 2019
We introduce a financially constrained production framework in which heterogeneous firms and banks entertain multiple credit connections. The parameters of credit market interaction are estimated from real data in order to reproduce a set of empirical regularities of the Japanese credit market....
Persistent link: https://www.econbiz.de/10012903705