Search Results - subject:"Monte-Carlo"

Multivariate stochastic volatility with co-heteroscedasticity

Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 29 (2025) 3, pp. 265-300

Persistent link: https://www.econbiz.de/10015438126

Fast posterior sampling in tightly identifed SVARs using 'soft' sign restrictions

Read, Matthew; Zhu, Dan - 2025

Persistent link: https://www.econbiz.de/10015406664

Bounded rationality with subjective evaluations in enlivened but truncated decision trees

Hammond, Peter J. - 2025

Persistent link: https://www.econbiz.de/10015453400

Analysis of Value-at-Risk (VaR) of Naira against BRICS Currencies

Umoru, David; Tedunjaiye, Oluwatoyin Dorcas - In: Central European review of economics and management : CEREM 9 (2025) 2, pp. 37-86

Monte-Carlo simulation (MCS) and historical simulation (H-S) results validates the conditional variances and the … market dynamics on the Nigerian Naira against BRICS currencies. The value-at-risk methodology was implemented plus the Monte … Carlo simulation. The calculated VaR95% quantifies potential losses, emphasizing the importance of managing downside …

Persistent link: https://www.econbiz.de/10015449496

A large Bayesian vector autoregression of the yield curve and macroeconomic variables with no-arbitrage restriction

Lee, Sunho; Kang, Kyu Ho - 2025

Persistent link: https://www.econbiz.de/10015401970

Using stochastic frontier analysis to assess the performance of public service providers in the presence of demand uncertainty

Hong Ngoc Nguyen; O'Donnell, Christopher John - In: Journal of productivity analysis : an official journal … 64 (2025) 1, pp. 61-79

Persistent link: https://www.econbiz.de/10015486113

Bayesian stochastic frontier models under the skew-normal half-normal settings

Wei, Zheng; Choy, S. T. Boris; Wang, Tonghui; Zhu, Xiaonan - In: Journal of productivity analysis : an official journal … 64 (2025) 1, pp. 81-91

Persistent link: https://www.econbiz.de/10015486118

Solving economic models with neural networks without backpropagation

Pascal, Julien - 2025

Persistent link: https://www.econbiz.de/10015357920

A Gibbs sampler for efficient Bayesian inference in sign-identified SVARs

Arias, Jonas; Rubio-Ramírez, Juan Francisco; Shin, Minchul - 2025

Persistent link: https://www.econbiz.de/10015420793

The role of storage in commodity markets : indirect inference based on grain data

Gouel, Christophe; Legrand, Nicolas - In: Quantitative economics : QE ; journal of the … 16 (2025) 2, pp. 705-747

We develop an indirect inference approach relying on a linear supply and demand model serving as an auxiliary model to provide the first full empirical test of the rational expectations commodity storage model. We build a rich storage model that incorporates a supply response and four structural...

Persistent link: https://www.econbiz.de/10015425389