Search Results - subject:"Monte-Carlo simulation"

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 … Carlo simulation. The calculated VaR95% quantifies potential losses, emphasizing the importance of managing downside … market dynamics on the Nigerian Naira against BRICS currencies. The value-at-risk methodology was implemented plus the Monte …

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

Estimation of levelized cost of energy for small modular reactors in Colombia : a Monte Carlo simulation approach

Camilo, Prieto; Diego, Patiño; José, Vuelvas - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 4, pp. 24-33

Persistent link: https://www.econbiz.de/10015447233

Firm-specific, macroeconomic and institutional determinants of stochastic uncertain firm growth

Eldomiaty, Tarek Ibrahim; Azzam, Islam Abdel Azim; El … - In: Risks : open access journal 13 (2025) 10, pp. 1-23

This study distinguishes between observed, uncertain, and stochastic uncertain firm growth. Observed firm growth is measured via historical growth of fixed assets scaled by growth of sales revenue. Uncertain firm growth is the volatility of unobserved (estimated error terms) firm growth. The...

Persistent link: https://www.econbiz.de/10015492265

Why applied macroeconomists should not use Bayesian estimation of DSGE models

Meenagh, David; Minford, Patrick; Xu, Yongdeng - 2025

This paper argues that the common practice of Bayesian estimation in applied macroeconomic DSGE modeling can lead to severely biased results when the imposed prior beliefs are misspecified. We demonstrate, through controlled Monte Carlo experiments on two canonical DSGE models (a Real Business...

Persistent link: https://www.econbiz.de/10015549860

The superiority of the EGARCH-Odd Exponentiated Skew-t model in predicting financial returns volatility

Adubisi, Obinna Damian; Abdulkadir, Ahmed; Adubisi, … - In: Iranian economic review : journal of University of Tehran 28 (2024) 4, pp. 1176-1202

Persistent link: https://www.econbiz.de/10015403117

Innovation by integration of Drum-Buffer-Rope (DBR) method with Scrum-Kanban and use of Monte Carlo simulation for maximizing throughput in agile project management

Mayo-Alvarez, Luis; Del-Aguila-Arcentales, Shyla; … - In: Journal of open innovation : technology, market, and … 10 (2024) 1, pp. 1-25

Highly volatile, uncertain, complex and ambiguous environments (VUCA) complicate and condition project management. With the emergence of agile project management, it is proposed to co-construct it with the client's active participation. Two used agile methodologies are Scrum and Kanban. Scrum is...

Persistent link: https://www.econbiz.de/10014518888

Bus fleet decarbonization under macroeconomic and technological uncertainties : a real options approach to support decision-making

Avenali, Alessandro; De Santis, Daniele; Giagnorio, Mirko; … - In: Transportation research : an international journal 190 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015097240

A sequential importance sampling for estimating multi-period tail risk

Seo, Ye-Ji; Kim, Sunggon - In: Risks : open access journal 12 (2024) 12, pp. 1-22

: Plain or crude Monte Carlo simulation (CMC) is commonly applied for estimating multiperiod tail risk measures such as …

Persistent link: https://www.econbiz.de/10015328727

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

Umoru, David; Tedunjaiye, Oluwatoyin Dorcas - In: The Central European Review of Economics and Management … 9 (2025) 2, pp. 37-86

Persistent link: https://www.econbiz.de/10015453548

Bootstrap inference for group factor models

Gonçalves, Sílvia; Koh, Julia; Perron, Benoit - In: Journal of financial econometrics 23 (2025) 2, pp. 1-70

Persistent link: https://www.econbiz.de/10015339830