Search Results - subject:"Monte-Carlo-Simulation"

Copula joint estimation for spatial dynamic panel data models with endogeneity issues

Lin, Yanli; Song, Yichun - In: Econometric reviews 45 (2026) 1, pp. 50-77

Persistent link: https://www.econbiz.de/10015554930

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

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

Solving economic models with neural networks without backpropagation

Pascal, Julien - 2025

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

Fixed effects, lagged dependent variables, and bracketing : cautionary remarks

Demetrescu, Matei; Frondel, Manuel; Tomberg, Lukas; … - 2025

eine Monte-Carlo-Simulation untersuchen wir die Bedingungen, unter denen die Klammerungseigenschaft gilt, und bestätigen … from a fixed effects- and lagged dependent variable model. Referencing both analytical results and a Monte Carlo simulation …

Persistent link: https://www.econbiz.de/10015373005

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