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