Search Results - subject:"Simulation."

Bayesian estimation and likelihood-based comparison of agent-based volatility models

Bertschinger, Nils; Mozzhorin, Iurii - In: Journal of economic interaction and coordination 16 (2021) 1, pp. 173-210

Persistent link: https://www.econbiz.de/10012428422

Variable selection in regression models using global sensitivity analysis

Becker, William; Paruolo, Paolo; Saltelli, Andrea - In: Journal of time series econometrics 13 (2021) 2, pp. 187-233

Persistent link: https://www.econbiz.de/10012612768

The accuracy of risk measurement models on bitcoin market during COVID-19 pandemic

Likitratchoaroen, Danai; Kronprasert, Nopadon; … - In: Risks : open access journal 9 (2021) 12, pp. 1-16

this paper, we showed the results of the predicted daily loss of investment by using the historical simulation VaR model …, the delta-normal VaR model, and the Monte Carlo simulation VaR model with the confidence levels of 99%, 95%, and 90%. This …

Persistent link: https://www.econbiz.de/10012794186

Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing

Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...

Persistent link: https://www.econbiz.de/10012484130

Particle rolling mcmc with double-block sampling

Awaya, Naoki; Omori, Yasuhiro - 2021

Persistent link: https://www.econbiz.de/10013339020

Bidirectional approach for university management : improved relationship with students and educational costs management

Valentina, Florea Nicoleta; Paschia, Liliana; Coman, … - In: Journal of business economics and management 22 (2021) 5, pp. 1209-1230

services offered during their life cycle. The authors bring into the centre of the study the importance of the simulation … simulation methods used help the universities to determine the future risks and to predict when and what relationship marketing …

Persistent link: https://www.econbiz.de/10013256592

15 years of Adjoint Algorithmic Differentiation (AAD) in finance

Capriotti, Luca; Giles, Mike - In: Quantitative finance 24 (2024) 9, pp. 1353-1379

Persistent link: https://www.econbiz.de/10015196929

Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models

Huang, Zhenzhen; Kwok, Yue-Kuen; Xu, Ziqing - In: Insurance : mathematics and economics 115 (2024), pp. 132-150

Persistent link: https://www.econbiz.de/10015066737

A synthetic bids simulation for power market deregulation

Ciarreta, Aitor; Damoun, Anas; Espinosa, María Paz - In: Energy policy : the international journal of the … 192 (2024), pp. 1-24

Persistent link: https://www.econbiz.de/10015137879

Out of shape : the implications of (extremely) nonnormal dependent variables

Certo, S. Trevis; Raney, Kristen; Albader, Latifa; … - In: Organizational research methods : ORM 27 (2024) 2, pp. 195-222

Persistent link: https://www.econbiz.de/10014581654