Search Results - subject:"calibration."

Free entry in the Indian automobile industry: a calibration model

Jensen, Paul; Krishna, Kala - In: The Journal of International Trade & Economic Development 8 (1999) 4, pp. 437-455

We examine the implications of free entry in the Indian automobile industry in a model that is calibrated to the Indian market using price, cost and production data from 1993 and 1994. In particular, we consider the effect that free entry has on prices, production levels and welfare. We have two...

Persistent link: https://www.econbiz.de/10009219516

Chapter 8 Micro data and general equilibrium models

Browning, Martin; Hansen, Lars Peter; Heckman, James J. - In: Handbook of macroeconomics : volume 1, part A, (pp. 543-633). 1999

Dynamic general equilibrium models are required to evaluate policies applied at the national level. To use these models to make quantitative forecasts requires knowledge of an extensive array of parameter values for the economy at large. This essay describes the parameters required for different...

Persistent link: https://www.econbiz.de/10014024242

How well do classical credit risk pricing models fit swap transaction data?

Pirotte, Hugues; Cossin, Didier - Solvay Brussels School of Economics and Management, … - 1998

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing this swap credit risk. We implement a recent credit risk pricing model in an attempt to evaluate one of the main lines of research in...

Persistent link: https://www.econbiz.de/10011163405

Statistical Inference in Micro Simulation Models: Incorporating external information

Klevmarken, N. Anders - Nationalekonomiska Institutionen, Uppsala Universitet - 1998

are three themes: calibration viewed as estimation subject to external constraints, piece meal vs. system-wide estimation …

Persistent link: https://www.econbiz.de/10005642477

Executive compensation: a calibration approach

Popova, Ivilina; Haubrich, Joseph G. - In: Economic Theory 12 (1998) 3, pp. 561-581

We use a version of the Grossman and Hart principal-agent model with 10 actions and 10 states to produce quantitative predictions for executive compensation. Performance incentives derived from the model are compared with the performance incentives of 350 firms chosen from a survey by Michael...

Persistent link: https://www.econbiz.de/10005753408

The Nonexistence of Procedures with Bounded Performance Characteristics in Certain Parametric Inference Problems

Takada, Yoshikazu - In: Annals of the Institute of Statistical Mathematics 50 (1998) 2, pp. 325-335

Persistent link: https://www.econbiz.de/10005760329

How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data?

Pirotte, Hugues; Cossin, Didier - Centre Emile Bernheim, Solvay Brussels School of … - 1998

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing swap credit risk. We implement a recent credit risk pricing model in order to attempt to evaluate a line of research in theoretical credit...

Persistent link: https://www.econbiz.de/10005558868

Hypothetical-Actual Bid Calibration of a Multi-Good Auction

List, John A.; Margolis, M.; Shogren, J. - The Field Experiments Website - 1998

Evidence suggests the calibration of hypothetical and actual behavior is good-specific. We examine whether clustering … commodities into mutual categories can reduce the burden. While we reject a common calibration across sets of commodities, a sport …-specific calibration function cannot be rejected. …

Persistent link: https://www.econbiz.de/10005785117

Calibrating volatility surfaces via relative-entropy minimization

Avellaneda, Marco; Friedman, Craig; Holmes, Richard; … - In: Applied Mathematical Finance 4 (1997) 1, pp. 37-64

the mesh-size used for the scheme. This results in an efficient, non-parametric calibration method that can match an …

Persistent link: https://www.econbiz.de/10005495414

Calibration and Control for Estuary System under Uncertainty

Zhao, Bing; Mays, Larry - In: Water Resources Management 11 (1997) 5, pp. 339-363

uncertainty-based calibration (i.e. parameter estimation under uncertainty) and uncertainty-based control (i.e. determination of … optimal freshwater inflows into the estuary under uncertainty). The technique for uncertainty-based calibration is based on … estimate method. The uncertainty-based calibration technique is used to estimate the optimal parameters such as Manning …

Persistent link: https://www.econbiz.de/10010794490