Search Results - subject:"importance sampling."

A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models

Scott, Alexandre; Metzler, Adam - In: Insurance / Mathematics & economics 64 (2015), pp. 279-293

Persistent link: https://www.econbiz.de/10011398073

Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127

Persistent link: https://www.econbiz.de/10011389921

Marginal likelihood estimation with the cross-entropy method

Chan, Joshua; Eisenstat, Eric - In: Econometric reviews 34 (2015) 1/5, pp. 256-285

Persistent link: https://www.econbiz.de/10011373293

A triple-threshold leverage stochastic volatility model

Wu, Xin-Yu; Zhou, Hai-Lin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 483-500

Persistent link: https://www.econbiz.de/10011339413

Simulating risk contributions of credit portfolios

Liu, Guangwu - In: Operations research 63 (2015) 1, pp. 104-121

Persistent link: https://www.econbiz.de/10010519509

Stochastic volatility and leverage : application to a panel of S&P500 stocks

Ozturk, Serda Selin; Richard, Jean-François - In: Finance research letters 12 (2015), pp. 67-76

Persistent link: https://www.econbiz.de/10011552253

Importance sampling in stochastic programming : a Markov chain Monte Carlo approach

Parpas, Panos; Ustun, Berk; Webster, Mort; Tran, Quang Kha - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 358-377

Persistent link: https://www.econbiz.de/10011291297

Assessing the Effect of Current Account and Currency Crises on Economic Growth

Aßmann, Christian - 2008

likelihood approach employing efficient importance sampling is used. The results reveal significant costs in terms of economic …

Persistent link: https://www.econbiz.de/10010296297

Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity

Jung, Robert; Liesenfeld, Roman; Richard, Jean-François - 2008

Importance Sampling which produces fast and numerically accurate estimates of the likelihood function. The model is applied to …

Persistent link: https://www.econbiz.de/10010296304

Possibly Ill-behaved Posteriors in Econometric Models

Hoogerheide, Lennart; van Dijk, Herman K. - 2008

Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...

Persistent link: https://www.econbiz.de/10010325728

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