Search Results - subject:"importance sampling."

Generalized dynamic panel data models with random effects for cross-section and time

Mesters, G.; Koopman, Siem Jan - In: Journal of econometrics 180 (2014) 2, pp. 127-140

Persistent link: https://www.econbiz.de/10010433402

Estimating the distribution of total default losses on the Spanish financial system

García-Céspedes, Rubén; Moreno, Manuel - In: Journal of banking & finance 49 (2014), pp. 242-261

Persistent link: https://www.econbiz.de/10010508036

Efficient estimation of conditionally linear and Gaussian state space models

Moura, Guilherme Valle; Turatti, Douglas Eduardo - In: Economics letters 124 (2014) 3, pp. 494-499

Persistent link: https://www.econbiz.de/10010495099

The valuation of catastrophe bonds with exposure to currency exchange risk

Lai, Van Son; Parcollet, Mathieu; Lamond, Bernard F. - In: International review of financial analysis 33 (2014), pp. 243-252

Persistent link: https://www.econbiz.de/10010520456

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Hautsch, Nikolaus - 2007

and trading intensities. The model is estimated by simulated maximum likelihood using efficient importance sampling …

Persistent link: https://www.econbiz.de/10010263700

Panel intensity models with latent factors: An application to the trading dynamics on the foreign exchange market

Nolte, Ingmar; Voev, Valeri - 2007

technique adopting the efficient importance sampling approach of Richard & Zhang (2005). We provide an application to a trading …

Persistent link: https://www.econbiz.de/10010266949

Dynamic Panel Probit Models for Current Account Reversals and their Efficient Estimation

Moura, Guilherme V.; Richard, Jean-François; … - 2007

Importance Sampling (EIS). Our empirical results suggest that current account balance, terms of trades, foreign reserves and …

Persistent link: https://www.econbiz.de/10010296275

The Multinomial Multiperiod Probit Model: Identification and Efficient Estimation

Liesenfeld, Roman; Richard, Jean-François - 2007

evaluation requiring high-dimensional truncated integration we propose to use a generic procedure known as Efficient Importance … Sampling (EIS). A special case of our proposed EIS algorithm is the standard GHK probability simulator. To illustrate the …

Persistent link: https://www.econbiz.de/10010296290

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Hautsch, Nikolaus - 2007

and trading intensities. The model is estimated by simulated maximum likelihood using efficient importance sampling …

Persistent link: https://www.econbiz.de/10010298374

Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models

Banachewicz, Konrad; Lucas, André - 2007

Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...

Persistent link: https://www.econbiz.de/10010325238