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

that has the dimension of the sample size. We apply the efficient importance sampling method for computing this integral …

that has the dimension of the sample size. We apply the efficient importance sampling method for computing this integral …

piecewise-continuous approximations of target densities. Construction is achieved via efficient importance sampling, and …

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

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 …

and trading intensities. The model is estimated by simulated maximum likelihood using efficient importance sampling … maximum likelihood using efficient importance sampling. Analyzing five minutes data from four liquid stocks traded at the New … error models, common factor, efficient importance sampling, intraday trading process JEL Classification: C15, C32, C52 1 …

importance sampling procedures for simulation which captures the dependence structure between the underlying variables at extreme …

assumes the importance sampling density to belong to the same parametric family of the distribution of the random variables to …