Search Results - subject:"monte carlo integration"

Valuation of step-down knock-in in one stock linked security using numerical and Monte Carlo integration

Kim, GyeHong - In: Journal of derivatives and quantitative studies : … 31 (2023) 1, pp. 76-96

utilizing numerical and Monte Carlo integration are presented and compared with those of existing models. The results of the …

Persistent link: https://www.econbiz.de/10014226942

Decision making using similarity to a reference distribution

Baker, Rose D.; McHale, Ian - In: IMA journal of management mathematics 36 (2025) 1, pp. 67-82

Persistent link: https://www.econbiz.de/10015333126

Impulse response analysis for structural dynamic models with nonlinear regressors

Gonçalves, Sílvia; Herrera, Ana María; Kilian, Lutz; … - 2020

Persistent link: https://www.econbiz.de/10012387973

Designed quadrature to approximate integrals in maximum simulated likelihood estimation

Bansal, Prateek; Keshavarzzadeh, Vahid; Guevara, Angelo; … - In: The econometrics journal 25 (2022) 2, pp. 301-321

Persistent link: https://www.econbiz.de/10013253833

Estimation of dynamic models of recurrent events with censored data

Lee, Sanghyeok; Gørgens, Tue - In: The econometrics journal 24 (2021) 2, pp. 199-224

Persistent link: https://www.econbiz.de/10012594987

Impulse response analysis for structural dynamic models with nonlinear regressors

Gonçalvesa, Sílvia; Herrer, Ana María; Kilian, Lutz; … - In: Journal of econometrics 225 (2021) 1, pp. 107-130

Persistent link: https://www.econbiz.de/10013279032

Estimation of dynamic models of recurring events with censored data

Gorgens, Tue; Lee, Sanghyeok - 2017

Persistent link: https://www.econbiz.de/10011884671

International evidence on time-variation in trend labor productivity growth

Wegmüller, Philipp - 2016

This paper provides international evidence on time-variation in trend productivity growth, based on the dataset for hours worked constructed by Ohanian & Raffo (2012). Applying both the endogenous break tests of Bai & Perron (1998, 2003) and the Stock & Watson (1996, 1998) TVP-MUB methodology,...

Persistent link: https://www.econbiz.de/10011583288

International evidence on time-variation in trend labor productivity growth

Wegmüller, Philipp - 2016 - This version: February 2, 2016

Persistent link: https://www.econbiz.de/10011419488

An inexact primal-dual algorithm for semi-infinite programming

Wei, Bo; Haskell, William B.; Zhao, Sixiang - In: Mathematical methods of operations research : ZOR 91 (2020) 3, pp. 501-544

Persistent link: https://www.econbiz.de/10012301625