-discretionary input issue, and provide a simulation analysis that illustrates theimplementation and potential advantages of the new … Fried,Lovell, Schmidt, and Yaisawarng's 2002 model. Furthermore, the simulation results alsosuggest that the constant … simulation evidence shows that traditional statistical inference does notunderperform the bootstrap process proposed by Simar and …

for invested capital. By using the model of the European electricity market and the market simulation tool which are both …

the first part where a new bivariate correlation estimator is introduced. This estimator is shown to be more flexible than … existing multivariate GARCH models are discussed and evaluated in a simulation study. Differences of daily and monthly returns … the first part where a new bivariate correlation estimator is introduced. This estimator is shown to be more flexible than …

default correlations is implemented. A Monte-Carlosimulation tool is used to examine how this 'correlation effect' varieswith …

, where it persists even among large commercial operations. Six theoretical explanations for the observed correlation between …

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co … that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the …