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A Bayesian framework for quantifying uncertainty in stochastic simulation

Xie, Wei; Nelson, Barry L.; Barton, Russell R. - In: Operations research 62 (2014) 6, pp. 1439-1452

Persistent link: https://www.econbiz.de/10010471836

A note on bias and mean squared error in steady-state quantile estimation

Muñoz, David F.; Ramírez-López, Adán - In: Operations research letters 43 (2015) 4, pp. 374-377

Persistent link: https://www.econbiz.de/10011372470

Efficient VaR and CSaR measurement via stochastic kriging

Chen, Xi; Kim, Kyoung-Kuk - In: INFORMS journal on computing : JOC 28 (2016) 4, pp. 629-644

Persistent link: https://www.econbiz.de/10011617535

Efficient budget allocation strategies for elementary effectsmethod in stochastic simulation

Shi, Wen; Chen, Xi - In: Naval research logistics : an international journal 65 (2018) 3, pp. 218-241

Persistent link: https://www.econbiz.de/10012166187

Chapter 8 Growth Econometrics

Durlauf, Steven N.; Johnson, Paul A.; Temple, Jonathan R.W. - 2005

This paper provides a survey and synthesis of econometric tools that have been employed to study economic growth. While these tools range across a variety of statistical methods, they are united in the common goals of first, identifying interesting contemporaneous patterns in growth data and...

Persistent link: https://www.econbiz.de/10014023779

Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already … estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined … with the particle filtering method is used as the estimation framework. Within the framework, we propose a novel approach …

Persistent link: https://www.econbiz.de/10014362627

A global model of international yield curves : no-arbitrage term structure approach

Kaminska, Iryna; Meldrum, Andrew; Smith, James - In: International journal of finance & economics : IJFE 18 (2013) 4, pp. 352-374

Persistent link: https://www.econbiz.de/10015180006

Forecasting volatility in developing countries' nominal exchange returns

Antonakakis, Nikolaos; Darby, Julia - In: Applied financial economics 23 (2013) 19/21, pp. 1675-1691

Persistent link: https://www.econbiz.de/10010260183

Arbitrage violations and implied valuations : the option market

Ioffe, Ioulia D.; Prisman, Eliezer Zeev - In: The European journal of finance 19 (2013) 3/4, pp. 298-317

Persistent link: https://www.econbiz.de/10010243641

Deriving a lower bound for the proportion of perceivers in replicated difference tests by means of multiple test theory

Meyners, Michael - 2002

Analyzing repeated difference tests aims in significance testing for differences as well as in estimating the mean discrimination ability of the consumers. In addition to the average success probability, the proportion of consumers that may detect the difference between two products and...

Persistent link: https://www.econbiz.de/10009770524