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Reliability of public private partnership projects under assumptions of cash flow volatility

Schöbener, Henning; Schetter, Christoph; Pfnür, Andreas - 2007

generate variable trajectories of operating costs and integrate them into a stochastic simulation of the financial model. …

Persistent link: https://www.econbiz.de/10010264904

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

Nolte, Ingmar; Voev, Valeri - 2007

behavioral biases and discuss implications for portfolio theory. …

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

Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models

Liesenfeld, Roman; Richard, Jean-François - 2004

out ML-estimation of SV models as well as simulation smoothing where the latent volatilities are sampled at once. Based on … this EIS simulation smoother a Bayesian Markov Chain Monte Carlo (MCMC) posterior analysis of the parameters of SV models …

Persistent link: https://www.econbiz.de/10010296235

Multivariate rank-based forecast combining techniques

Klapper, Matthias - 1999

We analyze macroeconomic data using univariate and multivariate forecast combining techniques. We simulate forecast errors with different variance-covariance structures. The simulations are used to compare the performance of univariate and multivariate combining techniques.

Persistent link: https://www.econbiz.de/10010316458

Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - 1999

the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

Persistent link: https://www.econbiz.de/10010324653

Boats and tides and "Trickle Down" theories: What economists presume about wellbeing when they employ stochastic process theory in modeling behavior

Anderson, Gordon - 2012

Aphorisms that "Rising tides raise all boats" or that material advances of the rich eventually "Trickle Down" to the poor are really maxims regarding the nature of stochastic processes that underlay the income/wellbeing paths of groups of individuals. This paper looks at the implications for the...

Persistent link: https://www.econbiz.de/10010309045

Equivalence and Bifurcations of Finite Order Stochastic Processes

Diks, Cees; Wagener, Florian - 2005

corresponding bifurcation theory is illustrated with some simple examples. …

Persistent link: https://www.econbiz.de/10010325437

Analysis of Stochastic Matching Markets

Biró, Péter; Norman, Gethin - 2011

Suppose that the agents of a matching market contact each other randomly and form new pairs if is in their interest. Does such a process always converge to a stable matching if one exists? If so, how quickly? Are some stable matchings more likely to be obtained by this process than others? In...

Persistent link: https://www.econbiz.de/10010494477

Stochastische Unternehmensmodelle als Kern innovativer Ratingsysteme

Blum, Ulrich; Gleißner, Werner; Leibbrand, Frank - 2005

and a stochastic simulation model of enterprise development. The results show that the method used is superior to …

Persistent link: https://www.econbiz.de/10010269950

Panel estimation of state dependent adjustment when the target is unobserved

von Kalckreuth, Ulf - 2008

Understanding adjustment processes has become central in economics. Empirical analysis is fraught with the problem that the target is usually unobserved. This paper develops, simulates and applies GMM methods for estimating dynamic adjustment models in a panel data context with partially...

Persistent link: https://www.econbiz.de/10010295881