This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of … financial market data to assess the similarity of simulation outcomes. …

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …

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 …

This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice … forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …