Search Results - subject_exact:"Monte Carlo simulation"

Estimation of levelized cost of energy for small modular reactors in Colombia : a Monte Carlo simulation approach

Camilo, Prieto; Diego, Patiño; José, Vuelvas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447233

Identifying risk-efficient crop portfolios for different cropping systems by analyzing the tradeoffs between arable farming profits and profit stability

Pergner, Isabell; Lippert, Christian - 2025

As in agriculture uncertainties have increased due to extreme weather events and yield variations, a critical examination of crop rotation strategies is needed. This study analyses the relationship between risk and crop rotation planning, addressing the challenges posed by an increasing yield...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611644

Why applied macroeconomists should not use Bayesian estimation of DSGE models

Meenagh, David; Minford, Patrick; Xu, Yongdeng - 2025

This paper argues that the common practice of Bayesian estimation in applied macroeconomic DSGE modeling can lead to severely biased results when the imposed prior beliefs are misspecified. We demonstrate, through controlled Monte Carlo experiments on two canonical DSGE models (a Real Business...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015549860

A new IV estimator of a panel VAR(p) model

Mehic, Adrian; Nordström, Marcus - 2026

We propose a novel dynamic panel estimator. Different from the commonly used difference and system GMM, our proposed estimator requires only one of the crosssectional dimension (N) or the time dimension (T) to grow large to be asymptotically unbiased. This improves reliability in panels with...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618071

Measuring flood risk in Czechia with stress testing and a Gumbel copula based VaR

Folprecht, Marek - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609159

The vehicle routing problem with time window and randomness in demands, travel, and unloading times

Pérez-Lechuga, Gilberto; Venegas-Martínez, Francisco - 2026

Background: The vehicle routing problem (VRP) is of great importance in the Industry 4.0 era because enabling technologies such as the internet of things (IoT), artificial intelligence (AI), big data, and geographic information systems (GISs) allows for real-time solutions to versions of the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611767

Emergency medical logistics of helicopter air ambulance response-time reliability : a Monte Carlo simulation

Cline, James; Truong Dothang - 2026

Background: Rapid helicopter air ambulance (HAA) response is a cornerstone of emergency medical logistics, yet the "time-to-care" metric remains highly sensitive to uncertainties in base posture, readiness, and operational disruptions. This study evaluates how these factors jointly influence...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611880

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Emergency medical logistics of helicopter air ambulance response-time reliability : a Monte Carlo simulation

Cline, James; Truong Dothang - 2026

Article

MSTest: an R-package for testing Markov switching models

Rodriguez Rondon, Gabriel; Dufour, Jean-Marie - 2026 - Last updated: March 4, 2026

We present the R package MSTest, which implements hypothesis testing procedures to determine the number of regimes in Markov switching models. These models have wide ranging applications in economics, finance, and many other fields. MSTest provides several testing frameworks, including Monte...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015612283

Estimation and inference for stochastic volatility models with heavy-tailed distributions

Rodriguez Rondon, Gabriel; Dufour, Jean-Marie; Ahsan, Nazmul - 2026 - Last updated: March 6, 2026

Statistical inference-both estimation and testing-for stochastic volatility (SV) models is known to be challenging and computationally demanding. We propose simple and efficient estimators for SV models with conditionally heavy-tailed error distributions, particularly the Student's t and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015612285

Copula joint estimation for spatial dynamic panel data models with endogeneity issues

Lin, Yanli; Song, Yichun - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015554930

Assessing the impact of fiscal incentives on the investment feasibility of geothermal projects in Indonesia : a value-at-risk approach

Susmanto, Andi; Hidayatno, Akhmad; Setiawan, Andri Dwi; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620426

Investing in carbon transportation under volume uncertainty and scaling flexibility

Andersen, Sveinung; Hagspiel, Verena; Oliveira, Carlos; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620627

ORAKULUM : an information-impact asset pricing model introducing a jump-diffusion framework for information-driven markets

Köntös, Zoltán; Rahimkulov, Ruszlan Megdetovics - 2026

Standard asset pricing models treat price dynamics as a stochastic process driven by undifferentiated random noise, rendering them agnostic about the primary engine of price discovery: the arrival of economically significant information. This paper introduces ORAKULUM, a structured...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656182

Numerical methods to value an option including risk aversion with a constant relative risk aversion function

Pareja-Vasseur, Julian A.; Marin-Sanchez, Freddy H.; … - 2026

This study develops a comprehensive discrete numerical model for option valuation that explicitly incorporates risk preferences, which may deviate from risk neutrality. Unlike the traditional binomial tree models - strictly under the risk-neutral paradigm - our framework embeds a constant...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644841

Innovation by integration of Drum-Buffer-Rope (DBR) method with Scrum-Kanban and use of Monte Carlo simulation for maximizing throughput in agile project management

Mayo-Alvarez, Luis; Del-Aguila-Arcentales, Shyla; … - 2024

Highly volatile, uncertain, complex and ambiguous environments (VUCA) complicate and condition project management. With the emergence of agile project management, it is proposed to co-construct it with the client's active participation. Two used agile methodologies are Scrum and Kanban. Scrum is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014518888

The superiority of the EGARCH-Odd Exponentiated Skew-t model in predicting financial returns volatility

Adubisi, Obinna Damian; Abdulkadir, Ahmed; Adubisi, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015403117

Teaching econometrics : a tribute to R. Carter Hill

2026

Introduction -- Teaching Applied Econometrics -- Reflections on the Teaching of Bayesian Econometrics -- Teaching Financial Econometrics to Students Converting to Finance -- Teaching Panel Data Econometrics -- The Harm that Good Teachers Do and Other Stories -- Teaching Reproducibility and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015587578

Einsitzhürde im neuen Gewand? Analyse des neuen Sitzzuteilungsverfahrens für Kommunalwahlen in Nordrhein-Westfalen

Baumert, Jona-Frederik - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618459

Using stochastic frontier analysis to assess the performance of public service providers in the presence of demand uncertainty

Hong Ngoc Nguyen; O'Donnell, Christopher John - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015486113

Bayesian stochastic frontier models under the skew-normal half-normal settings

Wei, Zheng; Choy, S. T. Boris; Wang, Tonghui; Zhu, Xiaonan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015486118

Sensitivity analysis for business, technology, and policymaking : made easy with simulation decomposition (SimDec)

2025

"SimDec is a revolution in decision-making support. SimDec "teases out" inherent cause-and-effect relationships and reveals the intricacy of relationships between sets of input and output variables. At its core, SimDec is an amalgamation of uncertainty and global sensitivity analysis with an...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015147951

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Sensitivity Analysis for Business, Technology, and Policymaking: Made Easy with Simulation Decomposition (SimDec)

2025

Book / Working Paper

Data-driven dynamic police patrolling : an efficient Monte Carlo tree search

Tschernutter, Daniel; Feuerriegel, Stefan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015094945

Monetary policy shocks and narrative restrictions : rules matter

Castelnuovo, Efrem; Pellegrino, Giovanni; Særkjær, … - 2025

Imposing restrictions on policy rule coefficients in vector autoregressive (VAR) models enhances the identification of monetary policy shocks obtained with sign and narrative restrictions. Monte Carlo simulations and empirical analyses for the United States and the Euro area support this result....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015548854

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Monetary policy shocks and narrative restrictions : rules matter

Castelnuovo, Efrem; Pellegrino, Giovanni; Særkjær, … - 2025

Book / Working Paper

Fixed effects, lagged dependent variables, and bracketing : cautionary remarks

Demetrescu, Matei; Frondel, Manuel; Tomberg, Lukas; … - 2025

We investigate a bracketing property that purports to yield upper- and lower bounds on the treatment effects obtained from a fixed effects- and lagged dependent variable model. Referencing both analytical results and a Monte Carlo simulation, we explore the conditions under which the bracketing...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015373005

New control variates for pricing basket options

Jipreze, Kam; Date, Paresh - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333130

Power to the researchers : calculating power after estimation

Tian, Jiarui; Coupé, Tom; Khatua, Sayak; Reed, W. Robert; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334797

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Power to the researchers : calculating power after estimation

Tian, Alex; Coupé, Tom; Khatua, Sayak; Reed, W. Robert; … - 2022

Book / Working Paper

Bootstrap inference for group factor models

Gonçalves, Sílvia; Koh, Julia; Perron, Benoit - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339830

Solving economic models with neural networks without backpropagation

Pascal, Julien - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015357920

To omit or to include? : integrating the frugal and prolific perspectives on control variable use

Mändli, Fabian; Rönkkö, Mikko - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015187553

A Neyman-orthogonalization approach to the incidental parameter problem

Bonhomme, Stéphane; Jochmans, Koen; Weidner, Martin - 2025

A popular approach to perform inference on a target parameter in the presence of nuisance parameters is to construct estimating equations that are orthogonal to the nuisance parameters, in the sense that their expected first derivative is zero. Such first-order orthogonalization may, however,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191457

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A Neyman-Orthogonalization Approach to the incidental parameter problem

Bonhomme, Stéphane; Jochmans, Koen; Weidner, Martin - 2025

Book / Working Paper

Linear regressions with combined data

D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191529

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Linear regressions with combined data

D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - 2024

Book / Working Paper

Weak exogeneity, cointegration and stability tests

Bianchi, Annamaria; Khalaf, Lynda; Urga, Giovanni - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191531

Estimation and forecast of carbon emission market volatility based on model averaging method

Wang, Nianling; Wang, Qianchao; Li, Yong - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193412

A new look at cross-country aggregation in the global VAR approach : theory and Monte Carlo simulation

Gündüz, Halil İbrahim; Emirmahmutoglu, Furkan; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195756

A Gibbs sampler for efficient Bayesian inference in sign-identified SVARs

Arias, Jonas; Rubio-Ramírez, Juan Francisco; Shin, Minchul - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015420793

Robust tail risk estimation in cryptocurrency markets : addressing GARCH misspecification with block bootstrapping

Christodoulou-Volos, Christos - 2025

This study examines the use of Filtered Historical Simulation (FHS) to estimate tail risk in cryptocurrency markets for the optimization of robustness in this area under model misspecification. An ARMA-GARCH model is employed on the daily returns on Binance Coin and Litecoin in order to compare...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467373

Testing for spatial lag dependence and homoskedasticity in a random effects panel data model

Baltagi, Badi H.; Liu, Long - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467978

Multiple testing of stochastic monotonicity

Wu, Qian; Kaplan, David M. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472265

Exploring the determinants of renewable energy consumption : a Bayesian Monte Carlo simulation analysis of technology, economic growth, CO₂ emissions, and digital financial inclusion

Nguyen, Quoc Huy; Nguyen, Van Hai; Le Dinh Quoc - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472416

A CUSUM test for breaks in fractional cointegration

Fitter, Krischan; Sibbertsen, Philipp - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472815

Survival analysis for credit risk : a dynamic approach for Basel IRB compliance

Dala, Fernando L.; Esquível, Manuel L.; Gaspar, Raquel M. - 2025

This paper uses survival analysis as a tool to assess credit risk in loan portfolios within the framework of the Basel Internal Ratings-Based (IRB) approach. By modeling the time to default using survival functions, the methodology allows for the estimation of default probabilities and the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448887

Monte Carlo-based VaR estimation and backtesting under Basel III

Cheng, Yueming - 2025

Value-at-Risk (VaR) is a key metric widely applied in market risk assessment and regulatory compliance under the Basel III framework. This study compares two Monte Carlo-based VaR models using publicly available equity data: a return-based model calibrated to historical portfolio volatility, and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448974

Analysis of Value-at-Risk (VaR) of Naira against BRICS Currencies

Umoru, David; Tedunjaiye, Oluwatoyin Dorcas - 2025

Aim: This study investigates foreign exchange market dynamics by forecasting and analyzing the Value-at-Risk (VaR) for the Nigerian Naira against BRICS currencies utilizing daily data from January 1, 2010 to December 31, 2024. Design/Research methods: The five BRICS currencies (BRL, RUB, INR,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015449496