Search Results - subject_exact:"Monte-Carlo-Methode"

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://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://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://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://ebvufind01.dmz1.zbw.eu/10015612211

Show one more version 1

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

Cline, James; Truong Dothang - 2026

Article

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

Cline, James; Truong Dothang - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611880

Show one more version 1

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://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://ebvufind01.dmz1.zbw.eu/10015612285

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://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://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://ebvufind01.dmz1.zbw.eu/10015656182

Quantum Bayesian inference : an exploration

Frost, Jon; Madeira, Carlos; Rastogi, Yash; Uhlig, Harald - 2026 - This revision: February 20, 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668220

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://ebvufind01.dmz1.zbw.eu/10015644841

Monte Carlo likelihood-ratio tests for Markov switching models

Rodriguez Rondon, Gabriel; Dufour, Jean-Marie - 2026 - Last updated: July 2, 2026

Markov switching models are widely used to capture nonlinearities arising from regime shifts. Most existing tests for the number of regimes focus on one versus two regimes. Even in such simple cases, this type of problem raises issues of non-standard asymptotic distributions, identification...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670737

Cost modeling and policy insights for deploying two VVER-1200 reactors in the newcomer nuclear country of Bangladesh

Akter, Sangida; Islam, Md Shafiqul - 2026

The cost of nuclear power is a decisive factor in planning and building reactors, particularly in developing countries, where uncertainties in financial structures, key technical parameters, potential construction delays, and supply-chain constraints complicate economic assessment. This study...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015671019

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

Lin, Yanli; Song, Yichun - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015554930

Strategic retrofit decision modeling for net-zero airport energy systems : hybrid optimization and policy simulation at Istanbul airport

Mizrak, Filiz; Sahin, Didem Rodoplu - 2026

This study develops an integrated hybrid decision-support framework for strategic energy retrofit planning in large-scale airport infrastructure under uncertainty, using Istanbul Airport as a real-world case. The method integrates stochastic multi-objective optimization using NSGA-II, applies...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676173

Probabilistic long-term forecasting of solar irradiance under climate change using deep learning and Monte Carlo simulations

Saidani, Khaoula; Essaddi, Nejla; Besbes, Mongi - 2026

While traditional forecasting models assume a stationary climate, the accelerating impact of climate change in arid zones like Southern Tunisia has introduced significant non-stationarity and variance in Global Horizontal Irradiance (GHI). The objective of this study is not to simulate specific...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677324

Iterated-bootstrap inference for panel-data models

Heller, Valérie; Jochmans, Koen - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016060628

Confidence sets for the date of a weak mean break in functional data

Lin, Yicong - 2026

We develop confidence sets for the date of a single mean break in functional data when the break may be too weak to be consistently detected. Under each maintained null, segmentwise demeaning removes the unknown mean and break functions, so valid inference does not require consistent detection...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016072842

Symmetric approach to industrial safety risk assessment based on mutual probability correspondence

Matsuk, Zakhar; Bielikov, Anatolii; Maladyka, Ihor; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016072482

A Monte Carlo-based approach to demand forecasting and stochastic optimization in supply chains

Turgay, Safiye; Demi̇r, Rümeysa; Kavacık, Mustafa - 2026

Economic shipment planning under demand uncertainty is still the major problem in today's supply chains, in whichtransportation cost, inventory holding cost, and stockout cost are considered simultaneously. This work contributes by comparing demand forecasting-based planning with stochastic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016082146

Sandwiched Volterra volatility model : Markovian approximations and hedging

Di Nunno, Giulia; Yurchenko-Tytarenko, Anton - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081499

The gap pattern coefficient : diagnosing missing-data bias in multilateral price level measurement

Auer, Ludwig von - 2026

Multilateral price indices are widely used to estimate and compare price levels across units such as time periods or regions using observed prices and quantities of individual items. Besides ensuring transitivity and reducing chain drift, these methods are often assumed to mitigate the effects...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064055

Probability of Default (PD) under systemic stress scenarios

Habibi, Reza - 2026

Systemic risk has essential impact on PD of a firm. In the current paper, under scenario of systemic crisis, the behavior of DD credit risk measure is studied and its relation to market and climate betas are proposed. Then, optimum leverage ratio and prudential coefficient are derived. Finally,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016085866

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://ebvufind01.dmz1.zbw.eu/10015486113

An efficient algorithm to compute correlation Greeks

Vandendorpe, Antoine - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015655818

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://ebvufind01.dmz1.zbw.eu/10015587578

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://ebvufind01.dmz1.zbw.eu/10015486118

Estimating the impact of combined correlated credit scorecards

Kochański, Błażej; Fine, Saul - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670531

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://ebvufind01.dmz1.zbw.eu/10015147951

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

Tschernutter, Daniel; Feuerriegel, Stefan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015094945

Bayesian forecasting of zero-inflated time-series of counts

Aktekin, Tevfik; Soyer, Refik; Zhang, Di - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668501

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://ebvufind01.dmz1.zbw.eu/10015548854

Show one more version 1

Monetary policy shocks and narrative restrictions : rules matter

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

Book / Working Paper

Evaluating fairness of voting systems : simulating violations of arrow's conditions

Pandit, Virochan; Cutrone, Joseph - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016082966

MCMC proposals based on method of moments with an application to finite beta mixtures

Norets, Andriy; Tang, Xun - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083164

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

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672201

Show one more version 1

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

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

Book / Working Paper

New control variates for pricing basket options

Jipreze, Kam; Date, Paresh - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333130

Warnings about future jumps : properties of the Exponential Hawkes Model

Foschi, Rachele; Lilla, Francesca; Mancini, Cecilia - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016085766

Power to the researchers : calculating power after estimation

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015334797

Show one more version 1

Power to the researchers : calculating power after estimation

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

Book / Working Paper

Fast Bayesian calibration of option pricing models based on sequential Monte Carlo methods and deep learning

Brignone, Riccardo; Gonzato, Luca; Knaust, Sven; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016085829

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://ebvufind01.dmz1.zbw.eu/10015373005

Show one more version 1

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

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

Book / Working Paper

Bootstrap inference for group factor models

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339830

Solving economic models with neural networks without backpropagation

Pascal, Julien - 2025

Persistent link: https://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://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://ebvufind01.dmz1.zbw.eu/10015191457

Show one more version 1