Search Results

The Application of the Monte Carlo Method in the Management of Value at Risk of an Investment Portfolio (Zastosowanie metody Monte Carlo w zarzadzaniu Value at Risk portfela inwestycyjnego),
Tomasz Krawczyk, in Problemy Zarzadzania (2016)
Keywords: risk management, value at risk, Monte Carlo simulation

Weekend vs. Medium Stay Tourism,
Petru Balogh and Pompiliu Golea, in Knowledge Horizons - Economics (2015)
Keywords: Profit, Monte Carlo, weekend stays, medium stays, tourism

Management Based on Data Analysis. Part One. Data Visualization Analysis,
Ilie Margareta and Ilie Constantin, in Ovidius University Annals, Economic Sciences Series (2021)
Keywords: management, data visualization, human resources, evaluation

Social Free Energy of a Pareto-Like Resource Distribution,
Josip Stepanic, Hrvoje Stefancic and Vinko Zlatic, in Interdisciplinary Description of Complex Systems - scientific journal (2006)
Keywords: resource distribution function, Pareto distribution, social free energy

GARANTÍA DE PENSIÓN MÍNIMA EN COLOMBIA: EL EFECTO DE LA VOLATILIDAD DEL RETORNO DE LA CUENTA DE AHORRO INDIVIDUAL,
Carlos Fernando Silva Pena, from Universidad de los Andes, Facultad de Economía, CEDE (2003)
Keywords: Garantía de pensión mínima

Efficient high-dimensional importance sampling in mixture frameworks,
Tore Kleppe and Roman Liesenfeld, from Christian-Albrechts-University of Kiel, Department of Economics (2011)
Keywords: dynamic latent variable model, importance sampling, marginalized likelihood, mixture, Monte Carlo, realized volatility, stochastic volatility

Statistical Analysis of Wind Speed for the Probability Evaluation of Cancelled Departure for Catamarans and Ferries,
Nastia Degiuli, Biserka Runje and Andrea Farkas, from IRENET - Society for Advancing Innovation and Research in Economy, Zagreb (2017)
Keywords: knowledge, information quality, applied statistics, probability estimation, wind, weibull distribution

Albanian Challenges towards an Efficient Pension System,
Olgerta Idrizi and Besa Shahini, from IRENET - Society for Advancing Innovation and Research in Economy, Zagreb (2018)
Keywords: Pensions, predicting, actuarial model, Inflation rate, demographic structure, unemployment

Re-engineering and the dynamic of systems,
Giampaolo Orlandoni, in Economía (1996)
Keywords: Reingeniería, mejoramiento continuo, dinamica de sistemas.

Simulation of structural changes and scenario analysis,
Oswaldo Terán and Carlos Domingo, in Economía (1997)
Keywords: Simulación del cambio estructural, lenguaje Glider, sistemas sociales.

Fast and accurate simulation of differently seasoned loan defaults in a Merton-style framework in discrete time,
Zoltan Varsanyi, from University Library of Munich, Germany (2008)
Keywords: credit risk; simulation

Asal Bilesenler Analizine Bootstrap Yaklasimi,
Aylin Aktukun, in Istanbul University Econometrics and Statistics e-Journal (2005)
Keywords: Principle components analysis; Bootstrap; Bootstrap quantiles; Bootstrap, Confidence Intervals; Mathematica.

Rastlantisal seritler ile En Kucuk Medyan Kareler Dogrusunun Bulunmasi,
Enis Siniksaran and Aylin Aktukun, in Istanbul University Econometrics and Statistics e-Journal (2005)
Keywords: The least median squares; Strip; Algorithm; Convex hull; Mathematica

ÝLERLEYEN TÜR TÝP-II SAÐDAN SANSÜRLÜ ÖRNEKLEME DAYALI DÜZGÜN DAÐILIMIN PARAMETRELERÝNÝN JACKKNÝFE TAHMÝN EDÝCÝSÝ,
Coskun Kus, in Istanbul University Econometrics and Statistics e-Journal (2005)
Keywords: Uniform distribution, progressive type-II right censoring, jackknifed estimator, order statistics.

Stata programming of confidence regions for the ratio of two percentiles,
Li-Fei Huang, from International Institute of Social and Economic Sciences (2017)
Keywords: Strength of lumber, Ratio of percentiles, Stata programming, Confidence region.

GMM estimation of Spatial Panels with Fixed Effects,
Francesco Moscone and Elisa Tosetti, from University Library of Munich, Germany (2010)
Keywords: spatial econometrics, panel data, within estimator

Dynamic modeling of uncertainty in the planned values of investments in petrochemical and refining projects,
Juliano Melquiades Vianello, Leticia Costa and José Paulo Teixeira, in Energy Economics (2014)
Keywords: Stochastic process; Mean reversion movement; Real options; Monte Carlo simulation; Project analysis;

Jackknife bias reduction for simulated maximum likelihood estimator of discrete choice models,
Jinyong Hahn and Xueyuan Liu, in Economics Letters (2022)
Keywords: Simulated maximum likelihood estimator; Split sample jackknife;

Stochastic simulations on the Romanian macroeconomic model,
Emilian Dobrescu and Bianca Pauna, from University Library of Munich, Germany (2007)
Keywords: macromodel, uncertainty, bootstrap, simulation

Review of Dace-Kriging Metamodel,
Muzaffer Balaban, in Interdisciplinary Description of Complex Systems - scientific journal (2023)
Keywords: DACE-kriging, regression, basic kriging, correlogram

Simulation,
Nalan, from Society for Computational Economics (2001)
Keywords: Stochastic

Swing Options: A Mechanism for Pricing Peak IT Demand,
Bernardo A. Huberman and Scott H. Clearwater, from Society for Computational Economics (2005)
Keywords: pricing, computational resources

Hedging using simulation: a least squares approach,
Claudio Tebaldi, from Society for Computational Economics (2002)
Keywords: greeks,Malliavin calculus, Monte Carlo methods

Regional Dimensions: Preparation of 1998-99 HES for reweighting to small-area benchmarks,
S.F. Chin, Ann Harding and Anthea Bill, from University of Canberra, National Centre for Social and Economic Modelling (2007)
Keywords: reweighting, small-area statistics, spatial microsimulation

Investigation of multivariate pairs trading under copula approach with mixture distribution,
Fuli He, Ali Yarahmadi and Fazlollah Soleymani, in Applied Mathematics and Computation (2024)
Keywords: Marginal distributions; Pairs trading strategy; Multivariate pairs; Copula; Mixture distribution;

Using Generalized PathSeeker Regularized Regression for Modeling and Prediction of Output Power of CuBr Laser,
Snezhana Gocheva-Ilieva and Iliycho Iliev, from International Institute of Social and Economic Sciences (2016)
Keywords: Regularized regression, Generalized PathSeeker, LASSO, TreeNet (Stochastic Gradient Boosting), Copper bromide vapor laser

Econometric analysis of Russian market of mergers and acquisitions,
Maria Polikarpova, in Applied Econometrics (2011)
Keywords: integration activities; market of mergers and acquisitions (M&A); financial and economic crisis; econometric modelling.

Choosing a random distribution with prescribed risks,
Ignacio Cascos and Ilya Molchanov, in Insurance: Mathematics and Economics (2013)
Keywords: IM01; IE43; Risk measure; Random probability distribution; Simulation; Lorenz curve;

Tests of the Fama and French model in India,
Gregory Connor and Sanjay Sehgal, from London School of Economics and Political Science, LSE Library (2001)

NCDMod: A Microsimulation Model Projecting Chronic Disease and Risk Factors for Australian Adults,
Sharyn Lymer, Deborah Schofield, Crystal M Y Lee and Stephen Colagiuri, in International Journal of Microsimulation (2016)
Keywords: Microsimulation, chronic disease, cardiovascular disease

The accuracy of welfare computations,
Michel Juillard, from Society for Computational Economics (2005)

An overview on various ways of bootstrap methods,
Venus Liew, from University Library of Munich, Germany (2008)
Keywords: bootstrap methods; confidence intervals

EL CENSO NACIONAL DE POBLACIÓN: UNA COMPARACIÓN DE METODOLOGÍAS MEDIANTE SIMULACIONES DE MONTE CARLO,
Christian Jaramillo H. and Ana Ibáñez, from Universidad de los Andes, Facultad de Economía, CEDE (2005)
Keywords: Censo Nacional de Población

Is a small Monte Carlo analysis a good analysis? Checking the size, power and consistency of a simulation-based test,
Ignacio Díaz-Emparanza, from University Library of Munich, Germany (2000)
Keywords: Number of replications, Monte Carlo, accuracy.

A Calibration Algorithm for Micro-Simulation Models,
Erol Taymaz, from Research Institute of Industrial Economics (1993)
Keywords: Micro-simulation; Firm; Production; Price signals

Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms,
Carsten Trenkler, from Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) (2004)
Keywords: p-values, systems cointegration tests, response surface

Synergic effects of meteorological factors on urban form-outdoor exercise relationship: A study with crowdsourced data,
Ye Tian, Xiaobai Angela Yao, Marguerite Madden and Andrew Grundstein, in Journal of Geographical Systems (2024)
Keywords: Urban form, Local meteorology, Outdoor exercise, Synergic effects, Strava

How computational statistics became the backbone of modern data science,
James E. Gentle, Wolfgang Härdle and Yuichi Mori, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2011)
Keywords: discrete time series models, continuous time diffusion models, models with jumps, stochastic volatility, GARCH

Modeling asset prices,
James E. Gentle and Wolfgang Härdle, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
Keywords: Discrete time series models, continuous time diffusion models, models with jumps, stochastic volatility, GARCH

Biases in Maximum Simulated Likelihood Estimation of Bivariate Models,
Jumamyradov Maksat and Murat Munkin, in Journal of Econometric Methods (2022)
Keywords: Maximum Simulated Likelihood, Simulation Biases, Bivariate Models

Techno-economic study of output-flexible light water nuclear reactor systems with cryogenic energy storage,
Andy Wilson, William Nuttall and Bartek A Glowacki, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2020)
Keywords: uncertainty analysis, power grid economics, energy storage, nuclear power

Imputation of continuous variables missing at random using the method of simulated scores,
Giorgio Calzolari and Laura Neri, from University Library of Munich, Germany (2002)
Keywords: Simulates scores; missing data; estimation/imputation; structural form; reduced form

Estimates of Technology and Convergence: Simulation Results,
Graeme Wells and Thanasis Stengos, in Ekonomia (2010)

PBoostGA: pseudo-boosting genetic algorithm for variable ranking and selection,
Chun-Xia Zhang, Jiang-She Zhang and Sang-Woon Kim, in Computational Statistics (2016)
Keywords: Variable selection, Variable ranking, Genetic algorithm, Ensemble learning, Variable selection ensemble, Boosting

On the invertibility of seasonally adjusted series,
Yuliya Lovcha, Alejandro Perez-Laborda and Luis Gil-Alana, in Computational Statistics (2018)
Keywords: Seasonality, Invertibility, Fractional integration, TRAMO-seats, Tapering

The handling of missing data in trial-based economic evaluations: should data be multiply imputed prior to longitudinal linear mixed-model analyses?,
Ângela Jornada Ben, Johanna M. Dongen, Mohamed El Alili, Martijn W. Heymans, Jos W. R. Twisk, Janet L. MacNeil-Vroomen, Maartje Wit, Susan E. M. Dijk, Teddy Oosterhuis and Judith E. Bosmans, in The European Journal of Health Economics (2023)
Keywords: Cost–benefit analysis, Longitudinal studies, Epidemiologic methods, Computer simulation

Nonlinear Autoregressive Models and Long Memory,
George Kapetanios, from Queen Mary University of London, School of Economics and Finance (2004)
Keywords: Long memory, Nonlinearity

Using Wasserstein Generative Adversarial Networks for the Design of Monte Carlo Simulations,
Susan Athey, Guido Imbens, Jonas Metzger and Evan M. Munro, from National Bureau of Economic Research, Inc (2019)

A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms,
Carsten Trenkler, from European University Institute (2003)

On Tests for Double Differencing: Some Extensions and the Role of Initial Values,
Paulo Rodrigues and Robert Taylor, from Centro de Estudios Andaluces (2003)
Keywords: Unit roots tests.

A spreading method to improve efficiency prediction,
Rafaela Dios and J. Martinez-Paz, from Centro de Estudios Andaluces (2004)
Keywords: Efficiency, Frontier models, Monte Carlo methods.

Variables de entorno en el análisis de eficiencia.Un método de tres etapas con variables categóricas,
Rafaela Dios, J. Martinez-Paz and Federico Martínez-Carrasco Pleite, from Centro de Estudios Andaluces (2004)
Keywords: Efficiency, Environmental factors, DDEA

An Index for Climate-Induced Migration Uncertainty,
Sulaiman Salisu and Afees Salisu, from University Library of Munich, Germany (2023)
Keywords: News; Climate change; International migration; Uncertainty

Techno-economic study of output-flexible light water nuclear reactor systems with cryogenic energy storage,
Andy Wilson, William Nuttall and Bartek Glowacki, from Faculty of Economics, University of Cambridge (2020)
Keywords: uncertainty analysis, power grid economics, energy storage, nuclear power

Bootstrapping Macroeconometric Models,
Ray Fair, from Cowles Foundation for Research in Economics, Yale University (2003)
Keywords: Bootstrapping, stochastic simulation

Structural breaks in point processes: With an application to reporting delays for trades on the New York stock exchange,
Jonas Andersson and Jan-Magnus Moberg, from Norwegian School of Economics, Department of Business and Management Science (2007)
Keywords: Quote revisions; bootstrap procedure; simulation

Financial Well-Being in an Urban Setting: An Application of Multiple Imputation,
David Penn, from Middle Tennessee State University, Department of Economics and Finance (2005)
Keywords: Missing Data; Multiple Imputation

Simulation of the Covid-19 pandemic data series,
George Daniel Mateescu, from Institute for Economic Forecasting (2021)
Keywords: pandemic simulation, probability of contagion

Testarea proprietatilor predictive ale modelelor macroeconomice prin utilizarea simulărilor stohastice. Influenta numarului de observatii asupra restrangerii intervalului de prognoza,
Bianca Pauna, from Institute for Economic Forecasting (2016)
Keywords: stochastic simulations, macromodel, predictive properties

Rate of convergence of a particle method to the solution of the Mc Kean-Vlasov's equation,
Fabio Antonelli and Arturo Kohatsu, from Department of Economics and Business, Universitat Pompeu Fabra (1998)
Keywords: Mc Kean-Vlasov equation, Malliavin calculus

Weak approximations. A Malliavin calculus approach,
Arturo Kohatsu, from Department of Economics and Business, Universitat Pompeu Fabra (1999)
Keywords: Stochastic differential equations, boundary conditions, weak approximation, numerical analysis

Asymptotic behaviour of the density in a parabolic SPDE,
Arturo Kohatsu, D. Márquez Carreras and M. Sanz Solé, from Department of Economics and Business, Universitat Pompeu Fabra (1999)
Keywords: Malliavin Calculus, parabolic SPDE, large deviations, Taylor expansion of a density, exponential estimates of the tail probabilities, stochastic integration by parts formula

A BPE model for the Burgers' equation,
Arturo Kohatsu and Shigeyoshi Ogawa, from Department of Economics and Business, Universitat Pompeu Fabra (2003)
Keywords: Burgers' equation, sde

An assessment of empirical Bayes and composite estimators for small areas,
Nicholas Longford, from Department of Economics and Business, Universitat Pompeu Fabra (2006)
Keywords: Composite estimator, empirical Bayes models, mean squared error, small-area estimation

Log-Transform Kernel Density Estimation of Income Distribution,
Arthur Charpentier and Emmanuel Flachaire, from Aix-Marseille School of Economics, France (2015)
Keywords: nonparametric density estimation, heavy-tail, income distribution, data transformation, lognormal kernel

On the Small Sample Distribution of the R/S Statistic,
Michael Harrison and Glenn Treacy, from Trinity College Dublin, Economics Department (1997)

Simulation of Multinomial Probit Probabilities and Imputation of Missing Data,
Steven Stern, Victor Lavy and Michael Palumbo, from University of Virginia, Department of Economics (1998)
Keywords: simulation, imputation

Incomplete pairwise comparison and consistency optimization,
Michele Fedrizzi and Silvio Giove, from Department of Applied Mathematics, Università Ca' Foscari Venezia (2006)
Keywords: consistency, pairwise comparison matrices

A state-space calculus for rational probability density functions and applications to non-Gaussian filtering,
Bernard Hanzon and Raimund J. Ober, from VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics (1997)

Outlier robust cointegration analysis,
Philip Hans Franses and Andre Lucas, from VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics (1997)
Keywords: Robust estimation; unit roots; cointegration; outliers; structural breaks.

Assessing the Effectiveness of a Stochastic Regression Imputation Method for Ordered Categorical Data,
I. Sulis and M. Porcu, from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2008)
Keywords: mar;mcar;mice;multiple imputation analysis;validation process

Wavelet Smoothed Empirical Copula Estimators,
Pedro Alberto Morettin, Clélia Maria de Castro Toloi, Chang Chiann and José Carlos Simon de Miranda, in Brazilian Review of Finance (2010)
Keywords: copula, empirical copula, time series, wavelet, , copula, empirical copula, time series, wavelet

Interval and Band Estimation for Curves with Jumps,
I Gijbels, P Hall and A Kneip, from Catholique de Louvain - Institut de statistique (1996)
Keywords: STATISTICS

What is Missing Sometimes to Enable Statistical Methods to Increase Their Cognitive Capacity?,
Nicolay Stoenchev, in Economic Alternatives (2010)
Keywords: statistical methods, statistical analysis, subjective errors

A review of non-parametric curve estimation methods with application to Econometrics,
Ronaldo Dias, in Economia (2002)
Keywords: Kernel estimation, cross-validation, orthogonal series, B-splines

COMBINING PARAMETRIC AND NON-PARAMETRIC METHODS TO COMPUTE VALUE-AT-RISK,
Ramon Alemany, Catalina Bolancé, Montserrat Guillén and Alemar E. Padilla-Barreto, in ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH (2016)
Keywords: quantile, nonparametric, loss models, extremes, risk evaluation

Dependent wild bootstrap for the empirical process,
Paul Doukhan, Gabriel Lang, Anne Leucht and Michael H. Neumann, from University of Mannheim, Department of Economics (2014)
Keywords: Absolute regularity , bootstrap , empirical process , time series , V -statistics , quantiles , Kolmogorov-Smirnov test

Análisis comparativo de la eficiencia de las instituciones micro financieras en América Latina; una evaluación mediante la envolvente de datos (DEA),
Antonio Kido-Cruz, Alberto Ortiz Zavala and María Teresa Kido-Cruz, in Economía: teoría y práctica (2022)
Keywords: Banca social, eficiencia, tipo de propiedad, dea, micro finanzas

Smooth monotonous functions reconstruction,
Sergey Smolyak, in Applied Econometrics (2010)
Keywords: Function of one variable; smoothness; monotonicity; reconstruction; random errors

Pricing maximum-minimum bidirectional options in trinomial CEV model,
Bin Peng and Fei Peng, in Journal of Economics, Finance and Administrative Science (2016)
Keywords: Trinomial CEV model; Recursive algorithm; Maximum-minimum bidirectional options

Finite sample performance of kernel-based regression methods for non-parametric additive models under common bandwidth selection criterion,
Carlos Martins-Filho and Ke Yang, from University Library of Munich, Germany (2007)
Keywords: Additive non-parametric regression, Local linear estimation, Backfitting estimation, Smooth backfitting, Marginal integration

Comment on “Simulation and Estimation of Hedonic Models” by Heckman, Matzkin and Nesheim,
Michael Keane, from University Library of Munich, Germany (2003)
Keywords: hedonic models; identification; Bayesian semi-parametrics, structural model; theory based empirical analysis; functional form assumptions; instrumental variables; mixture-of-normals; flexible parametric models

Testing a differential condition and local normality of densities,
Kairat Mynbayev and Aziza Aipenova, from University Library of Munich, Germany (2014)
Keywords: testing; local normality test; alternative hypothesis; null hypothesis; asymptotic normality

Estimation of varying coefficient models with time trend and integrated regressors,
Kunpeng Li and Weiming Li, in Economics Letters (2013)
Keywords: Varying coefficient model; Time trend; Local constant estimator; Consistency;

Efficient estimation of partially linear varying coefficient models,
Wei Long, Min Ouyang and Ying Shang, in Economics Letters (2013)
Keywords: Partially linear; Varying coefficient; Semiparametric method; Efficient estimation; Simulation;

Profile least squares estimation of a partially linear time trend model with weakly dependent data,
Zheng Li, Li Su and Daiqiang Zhang, in Economics Letters (2014)
Keywords: Partially linear; Time trend; Semiparametric bound, asymptotic normality;

Semiparametric estimation of default probability: Evidence from the Prosper online credit market,
Xiaofeng Li, Ying Shang and Zhi Su, in Economics Letters (2015)
Keywords: Semiparametric method; Single index model; Default probability;

Smoothed kernel conditional density estimation,
Kuangyu Wen and Ximing Wu, in Economics Letters (2017)
Keywords: Conditional density estimation; Bandwidth selection; Body mass index;

Consistent specification test for partially linear models with the k-nearest-neighbor method,
Wenju Wang and Qiao Wang, in Economics Letters (2019)
Keywords: Partially linear model; k-nearest-neighbor; Consistent test;

Robust kernels for kernel density estimation,
Shaoping Wang, Ang Li, Kuangyu Wen and Ximing Wu, in Economics Letters (2020)
Keywords: Kernel density estimation; Bandwidth selection; Robust kernel function; Income distribution;