ERN: Simulation Methods (Topic)最新文献_第10页

Estimating the Lognormal-Gamma Model of Operational Risk Using the MCMC Method 用MCMC方法估计操作风险的Lognormal-Gamma模型

ERN: Simulation Methods (Topic) Pub Date : 2009-02-01 DOI: 10.2139/ssrn.1316428

Bakhodir A. Ergashev

引用次数: 5

Practical Policy Iteration: Generic Methods for Obtaining Rapid and Tight Bounds for Bermudan Exotic Derivatives Using Monte Carlo Simulation 实用策略迭代:利用蒙特卡罗模拟获得bermuda奇异导数快速紧界的一般方法

ERN: Simulation Methods (Topic) Pub Date : 2009-01-23 DOI: 10.2139/ssrn.1331904

Christopher Beveridge, M. Joshi, Rober Y. W. Tang

引用次数: 27

Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility 在趋势可能突破和非平稳波动的情况下对单位根的检验

ERN: Simulation Methods (Topic) Pub Date : 2008-12-02 DOI: 10.2139/ssrn.1310189

Giuseppe Cavaliere, David I. Harvey, S. Leybourne, A. Taylor

{"title":"Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility","authors":"Giuseppe Cavaliere, David I. Harvey, S. Leybourne, A. Taylor","doi":"10.2139/ssrn.1310189","DOIUrl":"https://doi.org/10.2139/ssrn.1310189","url":null,"abstract":"In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow for a possible break in trend occurring at an unknown point in the sample, considered in Harris, Harvey, Leybourne and Taylor (2008) [HHLT]. HHLT's analysis hinges on a new break fraction estimator which, when a break in trend occurs, is consistent for the true break fraction at rate Op(T??1). Unlike other available estimators, however, when there is no trend break HHLT's estimator converges to zero at rate Op(T1=2). In their analysis HHLT assume the shocks to follow a linear process driven by IID innovations. Our first contribution is to show that HHLT's break fraction estimator retains the same consistency properties as demonstrated by HHLT for the IID case when the innovations display non-stationary behaviour of a quite general form, including, for example, the case of a single break in the volatility of the innovations which may or may not occur at the same time as a break in trend. However, as we subsequently demonstrate, the limiting null distribution of unit root statistics based around this estimator are not pivotal in the presence of non-stationary volatility. Associated Monte Carlo evidence is presented to quantify the impact of various models of non-stationary volatility on both the asymptotic and finite sample behaviour of such tests. A solution to the identified inference problem is then provided by considering wild bootstrap-based implementations of the HHLT tests, using the trend break estimator from the original sample data. The proposed bootstrap method does not require the practitioner to specify a parametric model for volatility, and is shown to perform very well in practice across a range of models.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122117315","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 22

Contributions to the Estimation of Mixed-State Conditionally Heteroscedastic Latent Factor Models: A Comparative Study 对混合状态条件异方差潜在因子模型估计的贡献:比较研究

ERN: Simulation Methods (Topic) Pub Date : 2008-10-10 DOI: 10.2139/ssrn.1282230

Mohamed Saidane, C. Lavergne

{"title":"Contributions to the Estimation of Mixed-State Conditionally Heteroscedastic Latent Factor Models: A Comparative Study","authors":"Mohamed Saidane, C. Lavergne","doi":"10.2139/ssrn.1282230","DOIUrl":"https://doi.org/10.2139/ssrn.1282230","url":null,"abstract":"Mixed-State conditionally heteroscedastic latent factor models attempt to describe a complex nonlinear dynamic system with a succession of linear latent factor models indexed by a switching variable. Unfortunately, despite the framework's simplicity exact state and parameter estimation are still intractable because of the interdependency across the latent factor volatility processes. Recently, a broad class of learning and inference algorithms for time series models have been successfully cast in the framework of dynamic Bayesian networks (DBN). This paper describes a novel DBN-based switching conditionally heteroscedastic latent factor model. The key methodological contribution of this paper is the novel use of the Generalized Pseudo-Bayesian method GPB2, a structured variational learning approach and an approximated version of the Viterbi algorithm in conjunction with the EM algorithm for overcoming the intractability of exact inference in mixed-state latent factor model. The conditional EM algorithm that we have developed for the maximum likelihood estimation is based on an extended switching Kalman filter approach which yields inferences about the unobservable path of the common factors and their variances, and the latent variable of the state process. Extensive Monte Carlo simulations show promising results for tracking, interpolation, synthesis, and classification using learned models.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123128262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Identifying Sources of Business Cycle Fluctuations in Germany 1975-1998 确定1975-1998年德国商业周期波动的根源

ERN: Simulation Methods (Topic) Pub Date : 2008-09-01 DOI: 10.2139/ssrn.1280926

Oliver Holtemöller, Torsten Schmidt

引用次数: 3

Determinants of Foreign Direct Investment in Nigeria: Political Factor Effect Revisited 尼日利亚外国直接投资的决定因素:政治因素的影响

ERN: Simulation Methods (Topic) Pub Date : 2008-05-23 DOI: 10.2139/ssrn.1136083

W. Ibrahim, Onokosi-Alliyu Saidat O.

引用次数: 13

Bayesian Model Selection for Structural Break Models 结构断裂模型的贝叶斯模型选择

ERN: Simulation Methods (Topic) Pub Date : 2008-05-15 DOI: 10.2139/ssrn.1132463

Andrew T. Levin, Jeremy Piger

引用次数: 14

CHICAGO: A Fast and Accurate Method for Portfolio Risk 芝加哥:一种快速准确的投资组合风险评估方法

ERN: Simulation Methods (Topic) Pub Date : 2008-02-01 DOI: 10.2139/ssrn.1126706

S. Broda, Marc S. Paolella

引用次数: 8

Introduction to Multi-Agent Simulation 多智能体仿真导论

ERN: Simulation Methods (Topic) Pub Date : 2008-01-01 DOI: 10.2139/ssrn.2827970

Peer-Olaf Siebers, U. Aickelin

引用次数: 83

Debt Sustainability in Emerging Market Countries: A 'Fan Chart' Approach 新兴市场国家债务可持续性:“扇形图”方法

ERN: Simulation Methods (Topic) Pub Date : 2006-03-30 DOI: 10.2139/ssrn.2005167

Xavier Debrun, Oya Celasun, J. Ostry

{"title":"Debt Sustainability in Emerging Market Countries: A 'Fan Chart' Approach","authors":"Xavier Debrun, Oya Celasun, J. Ostry","doi":"10.2139/ssrn.2005167","DOIUrl":"https://doi.org/10.2139/ssrn.2005167","url":null,"abstract":"The paper by Debrun, Celasun and Ostry focuses on the assessment of debt sustainability and stresses the need to overcome one of the main drawbacks of debt sustainability analysis, i.e. the fact that it is usually based on a deterministic approach in which uncertainty is dealt with by simulating alternative scenarios in which only one key variable at a time is hit by an adverse shock. The paper proposes a methodology that improves the understanding of the risks surrounding debt dynamics and acknowledges the probabilistic nature of debt sustainability analysis exercises. The approach, which preserves a certain degree of standardization while allowing for country-specific risk factors, uses estimates of the joint probability distributions of economic shocks to construct a large number of scenarios capturing covariances among disturbances and the dynamic response of the economy. The methodology provides for fiscal policy to adjust to shocks according to a pattern observed in emerging market economies and to be itself a source of risk. The proposed assessment of debt sustainability is probabilistic and can help policy makers to: capture country-specific features relevant for debt dynamics; have clearer signals of the risks from delaying fiscal adjustment or undertaking fiscal expansions; and improve medium-term fiscal planning given the more complete information on the debt risk profile.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123318551","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 8