Munich Personal RePEc Archive

Items where Subject is "C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General"

Up a level
Export as [feed] Atom [feed] RSS 1.0 [feed] RSS 2.0
Group by: Creators Name | Language
Jump to: A | B | C | D | E | F | G | H | I | J | K | L | M | N | O | P | R | S | T | V | W | Y | Z
Number of items at this level: 284.


Albu, Lucian-Liviu (1991): Le Rapport Industrie - Agriculture Et Le Developpement Economique. Published in: Doctoral Thesis: "Raportul industrie-agricultura si dezvltarea economica" (1991)

Albu, Lucian-Liviu (2008): A simulation model of public debt sustainability.

Albu, Lucian-Liviu and Diaconescu, Tiberiu (2009): Simulation on long-term correlation between demographic variables and economic growth.

Albu, Lucian-Liviu and Pelinescu, Elena (2000): Sustainability of public debt: a theoretical and empirical investigation. Published in: Revue Roumaine des Sciences Economiques , Vol. 45, No. 1 : pp. 101-127.

Albulescu, Claudiu Tiberiu (2009): Forecasting credit growth rate in Romania: from credit boom to credit crunch?

Alcantud, José Carlos R. and Matos, Daniel L. and Palmero, Carlos R. (2009): Goodness of fit in optimizing consumer's model.

Angle, John (2011): The particle system model of income and wealth more likely to imply an analogue of thermodynamics in social science.

Ardia, David and Hoogerheide, Lennart F. (2009): Bayesian estimation of the GARCH(1,1) model with Student-t innovations. Published in: The R Journal , Vol. 2, No. 2 (31. December 2010): pp. 41-47.

Ardia, David and Hoogerheide, Lennart F. (2010): Efficient Bayesian estimation and combination of GARCH-type models. Published in: Rethinking Risk Measurement and Reporting: Examples and Applications from Finance, Riskbooks , Vol. Volume, (October 2010)

Armstrong, J. Scott and Green, Kesten C. and Graefe, Andreas (2014): Golden Rule of Forecasting: Be conservative.

Arpino, Bruno and Varriale, Roberta (2009): Assessing the quality of institutions’ rankings obtained through multilevel linear regression models.

Asghar, Zahid and Abid, Irum (2007): Performance of lag length selection criteria in three different situations. Published in: Interstat No. April 2007 (April 2007)

Atiq-ur-Rehman, Atiq-ur-Rehman and Zaman, Asad (2009): Impact of Model Specification Decisions on Unit Root Tests.

Atiq-ur-Rehman, Atiq-ur-Rehman and Zaman, Asad (2008): Model specification, observational equivalence and performance of unit root tests.


Balakrishna, B S (2010): Alpha-root Processes for Derivatives pricing.

Bandi, Federico and Corradi, Valentina and Moloche, Guillermo (2009): Bandwidth selection for continuous-time Markov processes.

Bandyopadhyay, Arindam and Ganguly, Sonali (2011): Empirical estimation of default and asset correlation of large corporates and banks in India.

Bao, Qunfang and Chen, Si and Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest.

Bao, Qunfang and Chen, Si and Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest.

Bao, Qunfang and Chen, Si and Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in contagion model: with volatilities and correlation of spread and interest.

Barnett, William A. and Ghosh, Taniya (2013): Stability analysis of Uzawa-Lucas endogenous growth model.

Barnett, William A. and Seck, Ousmane (2008): Estimation with Inequality Constraints on Parameters and Truncation of the Sampling Distribution.

Baumöhl, Eduard and Lyócsa, Štefan (2009): Stationarity of time series and the problem of spurious regression.

Bell, Peter N (2014): Optimal Use of Put Options in a Stock Portfolio.

Bell, Peter N (2014): A Method for Experimental Events that Break Cointegration: Counterfactual Simulation.

Bianchi, Carlo and Calzolari, Giorgio and Corsi, Paolo (1976): Divergences in the results of stochastic and deterministic simulation of an Italian non linear econometric model. Published in: Simulation of Systems (1976): pp. 653-661.

Bianchi, Carlo and Calzolari, Giorgio and Corsi, Paolo and Panattoni, Lorenzo (1985): Asymptotic properties of dynamic multipliers in nonlinear econometric models. Published in: Economic Notes No. 14 (1985): pp. 97-117.

Boldea, Otilia and Magnus, Jan R. (2009): Maximum Likelihood Estimation of the Multivariate Normal Mixture Model. Published in: Journal of the American Statistical Association , Vol. 104, No. 488 (2009): pp. 1539-1549.

Bonaccorsi, Andrea and Daraio, Cinzia and Räty, Tarmo and Simar, Léopold (2007): Efficiency and University Size: Discipline-wise Evidence from European Universities. Published in: VATT publications No. 46 (2007): pp. 309-334.

Bontempi, Maria Elena and Mammi, Irene (2012): A strategy to reduce the count of moment conditions in panel data GMM.

Borak, Szymon and Misiorek, Adam and Weron, Rafal (2010): Models for Heavy-tailed Asset Returns.

Braha, Dan and Stacey, Blake and Bar-Yam, Yaneer (2011): Corporate competition: A self-organized network. Forthcoming in: Social Networks , Vol. doi:10, No. doi:10.1016/j.socnet.2011.05.004 (2011)

Buda, Rodolphe (1999): Market Exchange Modelling Experiment, Simulation Algorithms, and Theoretical Analysis.

Buda, Rodolphe (2005): Numerical Analysis in Econom(etr)ic Softwares: the Data-Memory Shortage Management.

Buda, Rodolphe (2004): SINGUL 2.0 : les équations et les programmes.

Bulla, Jan and Mergner, Sascha and Bulla, Ingo and Sesboüé, André and Chesneau, Christophe (2010): Markov-switching Asset Allocation: Do Profitable Strategies Exist?

Burnecki, Krzysztof and Janczura, Joanna and Weron, Rafal (2010): Building Loss Models.

Burnecki, Krzysztof and Misiorek, Adam and Weron, Rafal (2010): Loss Distributions.

Burnecki, Krzysztof and Pazdan-Siudeja, Liliana (2008): Equity-linked insurances and guaranteed annuity options.

Burnecki, Krzysztof and Weron, Rafal (2010): Simulation of Risk Processes.

Buss, Ginters (2011): Asymmetric Baxter-King filter.

Buzzigoli, Lucia and Giusti, Antonio (2006): From Marginals to Array Structure with the Shuttle Algorithm. Published in: Journal of Symbolic Data Analysis , Vol. 4, No. number 1 (June 2006): pp. 1-14.

Bušs, Ginters (2009): Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach.

Bürgi, Roland and Dacorogna, Michel M and Iles, Roger (2008): Risk aggregation, dependence structure and diversification benefit. Forthcoming in:


Calzolari, Giorgio and Corsi, Paolo (1977): Stochastic simulation as a validation tool for econometric models. Published in: Models for regional planning and policy-making: proceedings of the joint IBM/IIASA conference (15. September 1977): pp. 359-369.

Calzolari, Giorgio and Fiorentini, Gabriele (1994): Conditional heteroskedasticity in nonlinear simultaneous equations. Published in: Florence: European University Institute No. Working Paper ECO No. 94/44 (November 1994): pp. 1-19.

Calzolari, Giorgio and Magazzini, Laura and Mealli, Fabrizia (2001): Simulation-based estimation of Tobit model with random effects. Published in: Econometric Studies, a Festschrift in Honour of Joachim Frohn No. Ed. by R. Friedmann, L. Knueppel, and H. Luetkepohl . Muenster: LIT Verlag (2001): pp. 349-369.

Calzolari, Giorgio and Neri, Laura (2002): Imputation of continuous variables missing at random using the method of simulated scores. Published in: Compstat 2002, Proceedings in Computational Statistics, 15th Symposium held in Berlin No. Ed. by W. Haerdle and B. Roenz. Heidelberg: Physika Verlag (2002): pp. 389-394.

Calzolari, Giorgio and Panattoni, Lorenzo (1987): Finite sample performance of the robust Wald test in simultaneous equation systems. Published in: Advances in Econometrics, ed. by G.F.Rhodes Jr. and T.B.Fomby , Vol. 7, No. Greenwich: JAI Press Inc. (1988): pp. 163-191.

Canestraro, Davide and Dacorogna, Michel (2010): Estimating the risk-adjusted capital is an affair in the tails.

Cappellini, Alessandro and Ferraris, Gianluigi (2007): Waiting Times in Simulated Stock Markets. Forthcoming in: Advance in Complex Systems

Caspi, Itamar (2013): Rtadf: Testing for Bubbles with EViews.

Cerqueti, Roy and Falbo, Paolo and Pelizzari, Cristian (2010): Relevant States and Memory in Markov Chain Bootstrapping and Simulation.

Chan, Joshua and Eisenstat, Eric (2012): Marginal Likelihood Estimation with the Cross-Entropy Method.

Chan, Joshua and Koop, Gary and Potter, Simon (2012): A new model of trend inflation.

Chan, Joshua and Strachan, Rodney (2012): Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods.

Chasco, Coro and López, Fernando (2006): Is spatial dependence an instantaneous effect? Some evidence in economic series of Spanish provinces.

Chernobai, Anna and Burnecki, Krzysztof and Rachev, Svetlozar and Trueck, Stefan and Weron, Rafal (2005): Modelling catastrophe claims with left-truncated severity distributions (extended version).

Chia, Rui Ming Daryl and Lim, Kai Jie Shawn (2012): The Attenuation of Idiosyncratic Risk under Alternative Portfolio Weighting Strategies: Recent Evidence from the UK Equity Market. Published in: International Journal of Economics and Finance , Vol. 4, No. 11 : pp. 1-14.

Ching, Andrew (2008): Consumer Learning and Heterogeneity: Dynamics of Demand for Prescription Drugs after Patent Expiration.

Ching, Andrew and Ishihara, Masakazu (2007): The Effects of Detailing on Prescribing Decisions under Quality Uncertainty.

Chun, So Yeon and Alexander, Shapiro (2009): Normal versus Noncentral Chi-square Asymptotics of Misspecified Models. Forthcoming in: multivariate behavioral research

Chun, So Yeon and Shapiro, Alexander and Uryasev, Stan (2011): Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics. Forthcoming in:

Ciscar, Juan-Carlos and Feyen, Luc and Soria, Antonio and Lavalle, Carlo and Raes, Frank and Perry, Miles and Nemry, Françoise and Demirel, Hande and Rozsai, Máté and Dosio, Alessandro and Donatelli, Marcello and Srivastava, Amit Kumar and Fumagalli, Davide and Niemeyer, Stefan and Shrestha, Shailesh and Ciaian, Pavel and Himics, Mihaly and Van Doorslaer, Benjamin and Barrios, Salvador and Ibáñez, Nicolás and Forzieri, Giovanni and Rojas, Rodrigo and Bianchi, Alessandra and Dowling, Paul and Camia, Andrea and Libertà, Giorgio and San-Miguel-Ayanz, Jesús and de Rigo, Daniele and Caudullo, Giovanni and Barredo, Jose-I. and Paci, Daniele and Pycroft, Jonathan and Saveyn, Bert and Van Regemorter, Denise and Revesz, Tamas and Vandyck, Toon and Vrontisi, Zoi and Baranzelli, Claudia and Vandecasteele, Ine and Batista e Silva, Filipe and Ibarreta, Dolores (2014): Climate Impacts in Europe - The JRC PESETA II Project. Published in: EUR – Scientific and Technical Research , Vol. 26586, (2014): -155 pp..

Ciuiu, Daniel (2010): Simulation of queueing systems with many stations and of queueing networks using copulas. Published in: Scientific Journal Mathematical Modeling in Civil Engineering , Vol. 6, No. 3 (October 2010): pp. 72-86.

Ciuiu, Daniel (2008): Solving nonlinear systems of equations and nonlinear systems of differential equations by the Monte Carlo method using queueing networks and games theory. Published in: Analele Universitatii Bucuresti, Seria Informatica. No. 1, 2008 (2010): pp. 111-125.

Ciuiu, Daniel and Costinescu, Cristian (2008): The Monte Carlo method to find eigenvalues and eigenvectors. Published in: Proceedings of International Conference Trends and Challenges in Applied Mathematics (2008): pp. 157-160.

Combey, Adama and Nubukpo, Kako (2010): Effets Non Linéaires de l'Inflation sur la Croissance dans l'UEMOA.

Cooper, Joseph C. and Hanemann, W.M. and Signorello, Giovanni (2002): One and One-Half Bound Dichotomous Choice Contingent Valuation. Published in: Review of Economics and Statistics , Vol. 84, (November 2002): pp. 742-750.

Cornaglia, Anna and Morone, Marco (2009): Rating philosophy and dynamic properties of internal rating systems: A general framework and an application to backtesting.

Crudu, Federico and Sándor, Zsolt (2011): On the finite-sample properties of conditional empirical likelihood estimators.


D. Yıldırım, Burcu and Coskun, Yener and Caglar, Ozan and Yıldırak, Kasırga (2012): How Dangerous is the Counterparty Risk of OTC Derivatives in Turkey? Published in: Capital Market Journal , Vol. 2, No. 10 (8. August 2012): pp. 70-79.

Daras, Tomasz and Tyrowicz, Joanna (2009): Breeding Ones' Own Subprime Crisis: The effects of labour market on financial system stability.

Das, Arabinda (2013): Estimation of Inefficiency using a Firm-specific Frontier Model.

David, Ardia (2006): Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations. Published in: Student , Vol. 5, No. 3-4 (September 2006): pp. 283-298.

Dekker, Ronald (2007): Non-standard employment and mobility in the Netherlands.

Demiris, Nikolaos and Kypraios, Theodore and Smith, L. Vanessa (2012): On the epidemic of financial crises.

Di Iorio, Francesca and Fachin, Stefano (2010): A Panel Cointegration study of the long-run relationship between Savings and Investments in the OECD economies, 1970-2007.

Di Iorio, Francesca and Fachin, Stefano (2010): Savings and investments in the OECD, 1970-2007: a panel cointegration test with breaks.

Di Iorio, Francesca and Fachin, Stefano (2007): Testing for cointegration in dependent panels via residual-based bootstrap methods.

Di Iorio, Francesca and Fachin, Stefano (2008): A note on the estimation of long-run relationships in dependent cointegrated panels.

Di Iorio, Francesca and Triacca, Umberto (2011): Testing for non-causality by using the Autoregressive Metric.

Diakantoni, Antonia and Escaith, Hubert (2012): Reassessing effective protection rates in a trade in tasks perspective: Evolution of trade policy in "Factory Asia".

Dibartolomeo, Giovanni and Rossi, Lorenza and Tancioni, Massimiliano (2004): Monetary Policy under Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison.

Dibartolomeo, Giovanni and Rossi, Lorenza and Tancioni, Massimiliano (2004): Monetary Policy under Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison.

Dobrescu, Emilian and Pauna, Bianca (2007): Stochastic simulations on the Romanian macroeconomic model. Published in: Proceedings of the 34th international conference "Macromodels 2007", Poland, Raszyn, December 5-8, 2007 (2008): pp. 61-84.

Doko Tchatoka, Firmin Sabro (2012): Specification Tests with Weak and Invalid Instruments.

Doko Tchatoka, Firmin (2013): On bootstrap validity for specification tests with weak instruments.

Doko Tchatoka, Firmin (2012): On the Validity of Durbin-Wu-Hausman Tests for Assessing Partial Exogeneity Hypotheses with Possibly Weak Instruments.

Doko Tchatoka, Firmin (2010): Subset hypotheses testing and instrument exclusion in the linear IV regression.

Doko Tchatoka, Firmin and Dufour, Jean-Marie (2012): Identification-robust inference for endogeneity parameters in linear structural models.

Dovonon, Prosper and Goncalves, Silvia and Meddahi, Nour (2010): Bootstrapping realized multivariate volatility measures.


Elrod, Terry and Keane, Michael (1995): A Factor-Analytic Probit Model for Representing the Market Structure in Panel Data. Published in: Journal of Marketing Research , Vol. 32, (February 1995): pp. 1-16.

Enrique, Navarrete (2006): Practical Calculation of Expected and Unexpected Losses in Operational Risk by Simulation Methods. Published in: Banca & Finanzas: Documentos de Trabajo , Vol. I, No. 1 (October 2006): pp. 1-12.

Eo, Yunjong and Morley, James C. (2008): Likelihood-Based Confidence Sets for the Timing of Structural Breaks.

Erdem, Tulin and Imai, Susumu and Keane, Michael (2003): Brand and Quantity Choice Dynamics Under Price Uncertainty. Published in: Quantitative Marketing and Economics , Vol. 1:1, (2003): pp. 5-64.

Eruygur, H. Ozan (2005): Generalized maximum entropy (GME) estimator: formulation and a monte carlo study.

Eryilmaz, Serkan and Kan, Cihangir and Akici, Fatih (2009): Consecutive k-within-m-out-of-n:F system with exchangeable components. Published in: Naval Research Logistics

Esposito, Francesco Paolo (2011): Credit risk tools, (numerical methods for finance, university of Limerick 2011).

Esposito, Francesco Paolo (2010): Credit risk tools: an overview.


Faghih, Nezameddin and Faghih, Ali (2008): Nyquist Frequency in Sequentially Sampled Data.

Fan, Yanqin and Park, Sang Soo (2010): Confidence sets for some partially identified parameters. Published in: Economics, Management, and Financial Market , Vol. 5, (2010): pp. 37-87.

Fan, Yanqin and Park, Sang Soo (2009): Partial identification of the distribution of treatment effects and its confidence sets. Published in: Advances in Econometrics: Nonparametric Econometric Methods , Vol. 24, (2009): pp. 3-70.

Finke, Michael and Pfau, Wade Donald and Williams, Duncan (2011): Spending flexibility and safe withdrawal rates.

Fosgerau, Mogens and Mabit, Stefan (2013): Easy and flexible mixture distributions. Published in: Economics Letters , Vol. 120, No. 2 (2013): pp. 206-210.

Fries, Christian P. (2010): Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.


Gach, Florian and Pötscher, Benedikt M. (2010): Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators.

Galli, Fausto (2014): Stochastic conditonal range, a latent variable model for financial volatility.

Galli, Fausto (2014): Stochastic conditonal range, a latent variable model for financial volatility.

Gambetta, Renzo (2009): A Note of Growth and Inequality in Peru, 2003-2008.

Garrouste, Christelle (2011): Towards a benchmark on the contribution of education and training to employability: methodological note. Published in: JRC Scientific and Technical Reports , Vol. EUR 24, No. 2011 (September 2011): pp. 1-86.

Geweke, John and Houser, Dan and Keane, Michael (1999): Simulation Based Inference for Dynamic Multinomial Choice Models. Published in: Companion to Theoretical Econometrics No. Blackwell (2001): pp. 466-493.

Geweke, John and Keane, Michael (2005): Bayesian Cross-Sectional Analysis of the Conditional Distribution of Earnings of Men in the United States, 1967-1996. Published in: Bayesian Statistics and its Applications . New Delhi: Anamaya Publishers (2006)

Geweke, John and Keane, Michael and Runkle, David (1994): Recursively Simulating Multinomial Multiperiod Probit Probabilities. Published in: Proceedings of the American Statistical Association No. Business and Economic Statistics Section (1994): pp. 1-6.

Geweke, John and Keane, Michael (2005): Bayesian Cross-Sectional Analysis of the Conditional Distribution of Earnings of Men in the United States, 1967-1996: Appendices.

Gimeno, Ricardo and Gonzalez, Clara I. (2012): An automatic procedure for the estimation of the tail index.

Giovanis, Eleftherios (2009): Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB.

Giovanis, Eleftherios (2009): Health Expenditures in Greece: A Multiple Least Squares Regression and Cointegration Analysis Using Bootstrap Simulation in EVIEWS.

Giraleas, Dimitris and Emrouznejad, Ali and Thanassoulis, Emmanuel (2011): Productivity change using growth accounting and frontier-based approaches – Evidence from a Monte Carlo analysis.

Giraleas, Dimitris and Emrouznejad, Ali and Thanassoulis, Emmanuel (2012): Selecting between different productivity measurement approaches: An application using EU KLEMS data.

Gluschenko, Konstantin (2004): Nonlinearly testing for a unit root in the presence of a break in the mean.

Gonzales, Rolando (2009): Análisis de Portafolio con Ratios de Sharpe Remuestrados Mediante Bootstrapping.

Gospodinov, Nikolay and Lkhagvasuren, Damba (2011): A new method for approximating vector autoregressive processes by finite-state Markov chains.

Grady, Patrick (1990): An Analysis of the Distributional Impact of the Goods and Services Tax. Published in: Canadian Tax Journal , Vol. 3, No. 38 (May 1990): pp. 632-643.

Gutierrez Girault, Matias (2006): Non – parametric estimation of conditional and unconditional loan portfolio loss distributions with public credit registry data.


Hachicha, Wafik and Ammeri, Ahmed and Masmoudi, Faouzi and Chachoub, Habib (2010): A comprehensive literature classification of simulation optimisation methods. Published in: International Conference on Multiple Objective Programming and Goal Programming - MOPGP10 No. May 24- 26, 2010 - Sousse - Tunisia

Hachicha, Wafik and Masmoudi, Faouzi and Haddar, Mohamed (2007): An improvement of a cellular manufacturing system design using simulation analysis. Published in: International journal of simulation modeling , Vol. 6, No. 4 (December 2007): pp. 193-205.

Halkos, George and Kevork, Ilias (2002): Confidence intervals in stationary autocorrelated time series.

Halkos, George and Kevork, Ilias (2006): Estimating population means in covariance stationary process.

Halkos, George and Kevork, Ilias (2012): Evaluating alternative estimators for optimal order quantities in the newsvendor model with skewed demand.

Halkos, George and Kevork, Ilias (2006): Forecasting an ARIMA (0,2,1) using the random walk model with drift.

Halkos, George and Kevork, Ilias (2011): Non-negative demand in newsvendor models:The case of singly truncated normal samples.

Halkos, George and Kevork, Ilias (2012): Validity and precision of estimates in the classical newsvendor model with exponential and rayleigh demand.

Halkos, George and Tzeremes, Nickolaos (2010): Performance evaluation using bootstrapping DEA techniques: Evidence from industry ratio analysis.

Hassan, Gazi (2010): Remittances and Poverty: Panel Evidence from High Remittance Economies.

Hellström, Jörgen and Lönnbark, Carl (2011): Identi�cation of jumps in �financial price series.

Henderson, Daniel J. (2008): A Test for Multimodality of Regression Derivatives with an Application to Nonparametric Growth Regressions.

Henderson, Daniel J. and Papageorgiou, Chris and Parmeter, Christopher F. (2008): Are any growth theories linear? Why we should care about what the evidence tells us.

Herrera Gómez, Marcos and Ruiz Marín, Manuel and Mur Lacambra, Jesús (2011): Detección de Dependencia Espacial mediante Análisis Simbólico.

Herrera Gómez, Marcos and Ruiz Marín, Manuel and Mur Lacambra, Jesús (2013): Detecting dependence between spatial processes.

Horowitz, Joel and Keane, Michael and Bolduc, Denis and Divakar, Suresh and Geweke, John and Gonul, Fusun and Hajivassiliou, Vassilis and Koppelman, Frank and Matzkin, Rosa and Rossi, Peter and Ruud, Paul (1994): Advances in Random Utility Models. Published in: Marketing Letters , Vol. 5:4, (1994): pp. 311-322.

Hyytiäinen, Kari and Huhtala, Anni (2011): Combating eutrophication in coastal areas at risk for oil spills. Forthcoming in: Annals of Operations Research No. DOI 10.1007/s10479-011-0879-2


Iqbal, Javed (2012): Comparing performance of statistical models for individual’s ability index and ranking.

Islam, Tanweer ul (2008): Normality Testing- A New Direction.


Jarocinski, Marek (2014): A note on implementing the Durbin and Koopman simulation smoother.

Jeong, Jinook (2006): Bootstrap Tests Based on Goodness-of-Fit Measures for Nonnested Hypotheses in Regression Models.

Jeong, Jinook and Kang, Byunguk (2006): Wild-Bootstrapped Variance Ratio Test for Autocorrelation in the Presence of Heteroskedasticity.

Jeong, Jinook and Yoon, Byung (2007): The Effect of Pseudo-exogenous Instrumental Variables on Hausman Test.

Jing, Li (2009): Bootstrap prediction intervals for threshold autoregressive models.

Juodis, Arturas and Sarafidis, Vasilis (2014): Fixed T Dynamic Panel Data Estimators with Multi-Factor Errors.


K. K., Suresh and K., Pradeepa Veerakumari (2007): Construction and Evaluation of Performance Measures for Bayesian Chain Sampling Plan (BChSP-1). Published in: Acta Ciencia Indica , Vol. 33, No. 4 (2007): pp. 16-35.

Kalaichelvan, Mohandass and Lim Kai Jie, Shawn (2012): A Critical Evaluation of the Significance of Round Numbers in European Equity Markets in Light of the Predictions from Benford’s Law. Published in: International Research Journal of Finance and Economics No. 95 : pp. 196-210.

Kalogeropoulos, Konstantinos and Dellaportas, Petros and Roberts, Gareth O. (2007): Likelihood-based inference for correlated diffusions.

Kalogeropoulos, Konstantinos and Roberts, Gareth O. and Dellaportas, Petros (2007): Inference for stochastic volatility model using time change transformations.

Kaluzhsky, Mikhail (2008): Анализ использования методов индексного прогнозирования для подготовки управленческих решений. Published in: Вестник филиала ВЗФЭИ в г. Омске. , Vol. 8, No. Инновационное развитие региона: опыт и перспективы. Материалы международной научно-практической конференции. (2008): pp. 402-404.

Kapp, Daniel and Vega, Marco (2012): Real output costs of financial crises: a loss distribution approach.

Keane, Michael (1997): Current Issues in Discrete Choice Modeling. Published in: Marketing Letters , Vol. 8:3, (1997): pp. 307-322.

Keane, Michael (1993): Simulation estimation for panel data models with limited dependent variables. Published in: Handbook of Statistics , Vol. 11, (1993): pp. 545-571.


Khan, Zahid and Asghar, Zahid (2009): Determination of stochastic vs. deterministic trend in quarterly GDP of Pakistan.

Klein, Achim and Urbig, Diemo and Kirn, Stefan (2008): Who drives the Market? Estimating a heterogeneous Agent-based Financial Market Model using a Neural Network Approach.

Koop, Gary and Korobilis, Dimitris (2009): Bayesian Multivariate Time Series Methods for Empirical Macroeconomics.

Kozmenko, Serhiy and Plastun, Oleksiy (2011): Indicators DZ and RDZ: essence, methods of calculation, signals and rules of trading. Published in: Investment Management and Financial Innovations , Vol. 8, No. 3 (15. November 2011): pp. 50-57.

Kuikeu, Oscar (2012): Propriétés à distance finie d'estimateurs du modèle dynamique en données de panel à effets fixes lorsque N<T : étude par simulation monte carlo.

Kukenova, Madina and Monteiro, Jose-Antonio (2008): Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation.

Kukenova, Madina and Monteiro, Jose-Antonio (2008): Spatial Dynamic Panel Model and System GMM: A Monte Carlo Investigation.


Lahvicka, Jiri (2010): Attendance of ice hockey matches in the Czech Extraliga.

Lau, Chi Keung Marco and Chau, Frankie and Deesomsak, Rataporn (2011): Panel Unit Root Test with Nonlinear Mean Reversion and Smooth Breaks.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets.

Li, Jinlu (2010): Some solutions to the equity premium and volatility puzzles.

Long, Ting-Hsuan and Emura, Takeshi (2014): A control chart using copula-based Markov chain models. Forthcoming in: Journal of the Chinese Statistical Association

Lopez-Pablos, Rodrigo A. (2008): Notas sobre Descomposiciones Microeconométricas: Un Análisis Antropométrico.

López, Fernando and Chasco, Coro (2007): Time-trend in spatial dependence: Specification strategy in the first-order spatial autoregressive model.


Maksym, Obrizan (2010): A Bayesian Model of Sample Selection with a Discrete Outcome Variable.

Maldonado, Diego and Pazmiño, Mariela (2008): Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana. Published in: Cuestiones Económicas , Vol. 2, No. 2 (30. September 2008): pp. 5-75.

Malik, Muhammad Irfan and Rehman, Atiq-ur- (2014): Choice of Spectral Density Estimator in Ng-Perron Test: Comparative Analysis.

Mandler, Martin (2006): Are there gains from including monetary aggregates and stock market indices in the monetary policy reaction function? A simulation study of recent U.S. monetary policy.

Martin, Eisele and Zhu, Junyi (2013): Multiple imputation in a complex household survey - the German Panel on Household Finances (PHF): challenges and solutions.

Matkovskyy, Roman (2012): The Index of the Financial Safety (IFS) of South Africa and Bayesian Estimates for IFS Vector-Autoregressive Model.

McBurney, Peter and Michalak, Tomasz and Tyrowicz, Joanna and Wooldridge, Michael (2008): Exogenous coalition formation in the e-marketplace based on geographical proximity.

Mehta, Anirudh and Kanishka, Kunal (2014): Modeling and Forecasting Volatility – How Reliable are modern day approaches?

Meng, Channarith and Pfau, Wade Donald (2011): Retirement savings guidelines for residents of emerging market countries.

Merz, Joachim and Böhm, Paul and Hanglberger, Dominik and Rucha, Rafael and Stolze, Henning (2007): Wann werden Serviceleistungen nachgefragt? – Ein Mikrosimulationsmodell alternativer Ladenöffnungszeiten mit Daten der Zeitbudgeterhebung ServSim.

Merz, Joachim and Böhm, Paul and Hanglberger, Dominik and Rucha, Rafael and Stolze, Henning (2007): Wann werden Serviceleistungen nachgefragt? – Ein Mikrosimulationsmodell alternativer Ladenöffnungszeiten mit Daten der Zeitbudgeterhebung ServSim.

Mishra, SK (2007): Least squares estimation of joint production functions by the Differential Evolution method of global optimization.

Mishra, SK (2007): Least squares estimation of joint production functions by the Differential Evolution method of global optimization.

Mishra, SK (2008): Robust Two-Stage Least Squares: some Monte Carlo experiments.

Mishra, SK (2006): Some Experiments on Fitting of Gielis Curves by Simulated Annealing and Particle Swarm Methods of Global Optimization.

Mishra, SK (2010): Temporal changes in the parameters of statistical distribution of journal impact factor.

Mishra, SK (2008): A new method of robust linear regression analysis: some monte carlo experiments.

Mishra, SK (2007): A note on least squares fitting of signal waveforms.

Mitkov, Yuliyan and Pericon, Osvaldo (2012): Deficit Financed Public Expenditure in Argentina: A Structural Vector Autoregression Analysis.

Mitze, Timo (2010): Estimating Gravity Models of International Trade with Correlated Time-Fixed Regressors: To IV or not IV?

Moghaddasi, Reza and Eghbali, Alireza and Lakhaye Rizi, Parisa (2014): Analysis and Forecasting of Drought by Developing a Fuzzy-Based Hybrid Index in Iran.

Mohamed, Issam A.W. (2011): Utilizing System Dynamics Models in Analyzing Macroeconomic Variables of Yemen.

Morone, Marco and Cornaglia, Anna (2010): An econometric model to quantify benchmark downturn LGD on residential mortgages.

Morone, Marco and Cornaglia, Anna and Mignola, Giulio (2012): Determining marginal contributions of the economic capital of credit risk portfolio: an analytical approach.

Moscone, Francesco and Tosetti, Elisa (2010): GMM estimation of Spatial Panels with Fixed Effects.

Mousa, Amani and Youssef, Ahmed H. and Abonazel, Mohamed R. (2011): A Monte Carlo Study for Swamy’s Estimate of Random Coefficient Panel Data Model. Published in: InterStat Journal , Vol. 2011, No. April, No. 4 : pp. 1-12.

Mullen, Katharine M. and Ardia, David and Gil, David L. and Windover, Donald and Cline, James (2009): DEoptim: An R Package for Global Optimization by Differential Evolution.


Nam, Suhyeon (2012): Multiple Fractional Response Variables with Continuous Endogenous Explanatory Variables.

Nguyen Viet, Cuong (2008): Estimating Impact of a Continuous Program under a Conditional Independence Assumption.

Nguyen Viet, Cuong (2012): Selection of Control Variables in Propensity Score Matching: Evidence from a Simulation Study.

Ngwa Edielle, T. H. Jackson and Hevi Kodzo, Dodzi (2007): Efficacité technique des banques dans la CEMAC: Approche Data Envelopment Analysis.


Omay, Tolga (2008): The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey. Forthcoming in:

Omay, Tolga (2012): The comparison of optimization algorithms on unit root testing with smooth transition.

Onour, Ibrahim and Abdalla, Abdelgadir (2010): Scale and Technical Efficiency of Islamic Banks in Sudan: Data Envelopment Analysis.

Otranto, Edoardo and Calzolari, Giorgio and Di Iorio, Francesca (2005): Indirect estimation of Markov switching models with endogenous switching. Published in: S.Co. 2005: Modelli Complessi e Metodi Computazionali Intensivi per la Stima e la Previsione No. A cura di C. Provasi. Padova: CLEUP Editrice (2005): pp. 227-232.


Paccagnini, Alessia (2010): DSGE Model Evaluation in a Bayesian Framework: an Assessment.

Palombini, Edgardo (2009): Factor models and the credit risk of a loan portfolio.

Parrini, Alessandro (2012): Indirect estimation of GARCH models with alpha-stable innovations.

Pavlyuk, Dmitry (2012): Maximum Likelihood Estimator for Spatial Stochastic Frontier Models. Published in: Proceedings of the 12th International Conference “Reliability and Statistics in Transportation and Communication” (2012): pp. 11-19.

Peeters, H.M.M. (1989): Het gebruik van een parametrische en een semi-parametrische schattingsmethode voor het binaire keuzemodel: Probit Maximum Likelihood versus Maximum Score.

Pfau, Wade Donald (2011): Can We Predict the Sustainable Withdrawal Rate for New Retirees?

Pfau, Wade Donald (2011): Capital market expectations, asset allocation, and safe withdrawal rates.

Pfau, Wade Donald (2012): Choosing a retirement income strategy: a new evaluation framework.

Pfau, Wade Donald (2011): Getting on Track for a Sustainable Retirement: A Reality Check on Savings and Work.

Pfau, Wade Donald (2011): Long-term investors and valuation-based asset allocation.

Pfau, Wade Donald (2011): Nearly optimal asset allocations in retirement.

Pfau, Wade Donald (2011): Retirement Withdrawal Rates and Portfolio Success Rates: What Can the Historical Record Teach Us?

Pfau, Wade Donald (2011): Safe Savings Rates: A New Approach to Retirement Planning over the Lifecycle.

Pfau, Wade Donald (2011): Withdrawal Rates, Savings Rates, and Valuation-Based Asset Allocation.

Pfau, Wade Donald and Kariastanto, Bayu (2012): An international perspective on “safe” savings rates for retirement.

Piccinini, Livio Clemente and Lepellere, Maria Antonietta and Chang, Ting Fa Margherita (2011): Partitioned Frames in Bak Sneppen Models.

Preminger, Arie and Storti, Giuseppe (2014): Least squares estimation for GARCH (1,1) model with heavy tailed errors.

Proietti, Tommaso and Riani, Marco (2007): Transformations and Seasonal Adjustment: Analytic Solutions and Case Studies.


Radkov, Petar and Minkova, Leda (2011): Assessing bank's default probability using the ASRF model. Published in: International Journal of Technology Modeling and Management , Vol. 2, No. 2011, 2 (1), 29–34 (25. June 2011)

Rehman, Atiq-ur- and Malik, Muhammad Irfan (2014): The Modi ed R a Robust Measure of Association for Time Series. Published in: Electronic Journal of Applied Statistical Analysis , Vol. 7, No. 1 (26. April 2014): pp. 1-13.

Ringle, Christian M. and Götz, Oliver and Wetzels, Martin and Wilson, Bradley (2009): On the Use of Formative Measurement Specifications in Structural Equation Modeling: A Monte Carlo Simulation Study to Compare Covariance-Based and Partial Least Squares Model Estimation Methodologies. Published in: Research Memoranda from Maastricht (METEOR)

Rodriguez, Analía (2007): Distribución de pérdidas de la cartera de créditos: el método unifactorial de Basilea II vs. estimaciones no paramétricas.

Rodriguez-Oreggia, Eduardo and Lopez-Videla, Bruno (2014): Imputación de ingresos laborales: Una aplicación con encuestas de empleo en México.

Rodríguez Dupuy, Analía (2007): Loan portfolio loss distribution: Basel II unifactorial approach vs. Non parametric estimations.

Roson, Roberto and Sartori, Martina (2014): Input-output linkages and the propagation of domestic productivity shocks: Assessing alternative theories with stochastic simulation.

Ruiz-Porras, Antonio and Perez-Sicairos, Rene Benjamin (2010): Un modelo de tres factores con un parámetro de sensibilidad de mercado para estimar la dinámica de la tasa corta: Una aplicación para la tasa de fondeo gubernamental de México. Forthcoming in: Avances Recientes en la Valuación de Activos y Administración de Riesgos. Volumen 2 [Book edited by F. Ortiz-Arango, Universidad Panamericana (Mexico)]

Ruja, Catalin (2014): Macro Stress-Testing Credit Risk in Romanian Banking System.

Rumyantsev, Mikhail I. (2008): Моделирование деятельности финансово-кредитного учреждения средствами системной динамики. Published in: Belorusskij ekonomicheskij zhurnal [Belarusian Economic Journal] No. 3(44) (20. October 2008): pp. 103-111.

Rumyantsev, Mikhail I. (2011): Гибридная имитационная модель отделения банка как системы массового обслуживания: роль человеческого фактора. Published in: NovaInfo No. 7 (26. November 2011)

Rumyantsev, Mikhail I. (2011): Simulation of financial institutions activity in transitional economies. Published in: Proceedings of Regional Conference “Actual Issues of Modern Economic Science and International Relations” in Dnepropetrovsk, Ukraine, November 25-26, 2011 , Vol. 2, (26. November 2011): pp. 53-63.

Rumyantsev, Mikhail I. (2010): К вопросу оценки адекватности имитационных моделей банковских бизнес-процессов. Published in: Sbornik nauchnykh trudov SWorld [Conference proceedings SWorld] , Vol. 15, No. 4 (27. December 2010): pp. 84-92.


Sarafidis, Vasilis (2009): GMM Estimation of short dynamic panel data models with error cross-sectional dependence.

Sarafidis, Vasilis and Yamagata, Takashi (2010): Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors under Cross-sectional Dependence.

Scalas, Enrico and Germano, Guido and Politi, Mauro and Schilling, René L. (2008): Stochastic integration for uncoupled continuous-time random walks.

Sen Gupta, Rajorshi and Vadali, Sharada R (2007): Stochastic Dominance Approach to Evaluate Optimism Bias in Truck Toll Forecasts. Published in: Transportation Research Record: Journal of the Transportation Research Board , Vol. 2066, (December 2008): pp. 98-105.

Serbanoiu, Georgian Valentin (2012): Transmission of fiscal policy shocks into Romania's economy.

Shachat, Jason and Wei, Lijia (2013): Discrete Rule Learning and the Bidding of the Sexes.

Shahateet, Mohammed and Al-Tayyeb, Saud (2007): Regional consumption inequalities in Jordan: Empirical study. Published in: Dirasat, Administrative Sciences , Vol. 34, No. 1 (2007): pp. 200-209.

Shamiri, Ahmed and Shaari, Abu Hassan and Isa, Zaidi (2008): Comparing the accuracy of density forecasts from competing GARCH models.

Shiu, Alice and Zelenyuk, Valentin (2009): Production Efficiency versus Ownership: The Case of China.

Simar, Leopold and Zelenyuk, Valentin (2004): On testing equality of distributions of technical efficiency scores. Published in: Econometric Reviews , Vol. 25, No. 4 (December 2006): pp. 497-522.

Simwaka, Kisu (2012): Testing for time-varying fractional cointegration using the bootstrap approach.

Sinha, Pankaj and Bansal, Vishakha (2012): Algorithm for calculating corporate marginal tax rate using Monte Carlo simulation.

Sinha, Pankaj and Sharma, Gopalakrishna and Shah, Akash and Singh, Abhijeet (2011): Algorithms for merging tick data and data analysis for Indian financial market.

Skribans, Valerijs (2012): European Union Economy System Dynamic Model Development. Published in: Proceedings of the 30th International Conference of the System Dynamics Society (2012): pp. 3687-3697.

Song, Yong and Shi, Shuping (2012): Identifying speculative bubbles with an in finite hidden Markov model.

Steinbacher, Matej and Steinbacher, Matjaz and Steinbacher, Mitja (2009): Homogenous Agent Wage-Posting Model with Wage Dispersion.

Steinbacher, Matej and Steinbacher, Matjaz and Steinbacher, Mitja (2009): A Repeated Game Heterogeneous-Agent Wage-Posting Model.

Subbotin, Viktor (2007): Asymptotic and bootstrap properties of rank regressions.

Suchánek, Petr and Vymětal, Dominik (2009): Identifikace, měření a analýza poruch E-Commerce systémů. Published in: Sborník příspěvků Aktuální aspekty české a světové ekonomiky, Liberecké ekonomické fórum 2009 (15. September 2009): pp. 472-479.

Sullivan, Paul (2007): Estimation of an Occupational Choice Model when Occupations are Misclassified.

Sullivan, Paul (2006): Interpolating Value Functions in Discrete Choice Dynamic Programming Models.

Sznajd-Weron, Katarzyna and Weron, Rafal and Wloszczowska, Maja (2008): Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland.


TINANG NZESSEU, Jules Valery (2012): Offre optimale de liquidité bancaire par la Banque Centrale : une approche microéconomique.

Taştan, Hüseyin (2011): Simulation based estimation of threshold moving average models with contemporaneous shock asymmetry.

Temel, Tugrul (2011): A nonparametric hypothesis test via the Bootstrap resampling.

Teneng, Dean (2013): NIG-Levy process in asset price modeling: case of Estonian companies. Published in: Proceedings of 30th International Conference Mathematical Methods in Economics , Vol. 2, (11. September 2012): pp. 891-896.

Thapar, Rishi and Minsky, Bernard and Obradovic, M and Tang, Qi (2009): Applying a global optimisation algorithm to Fund of Hedge Funds portfolio optimisation.

Toro Gonzalez, Daniel (2014): Demand Model Simulation in R with Endogenous Prices and Unobservable Quality.

Tsyplakov, Alexander (2010): Revealing the arcane: an introduction to the art of stochastic volatility models.


Valls Pereira, Pedro L. and Chicaroli, Rodrigo (2009): Predictability of Equity Models.

Varsanyi, Zoltan (2008): Fast and accurate simulation of differently seasoned loan defaults in a Merton-style framework in discrete time.

Varsanyi, Zoltan (2008): A simple model of decision making: How to avoid large outliers? Published in: Journal of Applied Economic Sciences No. Issue No.5 /2008 : pp. 320-328.

Vazquez, Miguel and Barquín, Julián (2009): Representing the effects of oligopolistic competition on risk-neutral prices in power markets.

Voineagu, Vergil and Caragea, Nicoleta and Pisica, Silvia (2013): Estimating International Migration on the Base of Small Area Techniques.

Voineagu, Vergil and Caragea, Nicoleta and Pisica, Silvia and Moldoveanu, Ruxandra (2011): Methodological Proposal for Compiling the ILO Unemployment with Monthly Periodicity. Published in: Romanian Statistical Review No. 7 (2011): pp. 46-60.

Vázquez, Miguel and Sánchez-Úbeda, Eugenio F. and Berzosa, Ana and Barquín, Julián (2008): Short-term evolution of forward curves and volatility in illiquid power markets.


Wang, Weiren and Zhou, Mai (1995): Iterative Least Squares Estimator of Binary Choice Models: a Semi-Parametric Approach.

Weron, Rafal (1996): Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables".

Westerlund, Joakim and Basher, Syed A. (2006): Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?

Westerlund, Joakim and Basher, Syed A. (2007): Mixed Signals Among Tests for Panel Cointegration. Forthcoming in: Economic Modelling


Yashkir, Yuriy and Yashkir, Olga (2013): Overnight Index Rate: Model, Calibration, and Simulation.

Youssef, Ahmed H. and Abonazel, Mohamed R. (2009): A Comparative Study for Estimation Parameters in Panel Data Model. Published in: InterStat Journal , Vol. 2009, No. May, No. 2 (9. May 2009): pp. 1-17.


Zervopoulos, Panagiotis (2012): Dealing with small samples and dimensionality issues in data envelopment analysis.

Zvezdov, Ivelin (2012): Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques.

This list was generated on Thu Nov 27 20:08:04 2014 CET.
MPRA is a RePEc service hosted by
the Munich University Library in Germany.