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Quantile Mechanics II: Changes of Variables in Monte Carlo methods and a GPU-Optimized Normal Quantile
Monte Carlo Student hyperbolic variance gamma, computational
2010/10/29
This article presents di erential equations and solution methods for the functions of the form A(z) = F1(G(z)), where F and G are cumu-lative distribution functions. Such functions allow the...
An Adaptive Markov Chain Monte Carlo Method for GARCH Model
Chain Monte Carlo Bayesian inference GARCH model Metropolis-Hastings algorithm
2010/10/29
We propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC)simulations of the GARCH model. The proposal density is constructed adaptive...
Finite-Sample Performance of Structural Change Tests in Cointegrated Relationships: A Monte Carlo Analysis
Structural change cointegration central limit theory nonparametric estimation Monte Carlo simulation
2010/9/7
We present Monte Carlo simulation experiments to investigate the finite sample properties of structural change tests in cointegrated relationships. These tests are computed using three alternative eff...