Time Series Simulation with Quasi Monte Carlo Methods

Li, Jenny X. ; Winker, Peter

URL: http://www.math.psu.edu/ccma/Reports/Publications/...
Additional URL: http://fmwww.bc.edu/cef00/papers/paper151.pdf
Document Type: Working paper
Year of publication: 2000
The title of a journal, publication series: Report / Penn State University, Department of Mathematics
Volume: AM224
Place of publication: Mannheim [u.a.]
Publication language: English
Institution: School of Law and Economics > VWL (Franz 1997-2013, Em)
Subject: 330 Economics
Subject headings (SWD): Monte-Carlo-Simulation
Abstract: This paper compares quasi Monte Carlo methods, in particular so-called (t,m,s)-net, with classical Monte Carlo approaches for simulating econometric time-series models. Quasi Monte Carlo methods have found successful application in many fields, such as physics, image processing, and the evaluation of finance derivatives. However, they are rarely used in econometrics. Here, we apply both traditional and quasi Monte Carlo simulation methods to time-series models that typically arise in macroeconometrics. The numerical experiments demonstrate that quasi Monte Carlo methods outperform traditional ones for all models we investigate.
Additional information: Auch als: Computing in Economics and Finance 2000 ; 151

Dieser Eintrag ist Teil der Universitätsbibliographie.

Metadata export


+ Search Authors in

+ Page Views

Hits per month over past year

Detailed information

You have found an error? Please let us know about your desired correction here: E-Mail

Actions (login required)

Show item Show item