Time Series Simulation with Quasi Monte Carlo Methods

URL:	http://www.math.psu.edu/ccma/Reports/Publications/...
Weitere URL:	http://fmwww.bc.edu/cef00/papers/paper151.pdf
Dokumenttyp:	Arbeitspapier
Erscheinungsjahr:	2000
Titel einer Zeitschrift oder einer Reihe:	Report / Penn State University, Department of Mathematics
Band/Volume:	AM224
Ort der Veröffentlichung:	Mannheim [u.a.]
Sprache der Veröffentlichung:	Englisch
Einrichtung:	Fakultät für Rechtswissenschaft und Volkswirtschaftslehre > VWL (Franz 1997-2013, Em)
Fachgebiet:	330 Wirtschaft
Normierte Schlagwörter (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.
Zusätzliche Informationen:	Auch als: Computing in Economics and Finance 2000 ; 151