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Accurate Methods for Approximate Bayesian Computation Filtering

Laurent E. Calvet and Veronika Czellar.

in Journal of Financial Econometrics

September 2015; p ublished online July 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Financial Forecasting and Simulation; Econometric Modelling. 9894 words.

The Approximate Bayesian Computation (ABC) filter extends the particle filtering methodology to general state-space models in which the density of the observation conditional on the state...

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Adaptive local parametric estimation of crop yields: implications for crop insurance rate making

Zhiwei Shen, Martin Odening and Ostap Okhrin.

in European Review of Agricultural Economics

April 2018; p ublished online December 2017 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Agricultural Economics. 10293 words.

Abstract

The estimation model of crop yields is a prerequisite for deriving actuarially sound insurance premiums. A major challenge in estimating crop yield...

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Adaptive Realized Kernels

Marine Carrasco and Rachidi Kotchoni.

in Journal of Financial Econometrics

September 2015; p ublished online May 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Economics. 9451 words.

We design adaptive realized kernels to estimate the integrated volatility in a framework that combines a stochastic volatility model with leverage effect for the efficient price and a...

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Adding The Time Dimension: Optimal Rebalancing

Mark Kritzman, Simon Myrgren and Sebastien Page.

in The Oxford Handbook of Quantitative Asset Management

December 2011; p ublished online November 2012 .

Article. Subjects: Economics; Financial Markets; Econometric and Statistical Methods and Methodology: General. 5990 words.

A technique called dynamic programming can be used to identify an optimal rebalancing schedule, which significantly reduces rebalancing and sub-optimality costs. Dynamic programming...

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Agent-Based Macroeconomic Modeling and Policy Analysis

Herbert Dawid, Simon Gemkow, Philipp Harting, Sander van der Hoog and Michael Neugart.

in The Oxford Handbook of Computational Economics and Finance

February 2018; p ublished online February 2018 .

Article. Subjects: Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 12823 words.

This chapter introduces the Eurace@Unibi model, one of the agent-based simulation models that are relatively new additions to the toolbox of macroeconomists, and the research that has been...

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Agent-based Modeling for Financial Markets

Giulia Iori and James Porter.

in The Oxford Handbook of Computational Economics and Finance

February 2018; p ublished online February 2018 .

Article. Subjects: Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 15345 words.

This chapter discusses a step in the evolution of agent-based model (ABM) research in finance. Agent-based modeling has concentrated on the development of stylized market models, which have...

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Agent-Based Models for Economic Policy Design

Frank Westerhoff and Reiner Franke.

in The Oxford Handbook of Computational Economics and Finance

February 2018; p ublished online February 2018 .

Article. Subjects: Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 13596 words.

With the help of two examples, this chapter illustrates the usefulness of agent-based models as tools for economic policy design. The first example applies a financial market model in which...

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Agent-Based Models of the Labor Market

Michael Neugart and Matteo Richiardi.

in The Oxford Handbook of Computational Economics and Finance

February 2018; p ublished online February 2018 .

Article. Subjects: Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 10273 words.

The chapter reviews the literature concerning agent-based labor market models by tracing its roots to the microsimulation literature and surveying a selection of con- tributions made since...

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Aggressive Elites and Vulnerable Entrepreneurs: Trust and Cooperation in the Shadow of Conflict

Halvor Mehlum and Karl Moene.

in The Oxford Handbook of the Economics of Peace and Conflict

April 2012; p ublished online November 2012 .

Article. Subjects: Economics; Econometric and Statistical Methods and Methodology: General; Health, Education, and Welfare. 9174 words.

This article explores the tendency for poverty and conflict, as well as for prosperity and peace, to reinforce one another, examining two specific factors. One is the type of rents that...

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Algorithmic Trading based on Biologically Inspired Algorithms

Vassilios Vassiliadis and Georgios Dounias.

in The Oxford Handbook of Computational Economics and Finance

February 2018; p ublished online February 2018 .

Article. Subjects: Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 5865 words.

The chapter discusses algorithmic trading, which refers to any automated process, consisting of a number of interconnected components, whose main aim is to perform financial transactions of...

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