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Modelling and Simulation: An Overview

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Author Info

  • Michael McAleer

    (Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain, and Kyoto University, Japan)

  • Felix Chan

    (Curtin University, Australia)

  • Les Oxley

    (University of Waikato, New Zealand)

Abstract

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are born equal: the empirical properties of some estimators of long memory, characterising trader manipulation in a limit-order driven market, measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation, modelling tail credit risk using transition matrices, evaluation of the DPC-based inclusive payment system in Japan for cataract operations by a new model, the matching of lead underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan chart application, adaptive survey designs for sampling rare and clustered populations, income distribution inequality, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative analysis for Australia, China and India, the impacts of exchange rates on Australia's domestic and outbound travel markets, clean development mechanism in China: regional distribution and prospects, design and implementation of a Web-based groundwater data management system, the impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence, and coercive journal self citations, impact factor, journal influence and article influence.

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Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 13-069/III.

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Date of creation: 21 May 2013
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Handle: RePEc:dgr:uvatin:20130069

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Web page: http://www.tinbergen.nl

Related research

Keywords: Modelling; simulation; forecasting; time series models; trading; credit risk; empirical finance; health economics; sampling; groundwater systems; exchange rates; structural change; citations;

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References

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  1. Chia-Lin Chang & Michael McAleer & Les Oxley, 2013. "Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence," Tinbergen Institute Discussion Papers 13-040/III, Tinbergen Institute.
  2. Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2013. "Are Forecast Updates Progressive?," MPRA Paper 46387, University Library of Munich, Germany.
  3. McKenzie, C.R. & Takaoka, Sumiko, 2013. "The matching of lead underwriters and issuing firms in the Japanese corporate bond market," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 93(C), pages 86-97.
  4. Chan, Felix & Pauwels, Laurent L. & Wongsosaputro, Johnathan, 2013. "The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 93(C), pages 175-189.
  5. Allen, D.E. & Kramadibrata, A.R. & Powell, R.J. & Singh, A.K., 2013. "Modelling tail credit risk using transition matrices," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 93(C), pages 67-75.
  6. Jennifer Brown & Les Oxley & William Rea & Marco Reale, 2008. "The Empirical Properties of Some Popular Estimators of Long Memory Processes," Working Papers in Economics 08/13, University of Canterbury, Department of Economics and Finance.
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Citations

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Cited by:
  1. Daniel Cracau & Benjamin Franz, 2012. "An experimental study of mixed strategy equilibria in simultaneous price-quantity games," FEMM Working Papers 120017, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  2. Giupponi, Carlo & Morari, Francesco, 1995. "AGRO-ENVIRONMENTAL EVALUATION OF ALTERNATIVE FARM MANAGEMENT SYSTEMS FOLLOWING THE EUROPEAN COMMUNITY REFORM OF AGRICULTURAL POLICY; Proceedings of the 4th Minnesota Padova Conference on Food, Agricul," Working Papers, University of Minnesota, Center for International Food and Agricultural Policy 14395, University of Minnesota, Center for International Food and Agricultural Policy.
  3. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers, University of Brescia, Department of Economics 0814, University of Brescia, Department of Economics.
  4. Rodriguez Aseretto, Dario & Di Leo, Margherita & de Rigo, Daniele & Corti, Paolo & McInerney, Daniel & Camia, Andrea & San-Miguel-Ayanz, Jesús, 2013. "Free and open source software underpinning the european forest data centre," MPRA Paper 44121, University Library of Munich, Germany.
  5. David Grreasley, 2010. "Cliometrics and Time Series Econometrics: Some Theory and Applications," Working Papers in Economics 10/56, University of Canterbury, Department of Economics and Finance.
  6. Roberto Casarin & Domenico sartore, 2008. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers, University of Brescia, Department of Economics 0816, University of Brescia, Department of Economics.
  7. Walmsley, Brad & Oddy, V. Hutton & McPhee, Malcolm J. & Mayer, David G. & McKiernan, William A., 2010. "BeefSpecs a tool for the future: On-farm drafting and optimising feedlot profitability," AFBM Journal, Australasian Farm Business Management Network, Australasian Farm Business Management Network, vol. 7(2).
  8. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".

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