Montecarlo simulation of long-term dependent processes: a primer
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Other versions of this item:
- Carlos León Rincón & Alejandro Reveiz, 2011. "Montecarlo simulation of long-term dependent processes: a primer," BORRADORES DE ECONOMIA 008277, BANCO DE LA REPÚBLICA.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Carlos León, 2012.
"Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints,"
BORRADORES DE ECONOMIA
010075, BANCO DE LA REPÚBLICA.
- Carlos León, 2012. "Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints," Borradores de Economia 743, Banco de la Republica de Colombia.
- Carlos Léon, 2012.
"Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach,"
BORRADORES DE ECONOMIA
009441, BANCO DE LA REPÚBLICA.
- Carlos León, 2012. "Estimating financial institutions’ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 703, Banco de la Republica de Colombia.
More about this item
KeywordsMontecarlo simulation; Fractional Brownian Motion; Hurst exponent; Long-term Dependence; Biased Random Walk. Classification JEL: C15; C53; C63; G17; G14.;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-16 (All new papers)
- NEP-CMP-2011-04-16 (Computational Economics)
- NEP-ECM-2011-04-16 (Econometrics)
- NEP-ORE-2011-04-16 (Operations Research)
- NEP-RMG-2011-04-16 (Risk Management)
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