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Time Series Simulation With Quasi Monte Carlo Methods

Author

Listed:
  • Li, J.X.
  • Winker, P.

Abstract

This paper compares quasi Monte Carlo methods, in particular so-called (t,m,s)-Nets, with classical Monte Carlo approaches for simulating econometric time-series.

Suggested Citation

  • Li, J.X. & Winker, P., 2000. "Time Series Simulation With Quasi Monte Carlo Methods," Papers 9-00-1, Pennsylvania State - Department of Economics.
    • Handle: RePEc:fth:pensta:9-00-1
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    Cited by:

    1. Okten, Giray & Eastman, Warren, 2004. "Randomized quasi-Monte Carlo methods in pricing securities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2399-2426, December.
    2. Dag Kolsrud, 2008. "Stochastic Ceteris Paribus Simulations," Computational Economics, Springer;Society for Computational Economics, vol. 31(1), pages 21-43, February.
    3. Yu-Ying Tzeng & Paul M. Beaumont & Giray Ökten, 2018. "Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 55-77, June.
    4. Awadelkarim, Elsiddig & Caffarel, Michel & Del Moral, Pierre & Jasra, Ajay, 2025. "On the particle approximation of lagged Feynman–Kac formulae," Stochastic Processes and their Applications, Elsevier, vol. 188(C).
    5. Johannes Paha, 2010. "Simulation and Prosecution of a Cartel with Endogenous Cartel Formation," MAGKS Papers on Economics 201007, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).

    More about this item

    Keywords

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    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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