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Modelling and Simulation: An Overview

Author

Listed:
  • Michael McAleer

    (Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute, The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of Economic Research, Kyoto University.)

  • Les Oxley

    (Department of Economics, University of Waikato, New Zealand)

  • Felix Chan

    (School of Economics and Finance, Curtin Business School, Curtin University of Technology)

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 termstructure 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.

Suggested Citation

  • Michael McAleer & Les Oxley & Felix Chan, 2013. "Modelling and Simulation: An Overview," Documentos de Trabajo del ICAE 2013-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Handle: RePEc:ucm:doicae:1316
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    References listed on IDEAS

    as
    1. Rea, William & Oxley, Les & Reale, Marco & Brown, Jennifer, 2013. "Not all estimators are born equal: The empirical properties of some estimators of long memory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 29-42.
    2. Chang, Chia-Lin & McAleer, Michael & Oxley, Les, 2013. "Coercive journal self citations, impact factor, Journal Influence and Article Influence," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 190-197.
    3. Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2013. "Are forecast updates progressive?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 9-18.
    4. 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.
    5. 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, vol. 93(C), pages 175-189.
    6. Saha, Shrabani & Zhang, Zhaoyong, 2013. "Do exchange rates affect consumer prices? A comparative analysis for Australia, China and India," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 128-138.
    7. 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, vol. 93(C), pages 86-97.
    8. 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, vol. 93(C), pages 67-75.
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    Citations

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    Cited by:

    1. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
    2. White, David H. & Howden, S. Mark & Walcott, James J. & Cannon, Rob M., 1998. "A framework for estimating the extent and severity of drought, based on a grazing system in south-eastern Australia," Agricultural Systems, Elsevier, vol. 57(3), pages 259-270, July.
    3. 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".
    4. da Veiga, Bernardo & Chan, Felix & McAleer, Michael, 2008. "Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 453-475, September.
    5. Walmsley, Brad & Oddy, V. Hutton & McPhee, Malcolm J. & Mayer, David G. & McKiernan, William A., 2011. "BeefSpecs a tool for the future: On-farm drafting and optimising feedlot profitability," AFBM Journal, Australasian Farm Business Management Network, vol. 7(2), pages 1-7, February.
    6. 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 14395, University of Minnesota, Center for International Food and Agricultural Policy.
    7. Daniel Cracau & Abdolkarim Sadrieh, 2014. "The Divergent Effects of Long-Term and Short-Term Entry Investments on Home Market Cartels," FEMM Working Papers 140003, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    8. Graham Turner & Timothy Baynes & Bertram McInnis, 2010. "A Water Accounting System for Strategic Water Management," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 24(3), pages 513-545, February.
    9. Roberto Casarin & Domenico Sartore, 2007. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers 2007_30, Department of Economics, University of Venice "Ca' Foscari".
    10. 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.
    11. David Greasley & Les Oxley, 2010. "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
    12. Meinke, H. & Baethgen, W. E. & Carberry, P. S. & Donatelli, M. & Hammer, G. L. & Selvaraju, R. & Stockle, C. O., 2001. "Increasing profits and reducing risks in crop production using participatory systems simulation approaches," Agricultural Systems, Elsevier, vol. 70(2-3), pages 493-513.
    13. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
    14. Kathleen Miller, 2000. "Pacific Salmon Fisheries: Climate, Information and Adaptation in a Conflict-Ridden Context," Climatic Change, Springer, vol. 45(1), pages 37-61, April.
    15. Davies, Brian Lloyd & Carberry, P.M. & Graham, R.P. & Mullen, John D. & Meaker, G.P., 2007. "StockPlan®: A Decision Aid for Management of Livestock During Drought and Other Times," Research Reports 37666, New South Wales Department of Primary Industries Research Economists.
    16. Daniel Cracau & Benjamin Franz, 2014. "An experimental test of the mixed strategy equilibrium in price-quantity oligopolies," Economics Bulletin, AccessEcon, vol. 34(3), pages 1369-1380.
    17. M. Pilar Muñoz & Cristina Corchero & F.-Javier Heredia, 2013. "Improving Electricity Market Price Forecasting with Factor Models for the Optimal Generation Bid," International Statistical Review, International Statistical Institute, vol. 81(2), pages 289-306, August.
    18. Chan, Felix, 2009. "Modelling time-varying higher moments with maximum entropy density," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2767-2778.
    19. 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.

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    More about this item

    Keywords

    Modelling; Simulation; Forecasting; Time series models; Trading; Credit risk; Empirical finance; Health economics; Sampling; Groundwater systems; Exchange rates; Structural change; Citations.;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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