Time series simulation with quasi-Monte-Carlo methods

DOI10.1023/A:1022289509702zbMath1031.91095MaRDI QIDQ1812108

Peter Winker, Jenny X. Li

Publication date: 18 June 2003

Published in: Computational Economics (Search for Journal in Brave)

zbMATH Keywords

time seriesquasi-Monte Carlo methodseconometric simulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Randomized quasi-Monte Carlo methods in pricing securities ⋮ Stochastic ceteris paribus simulations ⋮ A simulation method for finite non-stationary time series ⋮ Multi-variate time-series simulation

Uses Software

• TOMS659

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