Browsing Produção Intelectual em Bases Externas by Subject "Monte Carlo, Método de"

Combining strategies for the estimation of treatment effects

Firpo, Sergio Pinheiro; Pinto, Rafael de Carvalho Cayres
2012-03-24

The estimation of the average effect of a program or treatment on a variable of interest is an important tool for the assessment of economic policies. In general, assignment of potential participants to treatment does not ...

Dipolar-driven formation of cobalt nanoparticle chains in polyethylene films

Vargas, E.; Melo, W. W. M.; Allende, Salvador; Neumann, R. F.; Denardin, J. C.; Altbir, D.; Bahiana, M.
2015-07-15

Using a simple method we produce polyethylene film with embedded chains of cobalt nanoparticles. The crystalline magnetic nanoparticles were synthesized through a simple chemical reduction method at room temperature using ...

Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: A Monte-Carlo study

Souza, Leonardo R.; Smith, Jeremy
2004

For a fractionally integrated ARFIMA(p, d, q) model, temporal aggregation changes the order of the process to an ARFIMA(p, d,∞), while leaving the value of d unchanged. This paper analyses the effects of temporal aggregation ...

Functional Itô calculus, path-dependence and the computation of Greeks

Jazaerli, Samy; Saporito, Yuri Fahham
2017-12

Dupire's functional Ito calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce ...

Identification and estimation of distributional impacts of interventions using changes in inequality measures

Firpo, Sergio Pinheiro; Pinto, Cristine
2016-05

This paper presents estimators of distributional impacts of interventions when selection to the program is based on observable characteristics. Distributional impacts are calculated as differences in inequality measures ...

SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning

Guigues, Vincent Gérard Yannick
2014-01

We consider interstage dependent stochastic linear programs where both the random right-hand side and the model of the underlying stochastic process have a special structure. Namely, for equality constraints (resp. inequality ...