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accessRights:"restricted"
subject:"Monte Carlo simulation"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"The journal of computational finance"
~subject:"Correlation"
~subject:"Optionspreistheorie"
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Monte Carlo simulation
Correlation
Optionspreistheorie
Estimation theory
31
Schätztheorie
31
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Monte-Carlo-Simulation
6
Estimation
4
Regression analysis
4
Regressionsanalyse
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Schätzung
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Koster, Frank
2
Angelo, Mele
1
Bouev, Maxim
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Coskun, Sema
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Desmettre, Sascha
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Giles, Michael B.
1
Guyon, Julien
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Hamza, Kais
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Korn, Ralf
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1
Minabutdinov, Aleksey
1
Oeltz, Daniel
1
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1
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1
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
The journal of computational finance
Journal of econometrics
67
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
35
Computational economics
24
Economics letters
24
Econometric reviews
20
Quantitative finance
14
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
14
Finance research letters
12
Applied economics letters
11
Journal of financial econometrics
11
The econometrics journal
11
Applied economics
10
European journal of operational research : EJOR
10
Econometric theory
9
International journal of forecasting
9
International journal of theoretical and applied finance
7
Journal of banking & finance
7
Discussion papers / CEPR
6
Economic modelling
6
International journal of financial engineering
6
Journal of empirical finance
6
Journal of quantitative economics
5
Operations research
5
Insurance / Mathematics & economics
4
Journal of econometric methods
4
Journal of economic dynamics & control
4
Journal of mathematical finance
4
Journal of time series econometrics
4
Operations research letters
4
Working paper / National Bureau of Economic Research, Inc.
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Essays in honor of M. Hashem Pesaran : panel modeling, micro applications, and econometric methodology
3
International review of financial analysis
3
Journal of geographical systems : geographical information, analysis, theory, and decision
3
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3
Organizational research methods : ORM
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Subsampling and other considerations for efficient risk estimation in large portfolios
Giles, Michael B.
;
Haji-Ali, Abdul-Lateef
- In:
The journal of computational finance
26
(
2022
)
1
,
pp. 113-140
Persistent link: https://www.econbiz.de/10014546280
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2
Finding the nearest covariance matrix : the foreign exchange market case
Minabutdinov, Aleksey
;
Manaev, Ilya
;
Bouev, Maxim
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 103-127
Persistent link: https://www.econbiz.de/10012543624
Saved in:
3
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
4
Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
Zhang, Rongju
;
Langrené, Nicolas
;
Tian, Yu
;
Klebaner, …
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 97-127
Persistent link: https://www.econbiz.de/10012065042
Saved in:
5
A pairwise local correlation model
Koster, Frank
;
Oeltz, Daniel
- In:
The journal of computational finance
22
(
2018/2019
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012042217
Saved in:
6
Monte Carlo payoff smoothing for pricing autocallable instruments
Koster, Frank
;
Rehmet, Achim
- In:
The journal of computational finance
21
(
2017/2018
)
4
,
pp. 59-77
Persistent link: https://www.econbiz.de/10011848407
Saved in:
7
Calibration of local correlation models to basket smiles
Guyon, Julien
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 1-51
Persistent link: https://www.econbiz.de/10011691606
Saved in:
8
A structural model of dense network formation
Angelo, Mele
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
3
,
pp. 825-850
Persistent link: https://www.econbiz.de/10011778815
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