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person:"Robert, Christian P."
~person:"Chen, Cathy W. S."
~person:"Kohn, Robert"
~person:"Martin, Gael M."
~source:"econis"
~subject:"Markov-Kette"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Monte-Carlo-Methode"
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Markov-Kette
Prognoseverfahren
Monte Carlo simulation
51
Monte-Carlo-Simulation
51
Markov chain
39
Theorie
34
Theory
34
Bayes-Statistik
32
Bayesian inference
32
Volatility
13
Volatilität
13
State space model
10
Zustandsraummodell
10
Estimation theory
9
Sampling
9
Schätztheorie
9
Stichprobenerhebung
9
Stochastic process
9
Stochastischer Prozess
9
Börsenkurs
7
Share price
7
Bayesian Markov chain Monte Carlo
6
Estimation
6
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Schätzung
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Statistical distribution
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Capital income
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Hawkes process
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Kapitaleinkommen
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Risk measure
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ARCH model
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ARCH-Modell
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Dynamic price and volatility jumps
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Financial crisis
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Financial market
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Finanzkrise
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Robert, Christian P.
Chen, Cathy W. S.
Kohn, Robert
Martin, Gael M.
Dijk, Herman K. van
34
Koopman, Siem Jan
22
Tsionas, Efthymios G.
19
Frühwirth-Schnatter, Sylvia
17
Casarin, Roberto
16
Ravazzolo, Francesco
16
Chib, Siddhartha
14
Zhang, Xibin
13
Forbes, Catherine Scipione
12
Hoogerheide, Lennart
12
Koop, Gary
12
Omori, Yasuhiro
12
Grassi, Stefano
11
Dijk, Dick van
10
Gerlach, Richard
10
Leon-Gonzalez, Roberto
10
Li, Yong
10
Peters, Gareth
10
Yu, Jun
10
Boivin, Jean
9
Clark, Todd E.
9
Kunst, Robert M.
9
Strachan, Rodney W.
9
Weber, Andrea
9
Winter-Ebmer, Rudolf
9
Bos, Charles S.
8
Kneib, Thomas
8
Maneesoonthorn, Worapree
8
Nakajima, Jouchi
8
Pamminger, Christoph
8
Shevchenko, Pavel V.
8
Ardia, David
7
Bauwens, Luc
7
Kaufmann, Sylvia
7
King, Maxwell L.
7
Korobilis, Dimitris
7
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Working paper / Department of Econometrics and Business Statistics, Monash University
12
Série des documents de travail / Centre de Recherche en Économie et Statistique
7
Sveriges Riksbank working paper series
4
Journal of econometrics
2
Journal of forecasting
2
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
2
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International journal of finance & economics : IJFE
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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SSE EFI working paper series in economics and finance
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Springer texts in statistics
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ECONIS (ZBW)
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1
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
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2
Computing Bayes : Bayesian computation from 1763 to the 21st century
Martin, Gael M.
;
Frazier, David T.
;
Robert, Christian P.
-
2020
Persistent link: https://www.econbiz.de/10012607643
Saved in:
3
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
4
On Some Properties of Markov Chain Monte Carlo Simulation Methods Based on the Particle Filter
Pitt, Michael K.
-
2019
Andrieu et al. (2010) prove that Markov chain Monte Carlo samplers still converge to the correct posterior distribution of the model parameters when the likelihood is estimated by the particle filter (with a finite number of particles) is used instead of the likelihood. A critical issue for...
Persistent link: https://www.econbiz.de/10012870345
Saved in:
5
Forecasting observables with particle filters : any filter will do!
Leung, Patrick
;
Forbes, Catherine Scipione
;
Martin, Gael M.
-
2019
Persistent link: https://www.econbiz.de/10012606152
Saved in:
6
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
7
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
8
Mixed marginal copula modeling
Gunawan, David
;
Khaled, Mohamad A.
;
Kohn, Robert
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 137-147
Persistent link: https://www.econbiz.de/10012179532
Saved in:
9
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
10
Data-driven particle filters for Particle Markov Chain Monte Carlo
Leung, Patrick
;
Forbes, Catherine Scipione
;
Martin, Gael M.
-
2016
Persistent link: https://www.econbiz.de/10011781784
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