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subject:"Monte Carlo simulation"
~isPartOf:"Finance research letters"
~isPartOf:"Journal of econometrics"
~type_genre:"Article in journal"
~type_genre:"Thesis"
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Search: subject_exact:"Markov-Kette"
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Monte Carlo simulation
Markov chain
153
Markov-Kette
153
Theorie
78
Theory
78
Monte-Carlo-Simulation
47
Estimation
37
Schätzung
37
Volatility
34
Volatilität
34
Bayes-Statistik
33
Bayesian inference
33
Time series analysis
27
Zeitreihenanalyse
27
Estimation theory
24
Schätztheorie
24
Stochastic process
20
Stochastischer Prozess
20
Börsenkurs
17
Capital income
17
Kapitaleinkommen
17
Share price
17
Forecasting model
16
Prognoseverfahren
16
ARCH model
14
ARCH-Modell
14
Option pricing theory
13
Optionspreistheorie
13
Markov chain Monte Carlo
11
USA
11
United States
11
Aktienmarkt
10
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10
Correlation
9
Korrelation
9
Nichtparametrisches Verfahren
9
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9
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9
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9
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Article
47
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English
47
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Chib, Siddhartha
6
Li, Yong
6
Yu, Jun
5
Dijk, Herman K. van
4
Koop, Gary
4
Zeng, Tao
3
Griffin, Jim E.
2
Hamilton, Barton Hughes
2
Hong, Han
2
Kalli, Maria
2
Koopman, Siem Jan
2
Munkin, Murat K.
2
Trivedi, Pravin K.
2
Tsionas, Efthymios G.
2
Ahsan, Nazmul
1
Akram, Muhammad
1
Bauwens, Luc
1
Bognanni, Mark
1
Borowska, Agnieszka
1
Bos, Charles S.
1
Carriero, Andrea
1
Chan, Joshua
1
Chen, Zhongtian
1
Chernozhukov, Victor
1
Clark, Todd E.
1
Coelli, Timothy J.
1
Dellaportas, Petros
1
Deschamps, Jean-Philippe
1
Dufour, Jean-Marie
1
Eisenstat, Eric
1
Frühwirth-Schnatter, Sylvia
1
Fulop, Andras
1
Gallant, A. Ronald
1
Gao, Jian
1
George, Edward I.
1
Giordani, Paolo
1
Greenberg, Edward S.
1
Griffin, J. E.
1
Harvey, Andrew C.
1
Herwartz, Helmut
1
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Finance research letters
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
Econometric reviews
13
International journal of forecasting
11
Economics letters
10
European journal of operational research : EJOR
10
Journal of forecasting
10
Energy economics
8
Journal of the American Statistical Association : JASA
8
Quantitative finance
8
Risks : open access journal
8
Computational economics
7
Journal of applied econometrics
7
Insurance / Mathematics & economics
6
Economic modelling
5
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
Journal of banking & finance
5
Journal of economic dynamics & control
5
Journal of empirical finance
5
Journal of risk and financial management : JRFM
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
Applied economics
4
Applied economics letters
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
4
Quantitative marketing and economics : QME
4
Regional science & urban economics
4
The journal of operational risk
4
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
3
Econometrics : open access journal
3
INFORMS journal on computing : JOC
3
International review of financial analysis
3
Journal of mathematical finance
3
Journal of time series econometrics
3
Scandinavian actuarial journal
3
Statistical methods & applications : SMA ; journal of the Italian Statistical Society
3
The journal of futures markets
3
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
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1
Improved marginal likelihood estimation via power posteriors and importance sampling
Li, Yong
;
Wang, Nianling
;
Yu, Jun
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 28-52
Persistent link: https://www.econbiz.de/10014364649
Saved in:
2
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
3
Constrained estimation using penalization and MCMC
Gallant, A. Ronald
;
Hong, Han
;
Leung, Michael P.
;
Li, Jessie
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 85-106
Persistent link: https://www.econbiz.de/10013441728
Saved in:
4
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
5
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
6
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
7
Modelling regional patterns of inefficiency : a Bayesian approach to geoadditive panel stochastic frontier analysis with an application to cereal production in England and Wales
Klein, Nadja
;
Herwartz, Helmut
;
Kneib, Thomas
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 513-539
Persistent link: https://www.econbiz.de/10012439076
Saved in:
8
Deviance information criterion for latent variable models and misspecified models
Li, Yong
;
Yu, Jun
;
Zeng, Tao
- In:
Journal of econometrics
216
(
2020
)
2
,
pp. 450-493
Persistent link: https://www.econbiz.de/10012439750
Saved in:
9
Hypothesis testing based on a vector of statistics
King, Maxwell L.
;
Zhang, Xibin
;
Akram, Muhammad
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 425-455
Persistent link: https://www.econbiz.de/10012483400
Saved in:
10
Bayesian estimation of dynamic asset pricing models with informative observations
Fulop, Andras
;
Li, Junye
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 114-138
Persistent link: https://www.econbiz.de/10012302530
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