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subject:"Monte Carlo simulation"
~isPartOf:"Journal of applied econometrics"
~isPartOf:"Quantitative finance"
~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
63
Markov-Kette
63
Theorie
30
Theory
30
Estimation
21
Schätzung
21
Stochastic process
18
Stochastischer Prozess
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Monte-Carlo-Simulation
15
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Chen, Qian
2
Gerlach, Richard
2
Wang, Chao
2
Ahelegbey, Daniel Felix
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Bayer, Christian
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Billio, Monica
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Journal of applied econometrics
Quantitative finance
Journal of econometrics
44
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
Risks : open access journal
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Computational economics
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Insurance / Mathematics & economics
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Economic modelling
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
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Journal of economic dynamics & control
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Journal of empirical finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Applied economics letters
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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
Finance research letters
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INFORMS journal on computing : JOC
3
International review of financial analysis
3
Journal of mathematical finance
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Journal of time series econometrics
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Scandinavian actuarial journal
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Statistical methods & applications : SMA ; journal of the Italian Statistical Society
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The journal of futures markets
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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)
15
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1
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
2
Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture
Wu, Frank C. Z.
- In:
Journal of applied econometrics
39
(
2024
)
4
,
pp. 697-704
Persistent link: https://www.econbiz.de/10014562850
Saved in:
3
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
4
Bayesian estimation of electricity price risk with a multi-factor mixture of densities
Kang, Li
;
Walker, Stephen G.
;
Damien, Paul
;
Bunn, Derek W.
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1535-1544
Persistent link: https://www.econbiz.de/10013367927
Saved in:
5
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
6
Implied stopping rules for American basket options from Markovian projection
Bayer, Christian
;
Häppölä, Juho
;
Tempone, Raúl
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 371-390
Persistent link: https://www.econbiz.de/10012194659
Saved in:
7
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao
;
Chen, Qian
;
Gerlach, Richard
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
Saved in:
8
Estimation of risk contributions with MCMC
Koike, Takaaki
;
Minami, Mihoko
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
Saved in:
9
Robust and consistent estimation of generators in credit risk
Reis, Gonçalo dos
;
Smith, Greig
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 983-1001
Persistent link: https://www.econbiz.de/10011911257
Saved in:
10
Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
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