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subject:"Monte Carlo simulation"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~type_genre:"Article in journal"
~type_genre:"Thesis"
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Search: subject_exact:"Markov-Kette"
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Monte Carlo simulation
Estimation
Markov chain
38
Markov-Kette
38
Theorie
20
Theory
20
Stochastic process
14
Stochastischer Prozess
14
Option pricing theory
12
Optionspreistheorie
12
Volatility
11
Volatilität
11
Portfolio selection
9
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Markov chain Monte Carlo
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Aktienmarkt
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Hidden Markov model
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Option pricing
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Regime-switching
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Chen, Qian
2
Gerlach, Richard
2
Sornette, Didier
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Wang, Chao
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Bayer, Christian
1
Bormetti, Giacomo
1
Bouchaud, Jean-Philippe
1
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1
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1
Damien, Paul
1
Demirer, Rıza
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1
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1
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1
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1
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1
Lillo, Fabrizio
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1
Reis, Gonçalo dos
1
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Tóth, Bence
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Wang, Xiaodong
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Quantitative finance
Journal of econometrics
66
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
Applied economics
33
Economic modelling
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
32
Energy economics
30
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
28
International journal of forecasting
21
Economics letters
20
Journal of empirical finance
20
Applied economics letters
18
Econometric reviews
18
International review of financial analysis
18
Journal of economic dynamics & control
18
Journal of forecasting
16
Journal of applied econometrics
15
Journal of banking & finance
15
Macroeconomic dynamics
15
European journal of operational research : EJOR
14
The North American journal of economics and finance : a journal of financial economics studies
13
Computational economics
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Finance research letters
12
International review of economics & finance : IREF
12
Risks : open access journal
12
International journal of finance & economics : IJFE
11
Journal of risk and financial management : JRFM
10
The European journal of finance
10
Journal of the American Statistical Association : JASA
9
Journal of macroeconomics
8
Research in international business and finance
8
Cogent economics & finance
7
International journal of economics and finance
7
Review of quantitative finance and accounting
7
Econometrics : open access journal
6
Insurance / Mathematics & economics
6
International journal of theoretical and applied finance
6
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
6
Empirical economics : a quarterly journal of the Institute for Advanced Studies
5
International Journal of Financial Studies : open access journal
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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
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2
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:
3
Unraveling S&P500 stock volatility and networks : an encoding-and-decoding approach
Wang, Xiaodong
;
Hsieh, Fushing
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 997-1016
Persistent link: https://www.econbiz.de/10013367879
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
Risk parity portfolio optimization under a Markov regime-switching framework
Costa, Giorgio
;
Kwon, Roy H.
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 453-471
Persistent link: https://www.econbiz.de/10012194664
Saved in:
8
On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators
Demirer, Rıza
;
Demos, Guilherme
;
Gupta, Rangan
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 843-858
Persistent link: https://www.econbiz.de/10012194719
Saved in:
9
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:
10
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
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