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subject:"Monte Carlo simulation"
~isPartOf:"Quantitative finance"
~subject:"Forecasting model"
~type_genre:"Article in journal"
~type_genre:"Thesis"
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Search: subject_exact:"Markov-Kette"
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Monte Carlo simulation
Forecasting model
Markov chain
38
Markov-Kette
38
Theorie
20
Theory
20
Stochastic process
14
Stochastischer Prozess
14
Option pricing theory
12
Optionspreistheorie
12
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11
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11
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9
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Hidden Markov model
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Option pricing
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Chen, Qian
2
Gerlach, Richard
2
Sornette, Didier
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Bayer, Christian
1
Bormetti, Giacomo
1
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Quantitative finance
Journal of econometrics
51
International journal of forecasting
34
Journal of forecasting
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
31
Energy economics
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
European journal of operational research : EJOR
18
Econometric reviews
14
Economics letters
14
Risks : open access journal
12
Journal of empirical finance
11
Computational economics
10
Economic modelling
10
Finance research letters
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Applied economics
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Journal of banking & finance
9
Journal of the American Statistical Association : JASA
9
Applied economics letters
8
International review of financial analysis
8
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8
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7
Journal of economic dynamics & control
7
The North American journal of economics and finance : a journal of financial economics studies
7
Insurance / Mathematics & economics
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
6
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
6
Macroeconomic dynamics
5
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
4
Econometrics : open access journal
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Global finance journal
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International Journal of Energy Economics and Policy : IJEEP
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International journal of finance & economics : IJFE
4
International journal of production research
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International review of economics & finance : IREF
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of mathematical finance
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Quantitative marketing and economics : QME
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ECONIS (ZBW)
13
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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
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
Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun
;
Shao, Chenjie
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
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
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:
8
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:
9
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:
10
Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Taranto, Damian Eduardo
;
Bormetti, Giacomo
;
Bouchaud, …
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 917-931
Persistent link: https://www.econbiz.de/10011910934
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