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subject:"Monte Carlo simulation"
~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
36
Markov-Kette
36
Theorie
19
Theory
19
Stochastic process
14
Stochastischer Prozess
14
Option pricing theory
12
Optionspreistheorie
12
Volatility
11
Volatilität
11
Portfolio selection
9
Portfolio-Management
9
Estimation
8
Monte-Carlo-Simulation
8
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Forecasting model
7
Prognoseverfahren
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Statistical distribution
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Börsenkurs
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Share price
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Capital income
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Kapitaleinkommen
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Risikomaß
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Risk measure
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ARCH model
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ARCH-Modell
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Markov chain Monte Carlo
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Bayes-Statistik
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Bayesian inference
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Hidden Markov model
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Option pricing
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Stochastic volatility
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Value-at-risk
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Aktienmarkt
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Chen, Qian
2
Gerlach, Richard
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Wang, Chao
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Bayer, Christian
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Bunn, Derek W.
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Chen, Wilson Ye
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Damien, Paul
1
Gerlach, Richard H.
1
Häppölä, Juho
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Kang, Li
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Koike, Takaaki
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Minami, Mihoko
1
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1
Reis, Gonçalo dos
1
Sisson, Scott A.
1
Smith, Greig
1
Tempone, Raúl
1
Walker, Stephen G.
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Zhang, Zehua
1
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Quantitative finance
Journal of econometrics
44
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
Econometric reviews
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
International journal of forecasting
11
Economics letters
10
European journal of operational research : EJOR
10
Journal of forecasting
9
Energy economics
8
Journal of the American Statistical Association : JASA
8
Risks : open access journal
8
Computational economics
7
Insurance / Mathematics & economics
6
Journal of applied econometrics
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
Finance research letters
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
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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
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