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subject:"Monte Carlo simulation"
~isPartOf:"Quantitative finance"
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Search: subject_exact:"Markov-Kette"
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Monte Carlo simulation
Markov chain
38
Markov-Kette
38
Theorie
20
Theory
20
Stochastic process
14
Stochastischer Prozess
14
Option pricing theory
12
Optionspreistheorie
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Volatilität
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Chen, Qian
2
Gerlach, Richard
2
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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1
Gerlach, Richard H.
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1
Sisson, Scott A.
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Smith, Greig
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Tempone, Raúl
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Quantitative finance
Journal of econometrics
44
Discussion paper / Tinbergen Institute
26
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
Working paper / Department of Econometrics and Business Statistics, Monash University
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
14
Econometric reviews
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International journal of forecasting
11
Economics letters
10
European journal of operational research : EJOR
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Journal of forecasting
10
Energy economics
8
Journal of the American Statistical Association : JASA
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Risks : open access journal
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Computational economics
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Journal of applied econometrics
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Working paper
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Econometric Institute research papers
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GRIPS discussion papers
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Insurance / Mathematics & economics
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Sveriges Riksbank working paper series
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Working papers in economics and statistics
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CAMA working paper series
5
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
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Working paper / Austrian Center for Labor Economics and the Analysis of the Welfare State
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Applied economics letters
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Discussion paper / Centre for Economic Policy Research
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Global COE Hi-Stat discussion paper series
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IMES discussion paper series
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
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Quantitative marketing and economics : QME
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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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