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subject:"Simulation"
type:"article"
~isPartOf:"Finance research letters"
~subject:"Analysis of variance"
~subject:"Stochastic process"
~subject:"Stochastischer Prozess"
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Simulation
Analysis of variance
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Stochastischer Prozess
Estimation theory
62
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Estimation
18
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18
Portfolio selection
15
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Chiu, Wan-Yi
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Finance research letters
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Econometric reviews
37
Economics letters
36
European journal of operational research : EJOR
34
Economic modelling
25
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22
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Econometric theory
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Journal of empirical finance
13
Management science : journal of the Institute for Operations Research and the Management Sciences
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
The econometrics journal
13
Journal of applied econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of the American Statistical Association : JASA
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Mathematics of operations research
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Econometrics : open access journal
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Insurance / Mathematics & economics
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Operations research letters
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International journal of forecasting
10
Journal of financial econometrics
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Quantitative finance
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Statistics in transition : an international journal of the Polish Statistical Association
10
The review of economics and statistics
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of theoretical and applied finance
9
Journal of banking & finance
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INFORMS journal on computing : JOC
8
International journal of production research
8
Journal of economic dynamics & control
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Risks : open access journal
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Applied economics letters
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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International economic review
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ECONIS (ZBW)
12
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1
A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
Reesor, R. Mark
;
Stentoft, Lars
;
Zhu, Xiaotian
- In:
Finance research letters
64
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014531706
Saved in:
2
Nonparametric statistical inference for stochastic optimal control problems and its applications for financial investment
Yang, Liu
;
Liang, Yanzi
;
Lan, Xinchen
;
Lu, Zheng
- In:
Finance research letters
64
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014531668
Saved in:
3
Predicting stock market returns with average correlation and average variance : decomposition approach
Oh, Jong-Min
- In:
Finance research letters
63
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531460
Saved in:
4
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras
;
Parolya, Nestor
;
Thorsén, Erik
- In:
Finance research letters
54
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
Saved in:
5
Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick
;
Reh, Laura
- In:
Finance research letters
56
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014473708
Saved in:
6
Stepwise expanding the frontier one asset at a time
Chiu, Wan-Yi
- In:
Finance research letters
46
(
2022
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10013341338
Saved in:
7
Sequential elimination : fast sorts for unbiased quantile estimation
Palandri, Alessandro
- In:
Finance research letters
33
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012430872
Saved in:
8
Forecasting realized variance using asymmetric HAR model with time-varying coefficients
Wu, Xinyu
;
Hou, Xinmeng
- In:
Finance research letters
30
(
2019
),
pp. 89-95
Persistent link: https://www.econbiz.de/10012420297
Saved in:
9
Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu
;
Xie, Dejun
;
Jiang, Jingjing
;
Wu, Xiaoxia
; …
- In:
Finance research letters
21
(
2017
),
pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
Saved in:
10
On the weight sign of the global minimum variance portfolio
Chiu, Wan-Yi
;
Jiang, Ching-hai
- In:
Finance research letters
19
(
2016
),
pp. 241-246
Persistent link: https://www.econbiz.de/10011657693
Saved in:
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